ANALYSIS OF THE VOLATILITY SPILLOVERS AMONG BORSA ISTANBUL SUB-SECTOR INDICES

Melik KAMIŞLI, Güven SEVİL
DOI: http://dx.doi.org/10.15295/bmij.v6i4.381

Abstract

Investors may prefer sectoral diversification in order to reduce the portfolio risk. In this case, investors should determine the relationships between the sectors properly in order to make healthy investment decisions. Especially crises directly affect volatility spillovers between the sectors. In this context, it is aimed to determine the effects of crises and different types of shocks on volatility spillovers among Borsa İstanbul (BIST) sub-sector indices. In accordance with this purpose The DCC-GARCH analysis is applied to the series which are determined based on 2001 Financial Crisis and 2008 Global Crisis. The results indicate that Asian Crisis, Russia Crisis, 1999 Earthquake, 2002 general election, 2003 Gulf War, Gezi Park events, 17-25 December operations, Central Bank interest policies and industry-specific events also had effects on spillovers.

Keywords

Constant Conditional Correlation Test; Dynamic Conditional Correlation; Portfolio Management

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