Pay piyasası sektörleri arasındaki oynaklık yayılımı

Öz

Bu çalışmada, 4 Ocak 2010 – 28 Ağustos 2019 dönemine ait günlük veriler kullanılarak Borsa İstanbul (BİST) temel piyasaları oynaklık yayılımları ve oynaklık ilişkileri araştırılmıştır. Sanayi, ticaret, hizmet ve mali sektörler arasındaki oynaklık yayılımları Hafner ve Herwartz (2006) varyansta nedensellik testiyle, sektörler arası ilişkiler ise DCC GARCH yöntemiyle incelenmiştir. Çalışmada, sanayi, ticaret ve hizmet sektöründen mali sektöre doğru oynaklık yayılımları ve BİST temel piyasaları arasında dinamik koşullu korelasyon ilişkisi görülmüştür. Ayrıca, BİST temel sektörleri arasındaki ilişkinin zamana göre değiştiği, ekonomik ve politik olayların kısmen bu değişiklikleri belirlediği tespit edilmiştir. Mali-sanayi, hizmet-ticaret, mali-hizmet ve hizmet-sanayi sektörleri arasındaki ilişkinin ticaret-mali ve sanayi-ticaret sektörleri arasındaki ilişki düzeyinden daha yüksek olduğu anlaşılmıştır. Bu sonuçlara göre BİST temel piyasaları esas alınarak çeşitlendirme ile risk azaltmak pek mümkün değildir. Sonuçlar, yatırımcılar, risk yöneticileri, portföy yöneticileri açısından yol gösterici niteliğindedir.

Anahtar Kelimeler

• Borsa İstanbul
• Oynaklık Yayılımı
• DCC GARCH
• Sektörler Arası İlişkiler

Volatility spillover between stock market sectors

Öz

In this study, volatility spillover and volatility relationship of Istanbul Stock Exchange (BIST) basic markets were investigated by using daily data between 4 January 2010 and 28 August 2019. Volatility spillover between industry, trade, service and financial sectors were examined by causality test in the variance Hafner and Herwartz (2006), and inter-sector relations were examined by DCC GARCH method. In this study, dynamic conditional correlation between BIST core markets and volatility spillover from industry, trade and service sector to financial sector were observed. In addition, it has been determined that the relationship between the major sectors of BIST varies with time and that economic and political events partially determine these changes. It has been understood that the relationship between financial-industry, service-trade, financial-service and service-industry sectors is higher than the relationship between trade-financial and industry-trade sectors. According to these results, it is not possible to reduce risk through diversification based on BIST core markets. The results provide guidance for investors, risk managers and portfolio managers.

Anahtar Kelimeler

• Istanbul Stock Exchage
• Volatility Spillover
• DCC GARCH
• Relationships Between Sectors

Kaynakça

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