Journal of Turkish Operations Management, cilt.4, sa.2, ss.509-518, 2020 (Hakemli Üniversite Dergisi)
In the stock market, the relationship between the sectorial changes can be very
informative in order to predict the changes in prices of assets from each sector.
In order to understand these sectorial relations, various studies have been
conducted. In one of the recent studies, the construction sector in Turkey was
investigated in terms of its effect in other Turkish sectors since it is one of the
leading sectors in Turkey and its assets have a significant impact in stock
markets. Hereby, in this study we detect the sectorial relationship of the
construction sector via the Regular vine, also known as R-Vine, approach. The
R-Vine copula is a specific type of copula which enables us to be flexible in the
distributional assumptions of the observations while stating their joint
distribution function. By this way, we can investigate the structure of the
country’s financial path, i.e., network, under a graphical model.