Özet:

This paper is the first step of our studies to construct a new Energy Index in Borsa İstanbul Exchange. The proposed Index will differ from the existing indices by including Enerjisa since it is the major player in electricity retail and distribution business. The paper deploys DCC-GARCH framework. Firstly, we examined the impact of oil price shocks on Tüpraş and Enerjisa stock returns and volatility. Secondly, we utilized the GARCH models to construct DCC-GARCH and analyzed the conditional correlation coefficients for Enerjisa and Tüpraş. Due to our analysis, 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

Anahtar Kelimeler: