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

Caner Özdurak
Additional contact information
Caner Özdurak: Yeditepe University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2021, vol. 36, issue Special2, 15-32

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.

Keywords: Oil prices; electricity; stock returns; volatility; spillover; energy markets (search for similar items in EconPapers)
JEL-codes: B26 C58 Q49 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://dergipark.org.tr/tr/download/article-file/1461576 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:36:y:2021:i:special2:p:15-32

DOI: 10.33203/mfy.844802

Access Statistics for this article

Journal of Finance Letters (Maliye ve Finans Yazıları) is currently edited by Süleyman Kale

More articles in Journal of Finance Letters (Maliye ve Finans Yazıları) from Maliye ve Finans Yazıları Yayıncılık Ltd. Şti.
Bibliographic data for series maintained by Süleyman Kale ().