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The Asymmetric Impacts of Oil Prices and Selected Macroeconomic Variables on Stock Markets: The Case of Turkey

Yıl 2023, Cilt: 31 Sayı: 55, 125 - 149, 31.01.2023
https://doi.org/10.17233/sosyoekonomi.2023.01.07

Öz

This paper investigates the asymmetric impacts of crude oil prices and other selected macroeconomic variables on the Turkish stock market for the period between 2005:01-2021:06 through the combination of the NARDL model and the quantile regression approach. The findings support the existence of cointegration between the stock market and oil prices. The variations in oil prices have asymmetric impacts in the long run. A positive shock by 1% decreases stock returns by 0.67%, while oil price declines have no significant impact. Quantile regressions show that the effects of oil price shocks are more visible at the low levels of the stock market.

Destekleyen Kurum

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Proje Numarası

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Teşekkür

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Kaynakça

  • Akarsu, G. (2017), “Analyzing the Impact of Oil Price Volatility on Electricity Demand: The Case of Turkey”, Eurasian Economic Review, 7(3), 371-388.
  • Al-hajj, E. et al. (2017), “The Influence of Oil Price Shocks on Stock Market Returns: Fresh Evidence from Malaysia”, International Journal of Energy Economics and Policy, 7(5), 235-244.
  • Altay, B. et al. (2013), “Oil Price, Output and Employment in Turkey: Evidence from Vector Error Correction Model”, International Journal of Energy Economics and Policy, 3(SI), 7-13.
  • Altinay, G. (2007), “Short-Run and Long-Run Elasticities of Import Demand for Crude Oil In Turkey”, Energy Policy, 35(11), 5829-5835.
  • Altıntaş, H. & Y. Kassouri (2018), “Asymmetric Responses of Stock Prices to Money Supply and Oil Prices Shocks: New Evidence from A Nonlinear ARDL Approach”, International Journal of Economics and Financial Issues, 8(4), 45-53.
  • Arouri, M.E.H. & C. Rault (2012), “Oil Prices and Stock Markets in GCC Countries: Empirical Evidence from Panel Analysis”, International Journal of Finance & Economics, 17(3), 242-253.
  • Arouri, M.E.H. & D.K. Nguyen (2010), “Oil Prices, Stock Markets and Portfolio Investment: Evidence from Sector Analysis in Europe Over the Last Decade”, Energy Policy, 38(8), 4528-4539.
  • Aydoğan, B. et al. (2017), “The Impact of Oil Price Volatility on Net-Oil Exporter and Importer Countries’ Stock Markets”, Eurasian Economic Review, 7(2), 231-253.
  • Aykırı, M. (2020), “Petrol Fiyatlarındaki Hareketliliğin Temel Makroekonomik Göstergeler Üzerindeki Etkisi”, Sosyoekonomi, 28(45), 121-138.
  • Bahmani-Oskooee, M. & A. Sohrabian (1992), “Stock Prices and the Effective Exchange Rate of the Dollar”, Applied Economics, 24(4), 459-464.
  • Baum C. (2013), Quantile Regression, <http://fmwww.bc.edu/EC-C/S2013/823/EC823.S2013.nn04.slides.pdf>, 05.06.2022.
  • Bernanke, B.S. & K.N. Kuttner (2005), “What Explains the Stock Market's Reaction to Federal Reserve Policy?”, The Journal of Finance, 60(3), 1221-1257.
  • Berument, H. & H. Taşçı (2002), “Inflationary Effect of Crude Oil Prices in Turkey”, Physica A: Statistical Mechanics and Its Applications, 316(1-4), 568-580.
  • Borsa Istanbul (2020), 2020 Entegre Faaliyet Raporu, <https://Borsaistanbul.Com/Files/BIST2020EntegreFaaliyetRaporuveFinansalTablolar.Pdf>, 11.02.2002.
  • Brown, R.L. et al. (1975), “Techniques for Testing the Constancy of Regression Relationships Over Time”, Journal of the Royal Statistical Society, 37(2), 149-163.
  • Çatık, A.N. et al. (2020), “Time-Varying Impact of Oil Prices on Sectoral Stock Returns: Evidence from Turkey”, Resources Policy, 69(C), 101845.
  • Chen, N.F. et al. (1986), “Economic Forces and the Stock Market”, Journal of Business, 59(3), 383-403.
  • Civcir, I. & U. Akkoc (2021), “Non-Linear ARDL Approach to the Oil-Stock Nexus: Detailed Sectoral Analysis of the Turkish Stock Market”, Resources Policy, 74(4), 102424.
  • Dedeoğlu, D. & H. Kaya (2014), “Pass-Through of Oil Prices to Domestic Prices: Evidence from An Oil-Hungry but Oil-Poor Emerging Market”, Economic Modelling, 43, 67-74.
  • Degiannakis, S. et al. (2018), “Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence”, The Energy Journal, 39(5), 85-130.
  • Demirer, R. et al. (2020), “Oil Price Shocks, Global Financial Markets and their Connectedness”, Energy Economics, 88, 104771.
