Volatility spillovers between world oil market and sectors of BIST

Sattary A., TEMURLENK M. S., BİLGİÇ A., Çelik A. K.

Asian Social Science, cilt.10, sa.8, ss.156-164, 2014 (Scopus) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 10 Sayı: 8
  • Basım Tarihi: 2014
  • Doi Numarası: 10.5539/ass.v10n8p156
  • Dergi Adı: Asian Social Science
  • Derginin Tarandığı İndeksler: Scopus
  • Sayfa Sayıları: ss.156-164
  • Anahtar Kelimeler: BIST, Bivariate GARCH model, Turkey, Volatility spillover
  • Erzincan Binali Yıldırım Üniversitesi Adresli: Hayır

Özet

Nowadays, enormous increase of production and service sectors leads to increase in demand for energy consumption. Therefore, energy and oil consumption in a variety of countries are considerably effected by energy and oil prices. International oil prices are crucial for both oil exporting countries and capital market investors as a means of volatility spillovers. This paper aims to analyze whether volatility spillovers exist between world oil market and several sector indices operating in Borsa Istanbul (BIST) 100 including energy, non-metal mineral products, and transportation using bivariate GARCH (1, 1) model. Estimation results suggest that except for non-metal mineral products sector, there are interactions between oil returns and the underlying sectors in terms of both shocks and conditional variance. © the author(s).