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Analysis of extreme dependence between Istanbul Stock Exchange and Brent Oil Returns using bivariate extreme value theory

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dc.contributor Graduate Program in International Trade Management.
dc.contributor.advisor Ünal, Gözde Erhan.
dc.contributor.author Korman, Derya.
dc.date.accessioned 2023-03-16T12:50:05Z
dc.date.available 2023-03-16T12:50:05Z
dc.date.issued 2013.
dc.identifier.other INTT 2013 K77
dc.identifier.uri http://digitalarchive.boun.edu.tr/handle/123456789/18005
dc.description.abstract In this thesis, the relationship between oil price movements and Turkish stock market is investigated. Given the fact that Turkey is an emerging and oil dependent country, the relationship between stock market behavior and fluctuations in oil prices is analyzed by focusing on extreme observations. Bivariate extreme value methodology is used in order to examine the dependence structure between oil and stock market (ISE100). The residuals of autoregressive integrated moving average (ARIMA) models of stock market index and Brent oil returns are examined by using bivariate extreme value analysis over the period between 1988 and 2012. The overall period studied is subdivided into two phases for analysis. Results of the thesis indicate a higher dependence in the second phase (2000-2012), compared to the first phase (1988-2000). Results also show that in the second phase the extremes on the negative tails coincide more commonly compared to the extremes on the positive tails, which is in line with the current literature findings. A more focused analysis of bivariate extreme value theory (EVT) for the 2008-2012 period is conducted within the thesis and highest dependence of oil prices and stock market is found in this period. However, in general Turkish stock market and oil returns are asymptotically independent in extreme observations, which suggest different diversification strategies for portfolio managers.
dc.format.extent 30 cm.
dc.publisher Thesis (M.A.) - Bogazici University. Institute for Graduate Studies in the Social Sciences, 2013.
dc.subject.lcsh Petroleum industry and trade -- Turkey.
dc.subject.lcsh Stock exchanges -- Istanbul (Turkey)
dc.title Analysis of extreme dependence between Istanbul Stock Exchange and Brent Oil Returns using bivariate extreme value theory
dc.format.pages ix, 45 leaves ;


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