Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul

Ramazan Ekinci, (Bakırçay Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü, İzmir, Türkiye)
Ahmet Galip Gençyürek (Munzur Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, Bankacılık ve Finans Bölümü, Tunceli, Türkiye)
Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi
9 3
Yıl: 2021 Cilt: 16 Sayı: 2 Sayfa Aralığı: 512 - 534 Metin Dili: İngilizce DOI: 10.17153/oguiibf.879784 İndeks Tarihi: 01-09-2021

Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul

Öz:
The aim of the study is to analyze the shock and volatilityspillover 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 newmethod named TVP-VAR Diebold Yılmaz Spillover Indexdeveloped by Antonakakis et al. (2019). Our resultsindicate that the industrial and financial sectors are inthe leading position in terms of the shock and volatilityspillover, while other sectors generally are in the laggingposition.
Anahtar Kelime:

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 Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA Ekinci R, GENÇYÜREK A (2021). Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul. , 512 - 534. 10.17153/oguiibf.879784
Chicago Ekinci Ramazan,GENÇYÜREK Ahmet Galip Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul. (2021): 512 - 534. 10.17153/oguiibf.879784
MLA Ekinci Ramazan,GENÇYÜREK Ahmet Galip Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul. , 2021, ss.512 - 534. 10.17153/oguiibf.879784
AMA Ekinci R,GENÇYÜREK A Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul. . 2021; 512 - 534. 10.17153/oguiibf.879784
Vancouver Ekinci R,GENÇYÜREK A Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul. . 2021; 512 - 534. 10.17153/oguiibf.879784
IEEE Ekinci R,GENÇYÜREK A "Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul." , ss.512 - 534, 2021. 10.17153/oguiibf.879784
ISNAD Ekinci, Ramazan - GENÇYÜREK, Ahmet Galip. "Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul". (2021), 512-534. https://doi.org/10.17153/oguiibf.879784
APA Ekinci R, GENÇYÜREK A (2021). Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 16(2), 512 - 534. 10.17153/oguiibf.879784
Chicago Ekinci Ramazan,GENÇYÜREK Ahmet Galip Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi 16, no.2 (2021): 512 - 534. 10.17153/oguiibf.879784
MLA Ekinci Ramazan,GENÇYÜREK Ahmet Galip Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, vol.16, no.2, 2021, ss.512 - 534. 10.17153/oguiibf.879784
AMA Ekinci R,GENÇYÜREK A Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2021; 16(2): 512 - 534. 10.17153/oguiibf.879784
Vancouver Ekinci R,GENÇYÜREK A Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2021; 16(2): 512 - 534. 10.17153/oguiibf.879784
IEEE Ekinci R,GENÇYÜREK A "Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul." Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 16, ss.512 - 534, 2021. 10.17153/oguiibf.879784
ISNAD Ekinci, Ramazan - GENÇYÜREK, Ahmet Galip. "Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul". Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi 16/2 (2021), 512-534. https://doi.org/10.17153/oguiibf.879784
Sayfa Oluşturulma Tarihi
24-04-2024 18:33

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