Volatility spillover, hedging and portfolio diversification between oil market and S&P sectoral indices

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dc.contributor.authorGençyürek, Ahmet Galip
dc.contributor.authorEkinci, Ramazan
dc.contributor.authorAğan, Büşra
dc.date.accessioned2023-03-22T19:47:42Z
dc.date.available2023-03-22T19:47:42Z
dc.date.issued2023
dc.departmentBelirleneceken_US
dc.description.abstractThe study aims to analyze the volatility spillover between the oil market (WTI) and the S&P (Stand and Poor's) Energy, Financial, and Industry sector indices through conditional correlation and variance causality. The DCC-GARCH (Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity) and Hafner-Herwartz (2006) Variance Causality models were used to analyze the daily data for the period between January 3, 2012 and December 31, 2019. The results indicate a positive time-var ying conditional correlation between the oil market and sector indices. In addition, the hedge ratios and risk-minimizing portfolio weights (which are vital for investors) have been calculated based on these data. The cheapest hedging transaction with the oil market occurs in the financial sector, while the most expensive one occurs in the energy sector. It has also been determined that volatility is transmitted from the sector indices to the oil market. This situation means that the S&P sector indices play a leading role (resource of information-emit information) in volatility spillover. The results provide important information to researchers, investors, and policymakers.en_US
dc.identifier.doi10.21121/eab.793854
dc.identifier.endpage144en_US
dc.identifier.issn1303-099X
dc.identifier.issue1en_US
dc.identifier.startpage127en_US
dc.identifier.urihttps://doi.org/10.21121/eab.793854
dc.identifier.urihttps://hdl.handle.net/20.500.14034/831
dc.identifier.volume23en_US
dc.identifier.wosWOS:000926695400001en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.language.isoenen_US
dc.publisherEge Univ, Fac Economics & Admin Sciencesen_US
dc.relation.journalEge Academic Reviewen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectOil Marketen_US
dc.subjectSector Indicesen_US
dc.subjectMultivariate GARCHen_US
dc.subjectVariance Causalityen_US
dc.subjectSpilloveren_US
dc.subjectCausality-In-Varianceen_US
dc.subjectStock-Marketen_US
dc.subjectPrice Shocksen_US
dc.subjectCrude-Oilen_US
dc.subjectExchange-Rateen_US
dc.subjectTime-Seriesen_US
dc.subjectUnit-Rooten_US
dc.subjectConditional Correlationen_US
dc.subjectEconomic-Growthen_US
dc.subjectEquity Marketsen_US
dc.titleVolatility spillover, hedging and portfolio diversification between oil market and S&P sectoral indicesen_US
dc.typeArticleen_US

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