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Journals / Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi / 2026 / Cilt: 16 Sayı: 2

Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul

Sektör Endeksleri Arasındaki Dinamik Bağlantılılık: Borsa İstanbul Örneği

Ramazan Ekinci(İZMİR BAKIRÇAY ÜNİVERSİTESİ)0000-0001-7420-9841
Ahmet Galip Gençyürek(MUNZUR ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ)0000-0002-5842-7942
Pages
512–534
Publication Date
2021-08-01
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

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.

📌 3 Key Takeaways

🎯
Objective & Hypothesis: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.
📊
Key Findings & Data: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).
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Conclusion & Impact: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.
🔬Design:Araştırma Makalesi
📍Scope:2010 Verileri
⚙️Variables:BİST · Sektör Endeksleri · Getiri

Abstract

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.

Özet

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.

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Cite This Article

Ekinci, R., Gençyürek, A. G. (2021). Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, Cilt: 16 Sayı: 2, 512–534. https://doi.org/10.17153/oguiibf.879784

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