Pay piyasası sektörleri arasındaki oynaklık yayılımı

Yıl 2020, Cilt: 6 Sayı: 3, 257 - 267, 28.10.2020

Zekai Şenol

https://doi.org/10.30855/gjeb.2020.6.3.003

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

• Antonakakis, N. ve Vergos, K. (2013). Severeign Bond Yield Spillover in the Euro Zone During the Financial and Debt Crisis. Journal of International Financial Markets, Institutions & Money, 26, 258-272.
• Arouri, M. E. H., Jouini, J. ve Nguyen, D. K. (2011). Volatility Spillover between Oil Prices and Stock Sector return: Implications for Portfolio Management. Journal of International Money and Finance, 30, 1387-1405.
• Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31, 307-327.
• Chkili, W., Alouli, C. and Nguyen, D. K. (2014). Instabilities in the Relationship and Hedging Strategies between Crude Oil and US Stock Markets: Do long Memory and Asymmetry Matter?. Journal of International Financial Markets, Institutions & Money, 33, 354-366.
• Collet, J. and Lelpo, F. (2018). Sector Spillovers in Credit Markets. Journal of Banking and Finance, 94, 267-278.
• Demiralay, S. ve Gencer, H. G. (2014). Volatility Transmissions between Oil Prices and Emerging Market Sectors: Implications for Portfolio Management and Hedging Strategies. International Journal of Energy Economics and Policy, 4(3), 442-447.
• Duran, S. ve Şahin, A. (2006). İMKB Hizmetler, Mali, Sınai ve Teknoloji Endeksleri Arasındaki İlişkinin Belirlenmesi. Sosyal Bilimler Araştırmaları Dergisi, 57-70.
• Engle, R. (2002). Dynamic Conditional Correlation, Journal of Business & Economic Statistics, 20(3), 339-350.
• Engle, R. F.(1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007.
• Ewing, B. T. (2002). The Transmission of Shocks among S&P Indexes. Applied Financial Economics, 12(4), 285-290.
• Fonseca, J. D. and Ignatieva, K. (2018). Volatility Spilovers and Connectedness among Credit Default Swap Sector Indexes. Applied Economics, 50:36, 3923-3936.
• Hafner, C. M. ve Herwartz, H. (2006). A Lagrange Multiplier Test for Causality in Variance. Economics Letters, 93, 137-141.
• Hammoudeh, S. M., Yuan, Y. ve McAleer, M. (2009). Shock and Volatility Spillover among Equity Sectors of the Gulf Arab Stock Markets. The Quarterly Review of Economics and Finance, 49, 829-842.
• Hammoudeh, S. M., Yuan, Y., McAleer, M. ve Thompson, M. A. (2010). Precious Metals_Exchange rate Volatility Transmissions and Hedging Strategies. International Review of Economics and Finance. 19, 633-647.
• Hassan, S. A. and Malik, F. (2007). Multivariate GARCH Modeling of Sector Volatility Transmission. The Quarterly Review of Economics and Finance, 47, 470-480.
• Kamışlı, M. ve Sevil, G. (2019). Borsa İstanbul Alt Sektör Endeksleri Arasındaki Oynaklık Yayılımlarının Analizi. Business & Management Studies: An International Journal, 6(4), 1015-1032.
• Kumar, D. (2014). Return and Volatility Transmission between Gold and Stock Sectors: Application of Portfolio Management and Hedging Effectiveness. IIMB Management Review, 26, 5-16.
• Kumar, D. (2017). Realized Volatility Transmission from Crude Oil to Equity Sectors: A Study with Economic Significance Analysis. International Review of Economics and Finance, 49, 149-167.
• Narayan, P. K. (2015). An Analyisis of Sectoral Equity and CDS Spreads. Journal of International Financial Markets, Institutions & Money. 34, 90-83.
• Tamakoshi, G. and Hamori, S. (2016). Time-Varing Co-Mevements and Volatility Spillover among Financial Sector CDS Indexes ın The UK. Research in International Business and Finance, 36, 288-296.
• Tokat (2010). IMKB Sektör Endeksleri Arasındaki Şok ve Oynaklık Etkileşimi. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 4(1), 91-104.
• Yin, K., Liu, Z. and Jin,X. (2019). Interindustry Volatility Spillover Effect in China's Stock Market. Physica A.