  • Doğrul, H.G. & U. Soytas (2010), “Relationship Between Oil Prices, Interest Rate, and Unemployment: Evidence from An Emerging Market”, Energy Economics, 32(6), 1523-1528.
  • Eksi, I.H. et al. (2012), “Sensitivity of Stock Market Indices to Oil Prices: Evidence from Manufacturing Sub-Sectors in Turkey”, Panoeconomicus, 59(4), 463-474.
  • Engle, R.F. & C.W. Granger (1987), “Co-Integration and Error Correction: Representation, Estimation, and Testing”, Econometrica, 55, 251-276.
  • Eryiğit, M. (2012), “The Dynamical Relationship Between Oil Price Shocks and Selected Macroeconomic Variables in Turkey”, Economic Research-Ekonomska Istraživanja, 25(2), 263-276.
  • Fama, E.F. (1981), “Stock Returns, Real Activity, Inflation, and Money”, The American Economic Review, 71(4), 545-565.
  • Halaç, U. et al. (2013), “The Turkish Stock Market Integration with Oil Prices: Cointegration Analysis with Unknown Regime Shifts”, Panoeconomicus, 60(4), 499-513.
  • Huang, R.D. et al. (1996), “Energy Shocks and Financial Markets”, Journal of Futures Markets, 16(1), 1-27.
  • International Energy Agency (2021), World Energy Outlook 2021, <https://Iea.Blob.Core.Windows.Net/Assets/4ed140c1-C3f3-4fd9-Acae-789a4e14a23c/Worldenergyoutlook2021.Pdf>, 11.02.2022.
  • Johansen, S. & K. Juselius (1990), “Maximum Likelihood Estimation and Inference on Cointegration - With Applications to the Demand for Money”, Oxford Bulletin of Economics and Statistics, 52(2), 169-210.
  • Jones, C.M. & G. Kaul (1996), “Oil and the Stock Markets”, Journal of Finance, 51(2), 463-491.
  • Kapusuzoglu, A. (2011), “Herding in the Istanbul Stock Exchange (ISE): A Case of Behavioral Finance”, African Journal of Business Management, 5(27), 11210-11218.
  • Kilian, L. & C. Park (2009), “The Impact of Oil Price Shocks on the US Stock Market”, International Economic Review, 50(4), 1267-1287.
  • Kilian, L. (2009), “Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market”, American Economic Review, 99(3), 1053-69.
  • Koenker, R. & G. Bassett Jr (1978), “Regression Quantiles”, Econometrica, 46(1), 33-50.
  • Miller, J.I. & R.A. Ratti (2009), “Crude Oil and Stock Markets: Stability, Instability, and Bubbles”, Energy Economics, 31(4), 559-568.
  • Mokni, K. (2020), “A Dynamic Quantile Regression Model for the Relationship Between Oil Price and Stock Markets in Oil-Importing and Oil-Exporting Countries”, Energy, 213, 118639.
  • Mork, K.A. (1994), “Business Cycles and the Oil Market”, The Energy Journal, 15, 15-38.
  • Narayan, P.K. & S. Narayan (2010), “Modelling the Impact of Oil Prices on Vietnam’s Stock Prices”, Applied Energy, 87(1), 356-361.
  • Nusair, S.A. & J.A. Al-Khasawneh (2018), “Oil Price Shocks and Stock Market Returns of the GCC Countries: Empirical Evidence from Quantile Regression Analysis”, Economic Change and Restructuring, 51(4), 339-372.
  • Park, J. & R.A. Ratti (2008), “Oil Price Shocks and Stock Markets in the US and 13 European Countries”, Energy Economics, 30(5), 2587-2608.
  • Pesaran, M.H. & Y. Shin (1999), “An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis”, in: S. Strom (ed.), Econometrics and Economic Theory in the 20th Century: the Ragnar Frisch Centennial Symposium (371-413), Cambridge University Press.
  • Pesaran, M.H. et al. (2001), “Bounds Testing Approaches to the Analysis of Level Relationships”, Journal of Applied Econometrics, 16(3), 289-326.
  • Sadorsky, P. (1999), “Oil Price Shocks and Stock Market Activity”, Energy Economics, 21(5), 449-469.
  • Scholtens, B. & C. Yurtsever (2012), “Oil Price Shocks and European Industries”, Energy Economics, 34(4), 1187-1195.
  • Shin, Y. et al. (2014), “Modelling Asymmetric Cointegration and Dynamic Multipliers in A Nonlinear ARDL Framework”, in: Festschrift in Honor of Peter Schmidt (281-314), New York, NY: Springer.
  • Smyth, R. & P.K. Narayan (2018), “What Do We Know About Oil Prices and Stock Returns?”, International Review of Financial Analysis, 57, 148-156.
  • Tiryaki, A. et al. (2019), “Asymmetric Effects of Industrial Production, Money Supply and Exchange Rate Changes on Stock Returns in Turkey”, Applied Economics, 51(20), 2143-2154.
  • Tursoy, T. & F. Faisal (2018), “The Impact of Gold and Crude Oil Prices on Stock Market in Turkey: Empirical Evidences from ARDL Bounds Test and Combined Cointegration”, Resources Policy, 55, 49-54.
  • Zhu, H. et al. (2016), “The Heterogeneity Dependence Between Crude Oil Price Changes and Industry Stock Market Returns in China: Evidence from A Quantile Regression Approach”, Energy Economics, 55, 30-41.

