文章基本信息

标题：The Effects of Crises on Volatility Spillovers between Borsa Istanbul Sector Indexes
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作者：Melik Kamışlı ; Serap Kamışlı ; Güven Sevil 等
期刊名称：Advances in Economics and Business
印刷版ISSN：2331-5059
电子版ISSN：2331-5075
出版年度：2016
卷号：4
期号：7
页码：339-344
DOI：10.13189/aeb.2016.040703
语种：English
出版社：Horizon Research Publishing
摘要：The crises that occurred in the last century showed that crises can change financial and economic relationships between the regions and countries. But, especially 1998 Asian Crisis put a spotlight on volatility spillovers and contagion effects. After the crisis there has been made studies that analyze contagion effects and changing spillovers between the markets due to the crisis. The volatility spillovers provide information to investors to be used in investment decisions. Especially risk averse investors use this information in diversification and portfolio allocation decisions. But some investors want to invest in specific sectors. So, it will be useful to analyze the relations between sectors. In this context, the purpose of this study is to analyze the volatility spillovers between industrial, services and financial sectors of Turkish stock market Borsa Istanbul, on the basis of 2008 Global Crisis and Greece Debt Crisis. For this purpose we use Hafner and Herwartz causality in variance test (2006). The findings reveal that there are reciprocal volatility spillovers between industrial and financial sectors and unidirectional spillover from services to industrial sector before the 2008 Global Crisis. But there is no spillover between the index returns after the Global Crisis indicating that crises change the volatility linkages between sector index returns. It is also determined there are volatility spillovers from industrial sector to services and financial sectors and from services to financial sector.
关键词：2008 Global Crisis;Greece Debt Crisis;Volatility Spillover;Sector Indexes;Causality in Variance Test