Munzur ÜniversitesiMunzur ÜniversitesiAçık Erişim Arşivi · RDL Open

Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul

MakaleAçık Erişim
  • SDG 9 · Sanayi, Yenilikçilik ve Altyapı

Özet

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 Yilmaz 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.

Anahtar Kelimeler

BISTSector IndicesReturnVolatilitySpillover Index
RDL Kalıcı Bağlantı (PID)
https://rdlopen.rawdatalibrary.net/r/munzur/4605Resmi atıflarda kullanılan kalıcı adres
DOI
https://doi.org/10.17153/oguiibf.879784Yayıncı resmi DOI adresi
İndeks kayıtları
Web of ScienceWeb of ScienceTR DizinTR Dizin'de ara
Kaydın indeks veri tabanlarındaki sayfası (aktarımda alınan kayıt numarasıyla). Erişim, indeksin kendi koşullarına bağlıdır.
Atıflar
WoS
4
OpenAlex
6
TR Dizin
3
Her kaynağın kendi saydığı toplam atıf; aktarım ve zenginleştirme sırasında alındı.
Tam Kayıt
AlanDeğerDil
dc.contributor.authorEkinci, Ramazan
dc.contributor.authorGençyürek, Ahmet Galip
dc.date.accessioned2026-10-28T15:03:31.449320917Z
dc.date.available2026-10-28T15:03:31.449320917Z
dc.date.issued2021-08
dc.description.abstractThe 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 Yilmaz 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.
dc.identifier.doi10.17153/oguiibf.879784
dc.identifier.eissn1306-6293
dc.identifier.endpage534
dc.identifier.issn1306-6730
dc.identifier.issue2
dc.identifier.startpage512
dc.identifier.urihttps://rdlopen.rawdatalibrary.net/r/munzur/4605
dc.identifier.volume16
dc.identifier.wosWOS:000663309100012
dc.language.isoen
dc.publisherESKISEHIR OSMANGAZI UNIV, FAC EDUCATION
dc.relation.ispartofESKISEHIR OSMANGAZI UNIVERSITESI IIBF DERGISI-ESKISEHIR OSMANGAZI UNIVERSITY JOURNAL OF ECONOMICS AND ADMINISTRATIVE SCIENCES
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectBIST
dc.subjectSector Indices
dc.subjectReturn
dc.subjectVolatility
dc.subjectSpillover Index
dc.subject.classificationEconomics
dc.subject.classificationBusiness & Economics
dc.subject.otherVOLATILITY SPILLOVER
dc.subject.otherSTOCK-MARKET
dc.subject.otherOIL
dc.titleDynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul
dc.typeArticle
rdl.citation.openalex6
rdl.citation.trdizin3
rdl.citation.wos4
rdl.oa.statusgold
rdl.oa.urlhttps://dergipark.org.tr/en/download/article-file/1575584
rdl.sdgSDG09
rdl.source.indexWOS
rdl.source.indexTRDIZIN
rdl.wos.indexEmerging Sources Citation Index (ESCI)