Examining sustainable stock indices with the DCC-GARCH model and the impact of oil prices on this relationship

Yıl 2024, Cilt: 26 Sayı: 1, 48 - 58, 01.06.2024

Ozge Dinc Cavlak

https://doi.org/10.33707/akuiibfd.1335551

Öz

This study aims to examine the time-varying conditional correlations and volatility between sustainable stock indices across countries and reveal the dynamics of the relationship between energy markets and sustainable stock performances. Firstly, the interaction between sustainable stock indices for the US and Turkish markets is examined using the DCC-GARCH model that considers the time-varying correlation and volatility. Then, the effects of oil prices on the obtained dynamic conditional correlations are revealed using Granger causality analysis. The results of the research reveal that the dynamic conditional correlation model between the US and Turkish sustainable stock indices is stable. The model parameters show that the effect of the lagged shock on the current dynamic conditional correlations and the effect of the lagged dynamic conditional correlations on the current dynamic conditional correlations are significant, thus demonstrating the existence of the dynamic conditional correlation between the US and Turkish sustainability indices. In addition, oil prices have a significant causal effect on the dynamic conditional correlations between the US and Turkish sustainable stock indices. Finally, the impulse response analysis reveals that in response to a shock in oil prices, the dynamic correlation between the markets responds inversely to the shock, suggesting that the US and Turkish stock markets diverge in terms of sustainability indices.

Anahtar Kelimeler

Dynamic Conditional Correlation (DCC) Model, GARCH Model, Granger Causality, Sustainable Stock

Sürdürülebilir hisse senedi endekslerinin DCC-GARCH modeli ile incelenmesi ve petrol fiyatlarının bu ilişkiye etkisi

Öz

Bu çalışma, ülkeler arası sürdürülebilir hisse senedi endeksleri arasındaki zamana bağlı değişen koşullu korelasyonları ve volatiliteyi incelemeyi amaçlamakta; aynı zamanda enerji piyasaları ile sürdürülebilir hisse senedi performansları arasındaki ilişki dinamiklerini ortaya koymayı hedeflemektedir. İlk olarak, ABD ve Türkiye piyasaları için sürdürülebilir hisse senedi endeksleri arasındaki etkileşim, zamana bağlı değişen korelasyonu ve volatiliteyi dikkate alan DCC-GARCH modeli ile incelenmektedir. Ardından, petrol fiyatlarının, elde edilen dinamik koşullu korelasyonlar üzerindeki etkileri Granger nedensellik analizi kullanılarak ortaya konmaktadır. Araştırmanın sonuçları, ABD ve Türkiye sürdürülebilir hisse senedi endeksleri arasındaki dinamik koşullu korelasyon modelinin stabil olduğunu göstermektedir. Model parametreleri, gecikmeli şokun mevcut dinamik koşullu korelasyonlar üzerindeki etkisinin ve gecikmeli dinamik koşullu korelasyonların mevcut dinamik koşullu korelasyonlar üzerindeki etkisinin anlamlı olduğunu göstermekte; böylelikle ABD ve Türkiye sürdürülebilirlik endeksleri arasında dinamik koşullu korelasyonun varlığı ortaya konmaktadır. Bunun yanı sıra, petrol fiyatlarının, ABD ve Türkiye sürdürülebilir hisse senedi endeksleri arasındaki dinamik koşullu korelasyonlar üzerinde anlamlı bir nedensel etkisi olduğu bulunmaktadır. Son olarak, Etki-Tepki analizi sonucu, petrol fiyatlarında meydana gelen bir şoka karşılık, piyasalar arasındaki dinamik korelasyonun şok ile ters yönde bir tepki verdiği görülmekte; bu da ABD ve Türkiye hisse senedi piyasalarının sürdürülebilirlik endeksleri bakımından ayrıştığına işaret etmektedir.

Anahtar Kelimeler

Dinamik Koşullu Korelasyon (DCC) Modeli; GARCH Modeli, Granger Nedensellik, Sürdürülebilir Hisse Senedi

Kaynakça

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