Business & Management Studies: An International Journal

Yazarlar: Barış KOCAARSLAN

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Özet: The aim of this study is to test the causality in variance (volatility spillover) relationship between the Borsa Istanbul (BIST) Technology Index and other main industry indices (BIST Industry, BIST Services and BIST Financial indices). To this end, a causality in variance approach developed by Hafner and Herwartz (2006) is used. The results of the volatility model show that long-term volatility considerably affects all sector indices. According to the causality in variance test results, it is found that there are significant volatility spillovers between the main sector indices. The analysis results show a substantial one-way volatility spillover from BIST Technology index to other indices. In addition, the findings point to the presence of volatility transmission from BIST Industrial index to BIST Services and BIST Financial indices. Finally, a two-way volatility spillover between BIST Services and BIST Financial indices is observed. The test results contain important information for market participants in determining optimal hedging and investment strategies.

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