VOLATILITY SPILLOVER, HEDGING AND PORTFOLIO DIVERSIFICATION BETWEEN OIL MARKET AND S&P SECTORAL INDICES

Öz

The study aims to analyze volatility spillover between the oil market (WTI) and S&P Energy, Financial, and Industry sector indices in terms of conditional correlation and variance causality. DCC-GARCH and Hafner-Herwartz (2006) Variance Causality Analysis were used to analyze the daily data span from January 2012 to December 2019. As a conclusion, in this study has been revealed that there is a positive time-varying conditional correlation between the oil market and sector indices. Besides, hedge ratio and risk minimizing portfolio weights, which are vital for investors, have been calculated based on these data. The cheapest hedging transaction with the oil market occurs with the financial sector, the most expensive one takes place with the energy sector. Also, it has been determined that volatility transmission is from sector indices to the oil market. This situation means that, S&P sector indices play a key role (resource of information- emit information) in volatility spillover. The results provide important information to researches, investors and policy-makers. Çalışmanın amacı, petrol piyasası (WTI) ile S&P Enerji, Finansal ve Sanayi sektör endeksleri arasındaki ilişkiyi koşullu korelasyon ve varyans nedenselliği bakımından incelemektir. DCC-GARCH ve and Hafner-Herwartz (2006) Varyans Nedensellik modelleri Ocak 2012-Aralık 2019 dönemi günlük verilerini analiz etmek için kullanılmıştır. Çalışma sonucunda petrol piyasası ile sektör endeksleri arasında zamana bağlı değişim gösteren pozitif koşullu korelasyon ilişkisi olduğu belirlenmiştir. İlaveten, elde edilen sonuçlardan yararlanarak yatırımcılar açısından oldukça önemli olan korunma rasyosu ve riski minimize eden portföy ağırlıkları hesaplanmıştır. Petrol piyasası ile en ucuz korunma işlemi finans sektörüyle, en pahalı korunma işlemi ise; enerji sektörüyle olmuştur. Bunun yanında, volatilite iletiminin sektör endekslerinden petrol piyasasına doğru olduğu belirlenmiştir. Bu durum S&P sektör endekslerinin volatilite yayılımında önemli bir role sahip (bilginin kaynağı, bilgi yayan) olduğunu göstermektedir. Elde edilen sonuçlar araştırmacılar, yatırımcılar ve politika yapıcılar açısından önemli bilgiler sunmaktadır.

Anahtar Kelimeler

• Oil Market
• Sector Indıces
• Multivariate Garch
• Variance Causality
• Spillover

Kaynakça

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