Proceedings of 32nd International Business Research Conference
23 - 25 November, 2015, Rendezvous Hotel, Melbourne, Australia
ISBN: 978-1-922069-89-4
The Volatility Spillovers between Sectors of Turkish
Stock Market on The Basis of Financial Crises
Güven Sevil, Melik Kamışlı and Serap Kamışlı
Abstract
The volatility spillovers between markets give information to investors to be used in
investment decisions. Especially risk averse investors use these 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. On the
other hand, crises can change the direction of volatility spillovers between the sectors
and investors should take into account these changes to give right investment
decisions. In this context, the purpose of this study is to analyze the volatility spillovers
between industrial, services and financial sectors of Turkish stock market which is
named Borsa Istanbul, on the basis of 2008 Global Crisis and Greece Debt Crisis. The
analysis covers three periods that are determined according to the crises. The first
period is before the Global Crisis (2001-2008), the second is after the Global Crisis
(2008-2009) and the third one is after the Greece Debt Crisis (2009-2015). Daily index
returns are analyzed by causality in variance test which is proposed by Hafner and
Herwartz (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. It is also determined there are volatility spillovers
from industrial sector to services and financial sectors and from services to financial
sector. The results show that crises change the volatility linkages between sector index
returns.
JEL Codes: G11, G01, C01
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Dr. Güven Sevil, Professor, Anadolu University, Faculty of Open Education, Department of Accounting
and Finance, Eskişehir, Turkey, Gmail: gsevil@anadolu.edu.tr
Dr. Melik Kamışlı, Lecturer, Bilecik Şeyh Edebali University, Department of Banking and Insurance,
Bilecik, Turkey, Gmail: melikkamisli@gmail.com
Dr. Serap Kamışlı, Anadolu University, Social Sciences Institute, Department of Finance, Eskişehir,
Turkey, Gmail: satbas@gmail.com