Dynamic Connectedness among Australian Stock Market Sectors: A Time-Varying Parameter VAR Approach

Abstract

This study investigates the dynamic connectedness among six key sectors in the Australian Stock Exchange (ASX) using a Time-Varying Parameter Vector Autoregressive (TVP-VAR) model. By examining the interactions among Consumer Staples, Energy, Financials, Industrials, Information Technology, and Metals & Mining indices, the analysis highlights how sectoral connectedness evolves, particularly during periods of economic crisis. The results reveal that specific sectors act as net transmitters or receivers of shocks. Energy, Metals, & Mining are more sensitive to global commodity prices, while Consumer Staples maintain stability. This approach offers a comprehensive view of sectoral risk transmission and its implications for market stability and risk management. The findings provide critical insights for investors and policymakers aiming to mitigate systemic risks and enhance portfolio diversification in response to market fluctuations.

Keywords

• Dynamic connectedness
• TVP-VAR
• Australian stock sectors
• sectoral risk transmission
• economic shocks

Avustralya Borsa Sektörleri Arasında Dinamik Bağlantılılık: Zamanla Değişen Parametre VAR Yaklaşımı

Öz

Bu çalışma, Avustralya Menkul Kıymetler Borsası'ndaki (Australian Stock Exchange- ASX) altı temel sektör arasındaki dinamik bağlantılılığı Zamanla Değişen Parametreli Vektör Otoregresif (TVP-VAR) modeli kullanarak araştırmaktadır. Analiz, Temel Tüketim Malları, Enerji, Finans, Sanayi, Bilgi Teknolojileri ve Metaller ve Madencilik endeksleri arasındaki etkileşimleri inceleyerek, özellikle ekonomik kriz dönemlerinde sektörel bağlılığın nasıl geliştiğini vurgulamaktadır. Sonuçlar, belirli sektörlerin şokların net aktarıcıları veya alıcıları olarak hareket ettiğini ortaya koymaktadır. Enerji, Metaller ve Madencilik küresel emtia fiyatlarına daha duyarlı iken, Temel Tüketim Malları istikrarını korumaktadır. Bu yaklaşım, sektörel risk aktarımına ve bunun piyasa istikrarı ve risk yönetimi üzerindeki etkilerine dair kapsamlı bir bakış açısı sunmaktadır. Bulgular, sistemik riskleri azaltmayı ve piyasa dalgalanmalarına yanıt olarak portföy çeşitliliğini artırmayı amaçlayan yatırımcılar ve politika yapıcılar için kritik bilgiler sağlamaktadır.

Anahtar Kelimeler

• Dinamik bağlantılılık
• TVP-VAR
• Avustralya hisse senedi sektörleri
• sektörel risk aktarımı
• ekonomik şoklar

Kaynakça

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