Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul

Yıl 2021, , 512 - 534, 01.08.2021

Ramazan Ekinci , Ahmet Galip Gençyürek

https://doi.org/10.17153/oguiibf.879784

Cited By: 5

Öz

The aim of the study is to analyze the shock and volatility spillover between BIST Finance, Industry, Technology, Tourism, Transportation, Food, and Retail-Trade sectors. In this direction, daily data obtained between January 5, 2010, and December 4, 2020, were analyzed using a new method named TVP-VAR Diebold Yılmaz Spillover Index developed by Antonakakis et al. (2019). Our results indicate that the industrial and financial sectors are in the leading position in terms of the shock and volatility spillover, while other sectors generally are in the lagging position.

Anahtar Kelimeler

BIST, Sector Indices, Return, Volatility, Spillover Index

Sektör Endeksleri Arasındaki Dinamik Bağlantılılık: Borsa İstanbul Örneği

Öz

Çalışmanın amacı BİST Finans, Sanayi, Teknoloji, Turizm, Ulaştırma, Gıda ve Perakende -Ticaret sektörleri arasındaki şok ve volatilite yayılımını analiz etmektir. Bu doğrultuda 5 Ocak 2010 ile 4 Aralık 2020 tarihleri arasındaki günlük veriler Antonakakis vd. (2019) tarafından geliştirilen TVP- VAR Diebold Yılmaz Yayılım Endeksi yöntemiyle analiz edilmiştir. Yapılan analizler sonucunda sanayi ve finans sektörünün şok ve volatilite yayılımında öncül; diğer sektörlerin ise, genellikle ardıl konumda oldukları tespit edilmiştir.

