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Conditional Correlations and Volatility Spillovers Between Crude Oil Price, Tüpraş, and Enerjisa Stock Returns: A Proposal for Constructing an Ultimate BIST Energy Index

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  • Caner Özdurak

    (Yeditepe University)

Abstract

This paper is the first step to construct a new Energy Index in Borsa İstanbul Exchange. Firstly, we examined the impact of oil price shocks on Tüpraş and Enerjisa stock returns and volatility. Secondly GARCH models are utilized to construct DCC-GARCH and analyzed the conditional correlation coefficients for Enerjisa and Tüpraş. Consequently, we concluded that volatility spillover exists between Tüpraş and Enerjisa. Considering the complex and integrated structure of energy markets at all levels and sectors constructing an ultimate Energy Index in BIST shall be a good alternative for investment funds to participate dynamic energy market of Turkey.

Suggested Citation

  • Caner Özdurak, 2021. "Conditional Correlations and Volatility Spillovers Between Crude Oil Price, Tüpraş, and Enerjisa Stock Returns: A Proposal for Constructing an Ultimate BIST Energy Index," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 36(Special2), pages 15-32, January.
    • Handle: RePEc:acc:malfin:v:36:y:2021:i:special2:p:15-32
    DOI: https://doi.org/10.33203/mfy.844802
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    References listed on IDEAS

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    1. Soytas, Ugur & Sari, Ramazan, 2006. "Energy consumption and income in G-7 countries," Journal of Policy Modeling, Elsevier, vol. 28(7), pages 739-750, October.
    2. Aloui, Chaker & Jammazi, Rania, 2009. "The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach," Energy Economics, Elsevier, vol. 31(5), pages 789-799, September.
    3. Nandha, Mohan & Faff, Robert, 2008. "Does oil move equity prices? A global view," Energy Economics, Elsevier, vol. 30(3), pages 986-997, May.
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    More about this item

    Keywords

    Oil prices; electricity; stock returns; volatility; spillover; energy markets;
    All these keywords.

    JEL classification:

    • B26 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Financial Economics
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • Q49 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Other

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