Petrol Fiyatları ile Seçilmiş Makroekonomik Değişkenlerin Hisse Senedi Piyasasına Asimetrik Etkileri: Türkiye Örneği

Yıl 2023, Cilt: 31 Sayı: 55, 125 - 149, 31.01.2023
https://doi.org/10.17233/sosyoekonomi.2023.01.07

Öz

Bu çalışmada, 2005:01-2021:06 döneminde ham petrol fiyatları ile diğer seçilmiş makroekonomik değişkenlerin Türkiye hisse senedi piyasası üzerindeki asimetrik etkileri, NARDL modeli ve kantil regresyon yaklaşımı çerçevesinde ele alınmıştır. Bulgular, hisse senedi piyasası ile petrol fiyatları arasında eşbütünleşme olduğunu göstermektedir. Petrol fiyatlarındaki değişimin uzun dönemde asimetrik etkisi vardır. Petrol fiyatlarındaki %1’lik bir pozitif şok, hisse senedi fiyatlarını %0,67 düşürürken; fiyat düşüşlerinin anlamlı bir etkisi bulunmamaktadır. Kantil regresyon sonuçları, petrol fiyatı etkilerinin özellikle borsanın düşmekte olduğu dönemlerde gözle görülür hale geldiğini göstermektedir.

Proje Numarası

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Kaynakça

  • Akarsu, G. (2017), “Analyzing the Impact of Oil Price Volatility on Electricity Demand: The Case of Turkey”, Eurasian Economic Review, 7(3), 371-388.
  • Al-hajj, E. et al. (2017), “The Influence of Oil Price Shocks on Stock Market Returns: Fresh Evidence from Malaysia”, International Journal of Energy Economics and Policy, 7(5), 235-244.
  • Altay, B. et al. (2013), “Oil Price, Output and Employment in Turkey: Evidence from Vector Error Correction Model”, International Journal of Energy Economics and Policy, 3(SI), 7-13.
  • Altinay, G. (2007), “Short-Run and Long-Run Elasticities of Import Demand for Crude Oil In Turkey”, Energy Policy, 35(11), 5829-5835.
  • Altıntaş, H. & Y. Kassouri (2018), “Asymmetric Responses of Stock Prices to Money Supply and Oil Prices Shocks: New Evidence from A Nonlinear ARDL Approach”, International Journal of Economics and Financial Issues, 8(4), 45-53.
  • Arouri, M.E.H. & C. Rault (2012), “Oil Prices and Stock Markets in GCC Countries: Empirical Evidence from Panel Analysis”, International Journal of Finance & Economics, 17(3), 242-253.
  • Arouri, M.E.H. & D.K. Nguyen (2010), “Oil Prices, Stock Markets and Portfolio Investment: Evidence from Sector Analysis in Europe Over the Last Decade”, Energy Policy, 38(8), 4528-4539.
  • Aydoğan, B. et al. (2017), “The Impact of Oil Price Volatility on Net-Oil Exporter and Importer Countries’ Stock Markets”, Eurasian Economic Review, 7(2), 231-253.
  • Aykırı, M. (2020), “Petrol Fiyatlarındaki Hareketliliğin Temel Makroekonomik Göstergeler Üzerindeki Etkisi”, Sosyoekonomi, 28(45), 121-138.
  • Bahmani-Oskooee, M. & A. Sohrabian (1992), “Stock Prices and the Effective Exchange Rate of the Dollar”, Applied Economics, 24(4), 459-464.
  • Baum C. (2013), Quantile Regression, <http://fmwww.bc.edu/EC-C/S2013/823/EC823.S2013.nn04.slides.pdf>, 05.06.2022.
  • Bernanke, B.S. & K.N. Kuttner (2005), “What Explains the Stock Market's Reaction to Federal Reserve Policy?”, The Journal of Finance, 60(3), 1221-1257.
