Dynamic volatility linkages and hedging between commodities and sectoral stock returns in Turkey: Evidence fromSVAR-cDCC-GARCHmodel

CİVCİR İ., AKKOÇ U.

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, cilt.26, sa.2, ss.1978-1992, 2021 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 26 Sayı: 2
  • Basım Tarihi: 2021
  • Doi Numarası: 10.1002/ijfe.1889
  • Dergi Adı: INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM, Aerospace Database, Business Source Elite, Business Source Premier, Communication Abstracts, EconLit, Geobase, Metadex, vLex, Civil Engineering Abstracts
  • Sayfa Sayıları: ss.1978-1992
  • Anahtar Kelimeler: cDCC-GARCH-SVAR, dynamic conditional correlation, gold price, oil price, Turkish Sectoral stock returns, OIL PRICE SHOCKS, SAFE HAVEN, MARKETS EVIDENCE, CRUDE-OIL, GOLD, TRANSMISSION, SPILLOVERS, FUTURES, INVESTMENT, METAL
  • Ankara Üniversitesi Adresli: Evet

Özet

High volatility in international prices of strategic commodities like oil and gold can have negative effects on the macroeconomics of the emerging economies and their stock markets. This study deals with the analysis of the dynamic relationship between oil, gold and sectoral stock returns in Turkey after the global financial crises. Movements of the sectoral stock returns with the international oil and gold returns have been examined by the Structural Vector Autoregression - corrected Generalized Autoregressive Conditional Heteroskedasticity (SVAR-cDCC-GARCH) framework. Our results support the presence of time-varying co-movement and volatility spillover from gold and oil to Turkish sectoral stock market. The investigation of volatility has shown that shocks are highly persistent in the long run for all sectoral indices. Furthermore, our results indicate that volatility spillover from international commodity to sectoral indices vary significantly. Results imply that Turkey needs dynamic macroeconomic policies to manage the spillover effects of volatility. The results are also valuable to investors in reducing the risk of their portfolios by diversifying and hedging their investment across different sectors.