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BUSINESS & MANAGEMENT STUDIES:
AN INTERNATIONAL JOURNAL
Published: 2020-03-25

VOLATILITY INTERACTION BETWEEN BIST (BORSA ISTANBUL) TECHNOLOGY INDEX AND OTHER MAIN SECTOR INDICES

Res. Asisst., Yalova University
Volatility Spillover BIST Main Sector Indices BIST Technology Index

Abstract

The aim of this study is to test the causality in variance (volatility spillover) relationship between the Borsa Istanbul (BIST) Technology Index and other main industry indices (BIST Industry, BIST Services and BIST Financial indices). To this end, a causality in variance approach developed by Hafner and Herwartz (2006) is used. The results of the volatility model show that long-term volatility considerably affects all sector indices. According to the causality in variance test results, it is found that there are significant volatility spillovers between the main sector indices. The analysis results show a substantial one-way volatility spillover from BIST Technology index to other indices. In addition, the findings point to the presence of volatility transmission from BIST Industrial index to BIST Services and BIST Financial indices. Finally, a two-way volatility spillover between BIST Services and BIST Financial indices is observed. The test results contain important information for market participants in determining optimal hedging and investment strategies.

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How to Cite

KOCAARSLAN, B. (2020). VOLATILITY INTERACTION BETWEEN BIST (BORSA ISTANBUL) TECHNOLOGY INDEX AND OTHER MAIN SECTOR INDICES. Business & Management Studies: An International Journal, 8(1), 458-475. https://doi.org/10.15295/bmij.v8i1.1392