İslami hisse senedi endeksleri, İslami kurallara uygun olarak belirlenen alanlarda faaliyet gösteren şirketler baz alınarak oluşturulan endekslerdir. İslami finansal araçlara yatırım yapan yatırımların temel amacı, geleneksel finansal araçlara yatırım yapan yatırımcılara benzer şekilde minimum risk ile maksimum getiriyi sağlamaktır. Bu amaçla yatırımcılar karar süreçlerinde varlıklara ve piyasalara ilişkin analizler yapmaktadır. Bu analizlerden biri de varlıklar arasındaki oynaklık ilişkilerinin yapısının belirlenmesidir. Oynaklık ilişkileri sabit veya dinamik yapıda olabilmektedir. Bu durum ise yatırım stratejilerinin belirlenmesinde dikkate alınması gereken bir faktördür. Oynaklık ilişkilerinin yapısının belirlenmesinde kullanılan testlerden biri Engle ve Sheppard (2001) tarafından geliştirilen dinamik korelasyon model testidir. Bu bağlamda çalışmada 15.
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.
Oil, which is one of the fundamental energy sources, is an important cost item especially for industrial sector. Increases in oil prices decrease the profits of the firms by causing increase in the production costs. For this reason, it is claimed that there is a strong relationship between oil price and industrial sector profitability. On the other hand, oil is an alternative investment vehicle that can be included to the portfolio. Therefore, in this study the relationships between oil price and industrial sector returns of European countries are analyzed with Maki (2012) cointegration test under multiple structural breaks, on the basis of European Debt Crisis. The results show that announcements of credit rating agencies, elections, resignations, announcements of European Central Bank and IMF, recovery packages and economic developments cause structural breaks in relationships. Results also indicate that there is no cointegration between oil price and industrial sector returns of Austria, Belgium and Holland.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.