Anahtar Kelimeler

BİST, Sektör Endeksleri, Getiri, Volatilite, Yayılım Endeksi

Kaynakça

• Ahmed, W. M. A. (2016). “The Dynamic Linkages Among Sector Indices: The Case Of The Egyptian Stock Market”, International Journal of Economics and Finance, C.8, S. 4: 23-38. DOI:10.5539/ijef.v8n4p23
• Antonakakis N., Cunado J., Filis G., Gabauer D. and De Gracia F. P. (2019). “Oil And Asset Classes Implied Volatilities: Dynamic Connectedness And Investment Strategies”, Energy Economics Forthcoming. https://doi.org/10.2139/ssrn.3399996
• Arbelaez H., Urrutia J. and Abbas N. (2001). “Short-Term And Long-Term Linkages Among The Colombian Capital Market Indexes” International Review of Financial Analysis, C. 10: 237-273. https://doi.org/10.1016/S1057-5219(01)00051-5
• Arouri M. E. H., Jouni J. and Nguyen D. K. (2012). “On The Impacts Of Oil Price Fluctuations On European Equity Markets: Volatility Spillover And Hedging Effectiveness”, Energy Economics, C. 34: 611-617. https://doi.org/10.1016/j.eneco.2011.08.009
• Bai S. and Koong K. S. (2018). “Oil Prices, Stock Returns, And Exchange Rates: Empirical Evidence From China And The United States” North American Journal of Economics and Finance, C. 44: 12-33.https://doi.org/10.1016/j.najef.2017.10.013
• Balcılar M., Ozdemir Z. A. and Ozdemir H. (2019). “Dynamic Return And Volatility Spillovers Among S&P 500, Crude Oil, And Gold”, International Journal of Finance & Economics: 1-18. https://doi.org/10.1002/ijfe.1782
• Barunik J., Kocenda E. and Vacha L. (2015). “Asymmetric Connectedness On The U.S. Stock Market: Bad And Good Volatility Spillovers”, Journal of Financial Markets, C.27: 55-78. https://doi.org/10.1016/j.finmar.2015.09.003
• Basher S. A. and Sadorsky P. (2016). “Hedging Emerging Market Stock Prices With Oil, Gold, VIX, And Bonds: A Comparison Between DCC, ADCC And GO-GARCH”, Energy Economics, C. 54: 235-247. https://doi.org/10.1016/j.eneco.2015.11.022
• Baumöhl E., Kocenda E., Lyocsa S. and Vyrost T. (2018). “Networks Of Volatility Spillovers Among Stock Markets”, Physica A, C. 490: 1555-1574. https://doi.org/10.1016/j.physa.2017.08.123
• Belhassine O. (2020). “Volatility Spillovers And Hedging Effectiveness Between The Oil Market And Eurozone Sectors: A Tale Of Two Crises”, Research in International Business and Finance, C. 53: 1-39. https://doi.org/10.1016/j.ribaf.2020.101195
• Cavaglia S., Brightman C. and Aked M. (2000). “The Increasing Importance of Industry Factors”, Portfolio Management: 41-54. https://doi.org/10.2469/faj.v56.n5.2389
• Chakrabarty A., De A. and Bandyopadhyay G. (2015). “A Wavelet-Based MRA-EDCC-GARCH Methodology For The Detection Of News And Volatility Spillover Across Sectoral Indices: Evidence From The Indian Financial Market”,Global Business Review, C.16, S.1: 35-49.
• Chatziantoniou I., Gabauer D. and Marfatia H. (2020). “Dynamic Contentedness And Spillovers Across Sectors: Evidence From Indian Stock Market”, Working Paper.
• Chen Y., Li W. and Qu F. (2019). “Dynamic Asymmetric Spillovers And Volatility Interdependence On China’s Stock Market”, Physica A, C.523: 825-838. https://doi.org/10.1016/j.physa.2019.02.021
• Creti A., Joets M. and Mignon V. (2013). “On The Links Between Stock And Commodity Markets' Volatility”, Energy Economics, C. 37: 16-28. https://doi.org/10.1016/j.eneco.2013.01.005
• Diebold F. X. and Yilmaz K. (2009). “Measuring Financial Asset Return And Volatility Spillovers, With Application To Global Equity Markets”, The Economic Journal, C.119, S. 534; 158-171. https://doi.org/10.1111/j.1468-0297.2008.02208.x
• Duncan A. S. and Kabundi A. (2013). “Domestic And Foreign Sources Of Volatility Spillover To South African Asset Classes”, Economic Modelling, C. 31: 566-573. https://doi.org/10.1016/j.econmod.2012.11.016
• Duran S. and Sahin A. (2006). “The Relationship Among IMKB Services, Financial, Industrial And Technological Indices”, The Journal of Social Sciences Research, C. 1, S.1: 57-69.
• Elliott, G., Rothenberg, T. and Stock, J. H. (1996). “Efficient Tests for an Autoregressive Unit Root”, Econometrica, C. 64: 813-836. http://dx.doi.org/10.2307/2171846
• Eyuboglu S. and Eyuboglu K. (2019). “Testing the interdependence of Borsa Istanbul Sector Indices”, Erciyes University Journal of Faculty of Economic and Administrative Sciences, C. 53: 246-260.
• Ewing B. T. (2002). “The Transmission Of Shocks Among S&P Indexes”. Applied Financial Economics, C. 12: 285-290. https://doi.org/10.1080/09603100110090172
• Hammoudeh S. M., Yuan Y. and McAleer M. (2009). “Shock And Volatility Spillovers Among Equity Sectors Of The Gulf Arab Stock Markets”, The Quarterly Review of Economics and Finance, C. 49: 829-842. https://doi.org/10.1016/j.qref.2009.04.004
• Hassan S. A. and Malik F. (2007). “Multivariate GARCH Modeling Of Sector Volatility Transmission”, The Quarterly Review of Economics and Finance, C. 47: 470-480. https://doi.org/10.1016/j.qref.2006.05.006
• Hassan K., Hoque A., Wali M. and Gasbarro D. (2020).” Islamic Stocks, Conventional Stocks, And Crude Oil: Directional Volatility Spillover Analysis In BRICS”, Energy Economics, C. 92: 1-16. https://doi.org/10.1016/j.eneco.2020.104985
• Jebran K., Chen S., Ullah I. and Mirza S. S. (2017). “Does Volatility Spillover Among Stock Markets Varies From Normal To Turbulent Periods? Evidence From Emerging Markets Of Asia”, The Journal of Finance and Data Science, C. 3(1-4): 20-30. https://doi.org/10.1016/j.jfds.2017.06.001
