In this paper, we investigate volatility spillovers between oil prices and the stock prices of the companies listed in Borsa Istanbul. We employ the dynamic conditional correlation (DCC) and Baba, Engle, Kraft, and Kroner (BEKK) GARCH models using daily data for the period between June 22, 2015, and January 16, 2020. In addition, we determine portfolio weights and hedge ratios to suggest optimal portfolios for investors and portfolio managers. We find significant volatility spillovers from oil markets to the stocks of chemical, petroleum, real estate and construction, textile, food and paper, and wholesale companies. Our analysis of the optimal portfolio weights indicate that oil assets provide diversification benefits, and the hedge ratios show that it is possible to determine optimal hedging strategies at a low cost. Our hedging effectiveness analysis proves the importance of oil assets for portfolios including holding, real estate and construction, textile, food, and paper companies’ stocks.

在本文中，我们研究了油价与伊斯坦布尔证券交易所上市公司股价之间的波动溢出效应。我们使用 2015 年 6 月 22 日至 2020 年 1 月 16 日期间的每日数据使用动态条件相关 (DCC) 和 Baba、Engle、Kraft 和 Kroner (BEKK) GARCH 模型。此外，我们确定投资组合权重和对冲为投资者和投资组合经理建议最佳投资组合的比率。我们发现石油市场对化工、石油、房地产和建筑、纺织、食品和造纸以及批发公司的股票具有显着的波动溢出效应。我们对最优投资组合权重的分析表明，石油资产提供了多元化收益，而对冲比率表明可以以较低的成本确定最优的对冲策略。