Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities

Yıl: 2021 Cilt: 29 Sayı: 47 Sayfa Aralığı: 79 - 106 Metin Dili: İngilizce DOI: 10.17233/sosyoekonomi.2021.01.04 İndeks Tarihi: 18-05-2021

Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities

Öz:
This study investigates volatility spillover effects as well as hedging and diversification opportunities between sectoral stock returns and world crude oil prices in Turkey using the weekly closing prices of the BIST 100 and twenty-three sectoral stock indices for the period 2002-2018. DCC modelling is employed to investigate volatility spillovers between sectoral stock returns and oil prices. Findings reveal significant volatility spillovers from the oil market to the BIST 100 and twelve stock sectors. Furthermore, optimal hedge ratios, optimal portfolio weights, hedging effectiveness, diversification effectiveness and risk-adjusted returns of oil-stock portfolios are computed and compared. The results indicate that diversification is a more effective strategy than hedging in terms of risk (variance) reductions and risk-adjusted returns in the Turkish stock market.
Anahtar Kelime:

Türkiye’de Petrol Fiyatları ve Sanayi Sektörleri Arasında Volatilite Yayılımı ve Korelasyon: Riskten Korunma ve Portföy Çeşitlendirme Üzerine Etkileri

Öz:
Bu çalışmada, 2002-2018 dönemi için haftalık veriler kullanılmakla, dünya ham petrol fiyatları ile Türkiye’de BIST 100 ve 23 sanayi sektörü getiri oranları arasındaki volatilite yayılmaları, riskten korunma ve portföy çeşitlendirme stratejileri incelenmektedir. DCC modeli ile elde edilen volatilite yayılmaları tahmin sonuçlara göre, petrol fiyatlarından BIST 100 ve 12 sanayi sektörüne anlamlı volatilite geçişleri söz konusudur. Ayrıca, çalışmada petrol-sektör portföyü için optimal riskten korunma oranları, optimal portföy ağırlık oranları, riskten korunma etkinliği, portföy çeşitlendirme etkinliği ve risk-ayarlı getiri oranları hesaplanmaktadır. Tahmin sonuçlarına göre, risk (varyans) azalışı ve risk-ayarlı getiri oranları açısından portföy çeşitlendirme stratejisi riskten korunma stratejisine oranla daha etkin strateji olmaktadır.
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA Abioglu V (2021). Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities. , 79 - 106. 10.17233/sosyoekonomi.2021.01.04
Chicago Abioglu Vasif Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities. (2021): 79 - 106. 10.17233/sosyoekonomi.2021.01.04
MLA Abioglu Vasif Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities. , 2021, ss.79 - 106. 10.17233/sosyoekonomi.2021.01.04
AMA Abioglu V Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities. . 2021; 79 - 106. 10.17233/sosyoekonomi.2021.01.04
Vancouver Abioglu V Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities. . 2021; 79 - 106. 10.17233/sosyoekonomi.2021.01.04
IEEE Abioglu V "Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities." , ss.79 - 106, 2021. 10.17233/sosyoekonomi.2021.01.04
ISNAD Abioglu, Vasif. "Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities". (2021), 79-106. https://doi.org/10.17233/sosyoekonomi.2021.01.04
APA Abioglu V (2021). Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities. Sosyoekonomi, 29(47), 79 - 106. 10.17233/sosyoekonomi.2021.01.04
Chicago Abioglu Vasif Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities. Sosyoekonomi 29, no.47 (2021): 79 - 106. 10.17233/sosyoekonomi.2021.01.04
MLA Abioglu Vasif Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities. Sosyoekonomi, vol.29, no.47, 2021, ss.79 - 106. 10.17233/sosyoekonomi.2021.01.04
AMA Abioglu V Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities. Sosyoekonomi. 2021; 29(47): 79 - 106. 10.17233/sosyoekonomi.2021.01.04
Vancouver Abioglu V Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities. Sosyoekonomi. 2021; 29(47): 79 - 106. 10.17233/sosyoekonomi.2021.01.04
IEEE Abioglu V "Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities." Sosyoekonomi, 29, ss.79 - 106, 2021. 10.17233/sosyoekonomi.2021.01.04
ISNAD Abioglu, Vasif. "Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities". Sosyoekonomi 29/47 (2021), 79-106. https://doi.org/10.17233/sosyoekonomi.2021.01.04