DO NEGATIVE OIL PRICE SHOCKS AFFECT THE INDUSTRIAL SECTOR STOCK PRICES MORE THAN POSITIVE SHOCKS? A BIVARIATE EGARCH ANALYSIS FOR TURKEY.

This paper investigates the asymmetric volatility spillover from oil prices to Turkish industrial main and sub-sectors’ stock prices and Borsa Istanbul 100 index (BIST 100) as a whole. A bivariate VAR-EGARCH model is employed to the daily return data cover the period between August 03, 2009 and June 30, 2016. Results show that there are asymmetric volatility spillovers from oil returns to all of the industrial sector returns as well as the BIST 100 index returns except mining sector. These findings imply that the negative shocks in the oil returns affect the industrial sector returns more than positive shocks