BORSA İSTANBUL’DA YER ALAN SEKTÖR ENDEKSLERİ ARASINDAKİ OYNAKLIK YAYILIMININ ÇOK DEĞİŞKENLİ GARCH MODELİ İLE ÖLÇÜLMESİ

Oynaklıkların yayılma etkisi, finansal piyasaları etkileyen ve piyasadaki katılımcılar açısından oldukça önemli hal alan bir durumdur. Bir piyasada yaşanan oynaklık diğer piyasayı etkilemesi halinde risk oluşmaktadır. Bu durumda portföy yöneticileri ve yatırımcılar portföylerini korumak için bu riski minimize etmek isteyeceklerdir. Bu çalışmada Borsa İstanbul’un BIST Hizmetler ve BIST Mali sektör endeksleri kullanılarak aralarındaki oynaklık yayılımı analiz edilmiştir. Ayrıca kullanılacak olan Granger ve Hong Nedensellik testleri ile iki sektör endeksi arasındaki nedenselliğin yönü ve ilişkisi ortaya konulmuştur. Yapılan analizler sonucunda her iki sektör endeksleri arasında oynaklık yayılımının olduğu belirlenmiştir. Nedensellik analizleri testleri sonucuna göre her iki sektör endeksleri arasında çift yönlü bir nedensellik olduğu görülmüştür. Elde edilen sonuçlar gerek yatırımcılar gerekse portföy yöneticileri açısından risklerini azaltmak ve optimal portföy yönetimi yapmak için önemli olmaktadır.

Anahtar Kelimeler:

Sektör Endeksleri, Oynaklık Yayılımı, Hong Nedensellik

MEASUREMENT OF VOLATILITY SPILLOVER BETWEEN SECTOR INDICES IN BORSA ISTANBUL WITH MULTIVARIATE GARCH MODEL

The effect of volatility spillovers that affects financial markets is a very important situation for the participants in the market. When the volatility in one market affects the other market, the risk occurs. In this situation, portfolio managers and investors will want to minimize this risk in order to protect their portfolios. This study aims to analyse volatility spillover between BIST Services and BIST Financial sector indices of Borsa İstanbul. In addition, with the Granger and Hong Causality tests to be used, the direction and relationship of causality between the two sector indices were revealed. As a result of the analyses, it was determined that there was volatility spillover between the two sector indices. According to the results of causality analysis tests, it was shown that there was a bivariate causality relationship between the two sector indices. The results are important for both investors and portfolio managers to reduce their risks and to ensure optimal portfolio management.

Keywords:

Sector Indices, Volatility Spillover,

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