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

In this study, w e 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 b ivariate 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.