  • Berument, H. & H. Taşçı (2002), “Inflationary Effect of Crude Oil Prices in Turkey”, Physica A: Statistical Mechanics and Its Applications, 316(1-4), 568-580.
  • Borsa Istanbul (2020), 2020 Entegre Faaliyet Raporu, <https://Borsaistanbul.Com/Files/BIST2020EntegreFaaliyetRaporuveFinansalTablolar.Pdf>, 11.02.2002.
  • Brown, R.L. et al. (1975), “Techniques for Testing the Constancy of Regression Relationships Over Time”, Journal of the Royal Statistical Society, 37(2), 149-163.
  • Çatık, A.N. et al. (2020), “Time-Varying Impact of Oil Prices on Sectoral Stock Returns: Evidence from Turkey”, Resources Policy, 69(C), 101845.
  • Chen, N.F. et al. (1986), “Economic Forces and the Stock Market”, Journal of Business, 59(3), 383-403.
  • Civcir, I. & U. Akkoc (2021), “Non-Linear ARDL Approach to the Oil-Stock Nexus: Detailed Sectoral Analysis of the Turkish Stock Market”, Resources Policy, 74(4), 102424.
  • Dedeoğlu, D. & H. Kaya (2014), “Pass-Through of Oil Prices to Domestic Prices: Evidence from An Oil-Hungry but Oil-Poor Emerging Market”, Economic Modelling, 43, 67-74.
  • Degiannakis, S. et al. (2018), “Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence”, The Energy Journal, 39(5), 85-130.
  • Demirer, R. et al. (2020), “Oil Price Shocks, Global Financial Markets and their Connectedness”, Energy Economics, 88, 104771.
  • Doğrul, H.G. & U. Soytas (2010), “Relationship Between Oil Prices, Interest Rate, and Unemployment: Evidence from An Emerging Market”, Energy Economics, 32(6), 1523-1528.
  • Eksi, I.H. et al. (2012), “Sensitivity of Stock Market Indices to Oil Prices: Evidence from Manufacturing Sub-Sectors in Turkey”, Panoeconomicus, 59(4), 463-474.
  • Engle, R.F. & C.W. Granger (1987), “Co-Integration and Error Correction: Representation, Estimation, and Testing”, Econometrica, 55, 251-276.
  • Eryiğit, M. (2012), “The Dynamical Relationship Between Oil Price Shocks and Selected Macroeconomic Variables in Turkey”, Economic Research-Ekonomska Istraživanja, 25(2), 263-276.
  • Fama, E.F. (1981), “Stock Returns, Real Activity, Inflation, and Money”, The American Economic Review, 71(4), 545-565.
  • Halaç, U. et al. (2013), “The Turkish Stock Market Integration with Oil Prices: Cointegration Analysis with Unknown Regime Shifts”, Panoeconomicus, 60(4), 499-513.
  • Huang, R.D. et al. (1996), “Energy Shocks and Financial Markets”, Journal of Futures Markets, 16(1), 1-27.
  • International Energy Agency (2021), World Energy Outlook 2021, <https://Iea.Blob.Core.Windows.Net/Assets/4ed140c1-C3f3-4fd9-Acae-789a4e14a23c/Worldenergyoutlook2021.Pdf>, 11.02.2022.
  • Johansen, S. & K. Juselius (1990), “Maximum Likelihood Estimation and Inference on Cointegration - With Applications to the Demand for Money”, Oxford Bulletin of Economics and Statistics, 52(2), 169-210.
  • Jones, C.M. & G. Kaul (1996), “Oil and the Stock Markets”, Journal of Finance, 51(2), 463-491.
  • Kapusuzoglu, A. (2011), “Herding in the Istanbul Stock Exchange (ISE): A Case of Behavioral Finance”, African Journal of Business Management, 5(27), 11210-11218.
