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Akademisyenler > Fatih GÜZEL > Yayın Detayı

BIST Ana Sektör Endekslerinin Volatilite Etkileşimi: COVID-19 Dönemine İlişkin Bulgular     
Yazarlar (1)
Doç. Dr. Fatih GÜZEL Doç. Dr. Fatih GÜZEL
Kırşehir Ahi Evran Üniversitesi, Türkiye
Devamını Göster
Özet
The aim of the study is to determine the volatility interaction between BIST main sector indices for the period of March 2020, the date when COVID-19 was seen in Turkey, and April 2022, when the effects of the pandemic decreased on a national and global basis and the restrictions were lifted to a large extent. In other words, it is the analysis of the volatility spillover of the BIST main sector indices during the COVID-19 pandemic period. Thus, it is aimed to be a reference for investors investing in different sectors, regulatory authorities responsible for ensuring the functioning of the market, policy makers and academic studies. In this study, BIST Technology (XUTEK), BIST Industry (XUSIN), BIST Financial (XUMAL), BIST Services (XUHIZ) indices, which are the main sector indices of BIST, were used, and the Hafner and Herwartz (2006) causality-in-variance test was applied. It was found that XUMAL, XUHIZ and XUTEK are both volatility emitters and receivers at different levels, while XUSIN is a volatility receiver for all series. COVID-19 has significantly affected the volatility structure of the BIST sector indices. In terms of volatility spillover, sector indices interact intensely. The industrial sector is the sector most affected by the volatility spillover from other sectors.
Anahtar Kelimeler
Makale Türü Özgün Makale
Makale Alt Türü Diğer hakemli uluslarası dergilerde yayınlanan tam makale
Dergi Adı Sosyal Ekonomik Araştırmalar Dergisi
Dergi ISSN 2148-3043
Dergi Tarandığı Indeksler DOAJ, SOBİAD, ProQuest ABI/INFORM Global, ESJI, Science Library Index, SIS, DRJI
Makale Dili Türkçe
Basım Tarihi 10-2022
Cilt No 22
Sayı 2
Sayfalar 128 / 138
Doi Numarası 10.30976/susead.1123835
Makale Linki http://dx.doi.org/10.30976/susead.1123835
Atıf Sayıları
Google Scholar 6
BIST Ana Sektör Endekslerinin Volatilite Etkileşimi: COVID-19 Dönemine İlişkin Bulgular

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