Volatility Spillovers between World Oil Market and Sectors of BIST

  •  Ali Sattary    
  •  Mehmet Sinan Temurlenk    
  •  Abdulbaki Bilgic    
  •  Ali Kemal Celik    


Nowadays, enormous increase of production and service sectors leads to increase in demand for energy consumption. Therefore, energy and oil consumption in a variety of countries are considerably effected by energy and oil prices. International oil prices are crucial for both oil exporting countries and capital market investors as a means of volatility spillovers. This paper aims to analyze whether volatility spillovers exist between world oil market and several sector indices operating in Borsa Istanbul (BIST) 100 including energy, non-metal mineral products, and transportation using bivariate GARCH (1, 1) model. Estimation results suggest that except for non-metal mineral products sector, there are interactions between oil returns and the underlying sectors in terms of both shocks and conditional variance.

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