Sectoral Volatility in Borsa Istanbul

A GARCH-based Comparative Analysis

Bibliographic Data

ID22000805
AuthorsEmre Bulut (0000-0002-1468-2175, Fırat University, corresponding author)
Year2024
Volume10
Issue2
Pages507-522
Publication date2024-07-31
Open AccessYes
TypeARTICLE
VenueAhi Evran Üniversitesi Sosyal Bilimler Enstitüsü Dergisi (JOURNAL)
Journal identifiersISSN: 2149-0767 • E-ISSN: 2149-0767
PublisherAhi Evran Universitesi Sosyal Bilimler Enstitusu Dergisi (PUBLISHER)
DOI10.31592/aeusbed.1355079
OpenAlexW4401125909
LanguageEN
References cited26

This study delved into the complex landscape of sectoral volatility dynamics within Borsa Istanbul, a dynamic emerging market, using the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model. By analyzing a dataset spanning from March 1, 2013, to August 16, 2023, the research examined how different sectors respond to market shocks and how these responses vary across sectors. The findings revealed distinct volatility behaviors among sectors, with the BIST Financial Leasing Index (FINK) displaying heightened vulnerability to external shocks, while the BIST Banking Index (BNK) and BIST Financial Index (MALI) exhibited comparatively milder volatility responses. Policymakers, regulators, and investors can utilize these insights to tailor risk management strategies, enhance market stability, and construct portfolios that align with risk preferences. This research enriches the understanding of sectoral dynamics in emerging markets, offering a foundation for future investigations into the intricate interplay between sectors, shocks, and volatility patterns

Autoregressive conditional heteroskedasticity · Autoregressive model · Business · Econometrics · Economics · Emerging markets · Financial economics · Heteroscedasticity · Monetary economics · Computer Science · Financial Risk and Volatility Modeling · Global Financial Crisis and Policies · Market Dynamics and Volatility · Finance

Tools

Open DOIOpen Access