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Volatility Spillovers Between Oil Prices and BIST (Borsa Istanbul) Dividend Indexes

In: Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics

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  • Barış Kocaarslan

    (Yalova University)

Abstract

The main purpose of this chapter is to investigate the causality-in-variance (risk spillovers) between oil prices and BIST (Borsa Istanbul) dividend indexes returns. To this end, Brent crude oil futures prices, BIST Dividend, and BIST Dividend 25 indexes are used. The empirical investigation includes a causality-in-variance analysis introduced by Hafner and Herwartz (Econ Lett 93(1):137–141, 2006). The preliminary univariate GARCH model estimates show that oil prices and dividend indexes returns are considerably affected by long-run volatility. The causality-in-variance test results suggest a significant one-way volatility spillover effect from oil prices to BIST dividend and BIST Dividend 25 indexes returns. The statistical significance of this effect is more pronounced for the BIST Dividend 25 index than for the BIST Dividend index. According to these results, the more significant effect appears due to the higher sensitivity of the BIST Dividend 25 index returns to the variation in economic activity caused by oil price shocks.

Suggested Citation

  • Barış Kocaarslan, 2021. "Volatility Spillovers Between Oil Prices and BIST (Borsa Istanbul) Dividend Indexes," Springer Books, in: Burcu Adıgüzel Mercangöz (ed.), Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics, edition 1, pages 357-374, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-54108-8_15
    DOI: 10.1007/978-3-030-54108-8_15
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