Causality Relationship Between Dirty and Clean Tanker Index Volatilities and BRIC Stock Exchanges

Year 2024, , 915 - 936, 25.12.2024

İsmail Koçak , Savaş Tarkun , Mehmet Çınar

https://doi.org/10.26745/ahbvuibfd.1470589

Abstract

In this study, the relationship between the Baltic Dirty Tanker Index (BDTI) and the Baltic Clean Tanker Index (BCTI) volatility and the returns of BRIC stock markets was investigated by a frequency domain causality test. In this study, which was investigated with daily data for the period 04.01.2013–29.12.2023, an artificial volatility series was first created for dirty tanker and clean tanker indices. The findings show that there is a bidirectional causality between the Brazilian stock market return and dirty tanker volatility in the long term. A one-way causality relationship was found between the Russian stock market and clean tanker volatility in the medium term, and a statistically significant causality relationship was found between the Indian stock market return and dirty tanker volatility in the long and short term. However, no causal relationship was found between Chinese stock market returns and dirty and clean tanker volatility. These results place Russia among the most important oil-exporting countries in the world. Therefore, it has been demonstrated that the information in the past period returns of this country's stock market, especially of dirty tanker ship owners, contains information on the current period values of dirty tanker freight shocks in the long, short, and medium term. The most important reason for the lack of a causal relationship between Chinese stock market returns and the volatility of crude oil and oil by-product freight rates can be shown as China's emphasis on renewable energy policies.

Keywords

Dirty Tanker Index, Clean Tanker Index, BRIC, Frequency Domain Causality

Kirli ve Temiz Tanker Endeksi Volatiliteleri ile BRIC Borsaları Arasındaki Nedensellik İlişkisi

Abstract

Bu çalışmada, Baltık Kirli Tanker Endeksi (BDTI) ile Baltık Temiz Tanker Endeksi (BCTI) volatilitesinin BRIC borsalarının getirileri arasındaki ilişki frekans alan nedensellik testi ile araştırılmıştır. 04.01.2013-29.12.2023 dönemine ait günlük veriler ile araştırılan bu çalışmada, öncelikle kirli tanker ve temiz tanker endeksleri için yapay volatilite serisi oluşturulmuştur. Ulaşılan bulgular ise uzun vadede Brezilya borsası getirisi ile kirli tanker volatilitesi arasında çift taraflı nedensellik elde edilmiştir. Rusya borsası ile temiz tanker volatilitesi arasında orta vadede tek yönlü, uzun ve kısa vadede Hindistan borsası getirisi ile kirli tanker volatilitesi arasında istatistiksel olarak anlamlı nedensellik ilişkisi bulunmuştur. Ancak Çin borsası getirisi ile kirli ve temiz tanker volatilitesi arasında herhangi bir nedensellik ilişkisi bulunamamıştır. Bu sonuçlar, Rusya, dünyadaki önemli petrol ihracatçısı ülkeler arasında yer almaktadır. Dolayısıyla, özellikle kirli tanker armatörlerinin bu ülke borsasının geçmiş dönem getirilerindeki bilgilerin kirli tanker navlun şoklarının cari dönem değerlerindeki bilgileri barındırdığını uzun, kısa ve orta vadede ortaya konmuştur. Çin borsa getirisi ile ham petrol ve petrol yan ürünü navlun oranları volatilitesi arasında nedensellik ilişkisinin bulunmamasının en önemli nedeni ise Çin’in yenilenebilir enerji politikalarına ağırlık vermesi olarak gösterilebilir.

Keywords

Kirli Tanker Endeksi, Temiz Tanker Endeksi, BRIC, Frekans Alanı Nedensellik

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