VOLATILITY INTERACTION OF BIST MAIN SECTOR INDICES: FINDINGS ON THE COVID-19 PERIOD

Abstract

The aim of the study is to determine the volatility interaction between BIST main sector indices for the period of March 2020, the date when COVID-19 was seen in Turkey, and April 2022, when the effects of the pandemic decreased on a national and global basis and the restrictions were lifted to a large extent. In other words, it is the analysis of the volatility spillover of the BIST main sector indices during the COVID-19 pandemic period. Thus, it is aimed to be a reference for investors investing in different sectors, regulatory authorities responsible for ensuring the functioning of the market, policy makers and academic studies. In this study, BIST Technology (XUTEK), BIST Industry (XUSIN), BIST Financial (XUMAL), BIST Services (XUHIZ) indices, which are the main sector indices of BIST, were used, and the Hafner and Herwartz (2006) causality-in-variance test was applied. It was found that XUMAL, XUHIZ and XUTEK are both volatility emitters and receivers at different levels, while XUSIN is a volatility receiver for all series. COVID-19 has significantly affected the volatility structure of the BIST sector indices. In terms of volatility spillover, sector indices interact intensely. The industrial sector is the sector most affected by the volatility spillover from other sectors.