  • Kilian, L. & C. Park (2009), “The Impact of Oil Price Shocks on the US Stock Market”, International Economic Review, 50(4), 1267-1287.
  • Kilian, L. (2009), “Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market”, American Economic Review, 99(3), 1053-69.
  • Koenker, R. & G. Bassett Jr (1978), “Regression Quantiles”, Econometrica, 46(1), 33-50.
  • Miller, J.I. & R.A. Ratti (2009), “Crude Oil and Stock Markets: Stability, Instability, and Bubbles”, Energy Economics, 31(4), 559-568.
  • Mokni, K. (2020), “A Dynamic Quantile Regression Model for the Relationship Between Oil Price and Stock Markets in Oil-Importing and Oil-Exporting Countries”, Energy, 213, 118639.
  • Mork, K.A. (1994), “Business Cycles and the Oil Market”, The Energy Journal, 15, 15-38.
  • Narayan, P.K. & S. Narayan (2010), “Modelling the Impact of Oil Prices on Vietnam’s Stock Prices”, Applied Energy, 87(1), 356-361.
  • Nusair, S.A. & J.A. Al-Khasawneh (2018), “Oil Price Shocks and Stock Market Returns of the GCC Countries: Empirical Evidence from Quantile Regression Analysis”, Economic Change and Restructuring, 51(4), 339-372.
  • Park, J. & R.A. Ratti (2008), “Oil Price Shocks and Stock Markets in the US and 13 European Countries”, Energy Economics, 30(5), 2587-2608.
  • Pesaran, M.H. & Y. Shin (1999), “An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis”, in: S. Strom (ed.), Econometrics and Economic Theory in the 20th Century: the Ragnar Frisch Centennial Symposium (371-413), Cambridge University Press.
  • Pesaran, M.H. et al. (2001), “Bounds Testing Approaches to the Analysis of Level Relationships”, Journal of Applied Econometrics, 16(3), 289-326.
  • Sadorsky, P. (1999), “Oil Price Shocks and Stock Market Activity”, Energy Economics, 21(5), 449-469.
  • Scholtens, B. & C. Yurtsever (2012), “Oil Price Shocks and European Industries”, Energy Economics, 34(4), 1187-1195.
  • Shin, Y. et al. (2014), “Modelling Asymmetric Cointegration and Dynamic Multipliers in A Nonlinear ARDL Framework”, in: Festschrift in Honor of Peter Schmidt (281-314), New York, NY: Springer.
  • Smyth, R. & P.K. Narayan (2018), “What Do We Know About Oil Prices and Stock Returns?”, International Review of Financial Analysis, 57, 148-156.
  • Tiryaki, A. et al. (2019), “Asymmetric Effects of Industrial Production, Money Supply and Exchange Rate Changes on Stock Returns in Turkey”, Applied Economics, 51(20), 2143-2154.
  • Tursoy, T. & F. Faisal (2018), “The Impact of Gold and Crude Oil Prices on Stock Market in Turkey: Empirical Evidences from ARDL Bounds Test and Combined Cointegration”, Resources Policy, 55, 49-54.
  • Zhu, H. et al. (2016), “The Heterogeneity Dependence Between Crude Oil Price Changes and Industry Stock Market Returns in China: Evidence from A Quantile Regression Approach”, Energy Economics, 55, 30-41.
Toplam 50 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Ekonomi
Bölüm Makaleler
Yazarlar

