İMKB sektör endeksleri arasındaki şok ve oynaklık etkileşimi

Bu çalışmada İstanbul Menkul Kıymetler Borsası (İMKB) hisse senetleri sektör endeksleri arasındaki şok ve oynaklık etkileşimi incelenmiştir. 30 Haziran 2000 ile 27 Ağustos 2009 tarihleri arasındaki İMKB Ulusal Sınai, Ulusal Hizmetler, Ulusal Mali ve Ulusal Teknoloji endekslerinin günlük kapanış verileri kullanılarak ve çok değişkenli GARCH modeli uygulanarak sektörler arası şok ve oynaklık sıçramaları tespit edilmiştir. Çeşitli yatırım varlıkları için bu sektör endeksleri gösterge niteliği taşıdığından, yatırımcılar için bu sektörlerin oynaklık mekanizmasının işleyişinin anlaşılması optimum portföy çeşitlendirmesi ve yönetilmesi için önem teşkil etmektedir. Bu bağlamda çalışmanın bulguları yatırımcılara faydalı bir kullanım alanı sunmaktadır. Sonuçlar, politika yapıcılar ve düzenleyiciler için de gösterge niteliği taşımaktadır.

Shock and volatility interaction between the sector indexes of İstanbul stock exchange

This paper investigates the shock and volatility transmission between the Istanbul Stock Exchange (ISE) sector indexes. Using daily data of ISE National Industry, National Service,National Finance and National Technology indexes from July 30, 2000 to August 27, 2009 and employing a series of multivariate GARCH models, strong shock and volatility spillovers are detected among the sectors. Since these sector indexes are taken as indicator for various investment assets, it is important for financial investors to understand the volatility transmission mechanism across the sectors in order to make optimal portfolio allocation decisions. In this context, the results of this study provide a useful scope of application for the investors. The results are also indicative for policy makers and regulators.

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