Petrol Fiyatları, Tüpraş ve Enerjisa Hisse Getirileri Arasındaki Koşullu Korelasyon ve Oynaklık Yayılımı: Kapsayıcı Bir BİST Enerji Endeksi Oluşturma Önerisi

Yıl 2021, Sayı: Özel Sayı 2, 15 - 32, 02.02.2021

Caner Özdurak

https://doi.org/10.33203/mfy.844802

Öz

Bu çalışmamız Borsa İstanbul’da yeni ve kapsayıcı bir Enerji Endeksi oluşturulması için atılan yapılacak olan çalışmalara ilk adım olarak değerlendirilmelidir. Önerilen endeks yakın zamanda borsada işlem görmeye başlayan en büyük perakende enerji şirketlerinden biri olan Enerjisa’yı da kapsayarak diğer endekslerden ayrışmaktadır. Çalışmada DCC-GARCH yaklaşımı benimsenmiştir. Öncelikle petrol fiyatlarının Tüpraş ve Enerjisa hisse getirileri ve oynaklıkları ile olan ilişkisi incelenmiştir. İkincil olarak GARCH modellerinden faydalanarak DCC-GARCH modellerini oluşturduk ve Enerjisa ile Tüpraş arasındaki koşullu korelasyon katsayılarını inceledik. Analizlerimiz sonucunda Tüpraş ve Enerjisa arasında oynaklık yayılması olduğu bulgusuna ulaşılmıştır. Enerji marketlerinin karmaşık ve bütünleşmiş yapısı düşünüldüğünde değer zincirinin her kademesini içerecek şekilde seçilen şirketlerden oluşturulacak bir Enerji Endeksi’nin yatırım fonları için iyi bir alternatif olacağı düşüncesindeyiz.

Anahtar Kelimeler

petrol fiyatları, elektrik, oynaklık, yayılma

Conditional Correlations and Volatility Spillovers Between Crude Oil Price, Tüpraş and Enerjisa Stock Returns: A Proposal for Constructing an Ultimate BİST Energy Index

Öz

This paper is the first step of our studies to construct a new Energy Index in Borsa İstanbul Exchange. The proposed Index will differ from the existing indices by including Enerjisa since it is the major player in electricity retail and distribution business. The paper deploys DCC-GARCH framework. Firstly, we examined the impact of oil price shocks on Tüpraş and Enerjisa stock returns and volatility. Secondly, we utilized the GARCH models to construct DCC-GARCH and analyzed the conditional correlation coefficients for Enerjisa and Tüpraş. Due to our analysis, we concluded that volatility spillover exists between Tüpraş and Enerjisa. Considering the complex and integrated structure of energy markets at all levels and sectors constructing an ultimate Energy Index in BIST shall be a good alternative for investment funds to participate dynamic energy market of Turkey

Anahtar Kelimeler

Oil Price, Stock Return, electricity, volatility, spillover,, energy markets

Kaynakça

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