Anıl Akçağlayan 0000-0002-4827-3636

Sevgi Eda Tuzcu 0000-0002-3658-2546

Proje Numarası -
Yayımlanma Tarihi 31 Ocak 2023
Gönderilme Tarihi 5 Nisan 2022
Yayımlandığı Sayı Yıl 2023 Cilt: 31 Sayı: 55

Kaynak Göster

APA Akçağlayan, A., & Tuzcu, S. E. (2023). The Asymmetric Impacts of Oil Prices and Selected Macroeconomic Variables on Stock Markets: The Case of Turkey. Sosyoekonomi, 31(55), 125-149. https://doi.org/10.17233/sosyoekonomi.2023.01.07
AMA Akçağlayan A, Tuzcu SE. The Asymmetric Impacts of Oil Prices and Selected Macroeconomic Variables on Stock Markets: The Case of Turkey. Sosyoekonomi. Ocak 2023;31(55):125-149. doi:10.17233/sosyoekonomi.2023.01.07
Chicago Akçağlayan, Anıl, ve Sevgi Eda Tuzcu. “The Asymmetric Impacts of Oil Prices and Selected Macroeconomic Variables on Stock Markets: The Case of Turkey”. Sosyoekonomi 31, sy. 55 (Ocak 2023): 125-49. https://doi.org/10.17233/sosyoekonomi.2023.01.07.
EndNote Akçağlayan A, Tuzcu SE (01 Ocak 2023) The Asymmetric Impacts of Oil Prices and Selected Macroeconomic Variables on Stock Markets: The Case of Turkey. Sosyoekonomi 31 55 125–149.
IEEE A. Akçağlayan ve S. E. Tuzcu, “The Asymmetric Impacts of Oil Prices and Selected Macroeconomic Variables on Stock Markets: The Case of Turkey”, Sosyoekonomi, c. 31, sy. 55, ss. 125–149, 2023, doi: 10.17233/sosyoekonomi.2023.01.07.
ISNAD Akçağlayan, Anıl - Tuzcu, Sevgi Eda. “The Asymmetric Impacts of Oil Prices and Selected Macroeconomic Variables on Stock Markets: The Case of Turkey”. Sosyoekonomi 31/55 (Ocak 2023), 125-149. https://doi.org/10.17233/sosyoekonomi.2023.01.07.
JAMA Akçağlayan A, Tuzcu SE. The Asymmetric Impacts of Oil Prices and Selected Macroeconomic Variables on Stock Markets: The Case of Turkey. Sosyoekonomi. 2023;31:125–149.
MLA Akçağlayan, Anıl ve Sevgi Eda Tuzcu. “The Asymmetric Impacts of Oil Prices and Selected Macroeconomic Variables on Stock Markets: The Case of Turkey”. Sosyoekonomi, c. 31, sy. 55, 2023, ss. 125-49, doi:10.17233/sosyoekonomi.2023.01.07.
Vancouver Akçağlayan A, Tuzcu SE. The Asymmetric Impacts of Oil Prices and Selected Macroeconomic Variables on Stock Markets: The Case of Turkey. Sosyoekonomi. 2023;31(55):125-49.