Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul
Copyright policy )Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul
The aim of the study is to analyze the shock and volatility spillover 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 new method named TVP-VAR Diebold Yılmaz Spillover Index developed by Antonakakis et al. (2019). Our results indicate that the industrial and financial sectors are in the leading position in terms of the shock and volatility spillover, while other sectors generally are in the lagging position.
- Munzur University Turkey
- Bakırçay Üniversitesi Turkey
BIST;Sector Indices;Return;Volatility;Spillover Index, BİST;Sektör Endeksleri;Getiri;Volatilite;Yayılım Endeksi
BIST;Sector Indices;Return;Volatility;Spillover Index, BİST;Sektör Endeksleri;Getiri;Volatilite;Yayılım Endeksi
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