• Kang W., Ratti R. A. and Yoon K. H. (2015). “The Impact Of Oil Price Shocks On The Stock Market Return And Volatility Relationship”, Int. Fin. Markets, Inst. and Money, C.34: 41-54. https://doi.org/10.1016/j.intfin.2014.11.002
• Khalfaoui R., Sarwar S. and Tiwari A. K. (2019). “Analysing Volatility Spillover Between The Oil Market And The Stock Market In Oil-Importing And Oil-Exporting Countries: Implications On Portfolio Management”, Resources Policy, C. 62: 22-32.
• Kırkpınar A. (2019). “Measurement Of Volatility Spillover Between Sector Indices In Borsa Istanbul With Multivariate GARCH Model”, Global Journal of Economics and Business Studies, C. 8, S.16: 140-148.
• Kocaarslan B. (2020). “Volatility Interaction Between BIST (Borsa Istanbul) Technology Index And Other Main Sector Indices”, Business & Management Studies: An International Journal, C. 8, S. 1: 458-475. http://dx.doi.org/10.15295/bmij.v8i1.1392
• Kouki I., Harrathi N. and Haque M. (2011). “A Volatility Spillover Among Sector Index Of International Stock Markets”, Journal of Money, Investment and Banking, C. 22: 32-45.
• Li Y. L. and Giles D. E. (2014). “Modellıng Volatility Spillover Effects Between Developed Stock Markets And Asian Emerging Stock Markets”, International Journal of Finance & Economics: 1-22. https://doi.org/10.1002/ijfe.1506
• Malik F. and Ewing B. T. (2009). “Volatility Transmission Between Oil Prices And Equity Sector Returns”, International Review of Financial Analysis, C.18: 95-100. https://doi.org/10.1016/j.irfa.2009.03.003
• Malkiel B. G. (1989). “Is the Stock Market Efficient ?” Science, C. 243, S. 4896: 1313-1318.
• Mandacı P. E., Cagli E.Ç. and Taşkın D. (2020). “Dynamic Connectedness And Portfolio Strategies: Energy And Metal Markets”, Resources Policy, C. 68: 1-16. https://doi.org/10.1016/j.resourpol.2020.101778
• Mateus C., Chinthalapati R. and Mateus I.B. (2017). “Intraday Industry-Specific Spillover Effect In European Equity Markets”, The Quarterly Review of Economics and Finance, C. 63: 278-298. https://doi.org/10.1016/j.qref.2016.04.011
• Mensi W., Beljid M., Boubaker A. and Managi S. (2013). “Correlations And Volatility Spillovers Across Commodity And Stock Markets: Linking Energies, Food, And Gold”, Economic Modelling, C. 32: 15-22. https://doi.org/10.1016/j.econmod.2013.01.023
• Mensi W., Hammoudeh S., Nguyen D. K. and Kang S. H. (2016). “Global Financial Crisis And Spillover Effects Among The U.S. And BRICS Stock Markets”, International Review of Economics & Finance, C. 42: 257-276. https://doi.org/10.1016/j.iref.2015.11.005
• Mensi W., Nekhili R., Vo X.V., Suleman T. and Kang S. H. (2020). “Asymmetric Volatility Connectedness Among U.S. Stock Sectors”, North American Journal of Economics & Finance: 1-46. https://doi.org/10.1016/j.najef.2020.101327
• Nazlıoglu S., Soytas U. and Gupta R. (2015). “Oil Prices And Financial Stress: A Volatility Spillover Analysis”, Energy Policy, C. 8: 278-288. https://doi.org/10.1016/j.enpol.2015.01.003
• Patra, T. and Poshakwale S. S. (2008). “Long-Run And Short-Run Relationship Between The Main Stock Indexes: Evidence From The Athens Stock Exchange”, Applied Financial Economics, C. 18: 1401-1410. https://doi.org/10.1080/09603100701704314
• Singh P., Kumar, B. and Pandey A. (2010). “Price And Volatility Spillovers Across North American, European And Asian Stock Markets”, International Review of Financial Analysis, C. 19: 55-64. https://doi.org/10.1016/j.irfa.2009.11.001
• Stiglitz, J. E. (1981). “Information and Capital Market”. National Bureau of Economic Research Working Paper: 1-55 . Şenol Z. (2020). “Volatility Spillover Among Stock Market Sectors”. Gazi Journal of Economics & Business, C. 6, S.3: 257-267.
• Tokat E. (2010). “Shock And Volatility Interaction Between The Sector Indexes Of Istanbul Stock Exchange”, Journal of BRSA Banking and Financial Market, C. 4, S. 1: 91-104.
• Topaloglu, E. E. (2020). “Volatility Structure And Volatility Spillover Of Borsa Istanbul Stock Indexes: The Case Of BIST Industrial And Financial Indexes With GARCH And MGARCH Models”, Dumlupınar University Journal of Social Sciences, C. 63:17-38.
• Vardar G., Tunc G. and Aydogan B. (2012). “Long-Run And Short-Run Dynamics Among The Sectoral İndices: Evidence From Turkey”, Asian Economics and Financial Review, C. 2, S.2: 347-357.
• Wang Z. (2010). “Dynamics And Causality In Industry-Specific Volatility”, Journal of Banking & Finance, C. 34: 1688-1699. https://doi.org/10.1016/j.jbankfin.2010.03.014
• Wang Z., Kutan, A.M. and Yang J. (2005). “Information Flows Within And Across Sectors In Chinese Stock Markets”, The Quarterly Review of Economics and Finance, C. 45: 767-780. https://doi.org/10.1016/j.qref.2003.08.001
• Xiao L. and Dhesi, G. (2010). “Volatility Spillover And Time-Varying Conditional Correlation Between The European And US Stock Market”, Global Economy and Finance Journal, C. 3, S.2: 148-164.
• Yin K., Liu Z. and Jin X. (2020). “Interindustry Volatility Spillover Effects In China’s Stock”, Physica A, C. 539: 1-15. https://doi.org/10.1016/j.physa.2019.122936
• Zhang W., Zhuang, X., Wang J. and Lu Y. (2020). “Connectedness And Systemic Risk Spillovers Analysis Of Chinese Sectors Based On Tail Risk Network”, North American Journal of Economics & Finance, C.54: 1-24. https://doi.org/10.1016/j.najef.2020.101248