Examining the Long-term Dependency Structures of Crude Oil Prices and Borsa Istanbul Sector Indices Using Copulas

Karadağ, Tugay; Gölbaşı Şimşek, Gülhayat

doi:10.21773/boun.2025.38.2.004

Examining the Long-term Dependency Structures of Crude Oil Prices and Borsa Istanbul Sector Indices Using Copulas

Atıf İçin Kopyala

Karadağ T., Gölbaşı Şimşek G.

BOGAZICI JOURNAL: REVIEW OF SOCIAL, ECONOMIC AND ADMINISTRATIVE STUDIES, cilt.38, sa.2, ss.68-90, 2024 (Scopus)

Yayın Türü: Makale / Tam Makale
Cilt numarası: 38 Sayı: 2
Basım Tarihi: 2024
Doi Numarası: 10.21773/boun.2025.38.2.004
Dergi Adı: BOGAZICI JOURNAL: REVIEW OF SOCIAL, ECONOMIC AND ADMINISTRATIVE STUDIES
Derginin Tarandığı İndeksler: Scopus, ABI/INFORM, EconLit, Geobase
Sayfa Sayıları: ss.68-90
Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
Yıldız Teknik Üniversitesi Adresli: Evet

Özet

In this study, we examine the interdependencies between West Texas Intermediate (WTI) crude oil prices and Borsa Istanbul (BIST) sector indices from 2005 to 2021, utilizing the copula approach. We conclude that bivariate copula analysis reveals varying correlations, with BIST Industrials and BIST Services sectors exhibiting the most significant negative and positive connections to WTI during financial shocks, respectively. Employing the vine copula method, we observe the dominance of BIST Industrials over other sectors, surpassing even WTI. We offer valuable insights for investors managing portfolios involving both crude oil and BIST firms.