BIST100 Bankacılık Sektöründeki Bağımlılığın Asma Kopula ile İncelenmesi

Yildirim Külekci B., Poyraz G., Gür I., Evkaya O.

ISTANBUL JOURNAL OF ECONOMICS, cilt.73, ss.55-82, 2023 (ESCI)

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 73
  • Basım Tarihi: 2023
  • Doi Numarası: 10.26650/istjecon2022-1229039
  • Dergi Adı: ISTANBUL JOURNAL OF ECONOMICS
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), ABI/INFORM, EconLit, Directory of Open Access Journals, TR DİZİN (ULAKBİM)
  • Sayfa Sayıları: ss.55-82
  • Orta Doğu Teknik Üniversitesi Adresli: Evet

Özet

The frequently observed time-varying trends and dependence in recent years within financial markets have been essential for modeling and pricing. This study aims to analyze the dependence structure of banking sector stocks traded on the ISE100 index using time series and regular vine (R-vine) copula models. The study calculates the risk measures of value-at-risk (VaR) and expected shortfall (ES) and tests with backtesting methods for the portfolio that are constructed by equally weighting the banking stocks. This study’s findings on banking stocks specifically indicate that the application of the R-vine copula combined with the generalized auto-regressive conditional heteroskedasticity (GARCH) model improved the VaR and ES estimates compared to traditional GARCH-based approaches.