Volatility Spillovers and Correlations between Oil Prices and Stock Sectors in Turkey: Implications on Portfolio Hedging and Diversification Opportunities

被引：0

作者：

Abioglu, Vasif ^{[1
]}

机构：

[1] Aksaray Univ, Dept Econ, Aksaray, Turkey

来源：

SOSYOEKONOMI | 2021年 / 29卷 / 47期

关键词：

Volatility Spillover; Conditional Correlations; Hedge Ratio; Hedging Effectiveness; Optimal Weight; Diversification Effectiveness; DYNAMIC CONDITIONAL CORRELATION; ASYMPTOTIC THEORY; CLEAN ENERGY; MARKETS; COMMODITY; RETURNS; SHOCKS; RISK; US;

D O I：

10.17233/sosyoekonomi.2021.01.04

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study investigates volatility spillover effects as well as hedging and diversification opportunities between sectoral stock returns and world crude oil prices in Turkey using the weekly closing prices of the BIST 100 and twenty-three sectoral stock indices for the period 2002-2018. DCC modelling is employed to investigate volatility spillovers between sectoral stock returns and oil prices. Findings reveal significant volatility spillovers from the oil market to the BIST 100 and twelve stock sectors. Furthermore, optimal hedge ratios, optimal portfolio weights, hedging effectiveness, diversification effectiveness and risk-adjusted returns of oil-stock portfolios are computed and compared. The results indicate that diversification is a more effective strategy than hedging in terms of risk (variance) reductions and risk-adjusted returns in the Turkish stock market.

引用

页码：79 / 106

页数：28

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