Advances in Economics and Business Vol. 4(7), pp. 339 - 344
DOI: 10.13189/aeb.2016.040703
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The Effects of Crises on Volatility Spillovers between Borsa Istanbul Sector Indexes


Melik Kamışlı 1, Serap Kamışlı 2,*, Güven Sevil 3
1 Department of Banking and Insurance, Bozuyuk Vocational School, Bilecik Seyh Edebali University, Turkey
2 Department of Banking and Finance, School of Applied Sciences, Bilecik Seyh Edebali University, Turkey
3 Department of Accounting and Finance, Faculty of Open Education, Bilecik Seyh Edebali University, Turkey

ABSTRACT

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.

KEYWORDS
2008 Global Crisis, Greece Debt Crisis, Volatility Spillover, Sector Indexes, Causality in Variance Test

Cite this paper
Melik Kamışlı , Serap Kamışlı , Güven Sevil . "The Effects of Crises on Volatility Spillovers between Borsa Istanbul Sector Indexes." Advances in Economics and Business 4.7 (2016) 339 - 344. doi: 10.13189/aeb.2016.040703.