Dynamic Connectedness between Sector Indices: Evidence from Borsa Istanbul
نویسندگان
چکیده
The aim of the study is to analyze shock and volatility spillover between BIST Finance, Industry, Technology, Tourism, Transportation, Food, Retail-Trade sectors. In this direction, daily data obtained January 5, 2010, 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 industrial financial sectors are in leading position terms spillover, while other generally lagging position.
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ژورنال
عنوان ژورنال: Eski?ehir Osmangazi Üniversitesi ?ktisadi ve ?dari Bilimler Dergisi
سال: 2021
ISSN: ['1306-6730']
DOI: https://doi.org/10.17153/oguiibf.879784