Petrol fiyatları ile hisse senedi fiyatları arasındaki dinamik koşullu korelasyonun incelenmesi: Küresel finans piyasalarına etkileri ve COVID-19'un etkisi

Year 2024, , 184 - 200, 16.12.2024

Zeynep İlhan Taşkın

https://doi.org/10.33707/akuiibfd.1395828

Abstract

Küresel ekonominin dinamik yapısı, küresel finansal piyasalardaki dalgalanmaları etkileyen pek çok faktörden biridir. COVID-19 da diğer tüm salgın hastalıklar gibi insanlık tarihinde önemli bir dönem olmuştur. Petrol ihraç etmek ve petrol ithal etmek de ekonomilerde önemli bir ayrımdır. Bu çalışmada, altı önemli petrol ihraç eden ve ithal eden ekonominin borsa kapanış fiyatları ile Brent petrol fiyatları arasındaki dinamik ilişkinin COVID-19 döneminde araştırılması amaçlanmıştır. Bu hisse senedi piyasalarının dünya ekonomisi üzerinde önemli bir etkisi vardır ve endüstri performansının değerlendirilmesinde referans noktası görevi görmektedir. Enerji piyasası ve piyasaların karmaşık etkileşimlerini modellemek amacıyla Dinamik Koşullu Korelasyon (DCC) yöntemi kullanılmıştır. Enerji fiyatlarındaki dalgalanmaların diğer makroekonomik göstergelerle ilişkisini ortaya koymak amaçlanmıştır. Bulgulara göre, her bir finansal piyasadaki ARCH etkilerinin ve volatilitenin kalıcı olması nedeniyle petrol fiyatlarındaki dalgalanmaların hisse senedi piyasaları üzerinde göz ardı edilemeyecek bir etkiye sahip olduğu sonucuna varılmaktadır. Volatilitenin devam ettiği varsayımında, volatilitenin incelenen piyasalar üzerinde etkisinin devam ettiği görülmektedir.

Keywords

Petrol Fiyatları, Hisse Senedi Fiyatları, Dinamik Korelasyon, Volatilitenin Kalıcılığı, Finansal Piyasalar

Examining the dynamic conditional correlation between oil prices and stock prices: Implications for global financial markets and the impact of COVID-19

Abstract

The dynamic structure of the global economy is one of many factors that affect the fluctuations in the global financial markets. COVID-19, like all other epidemics, has been an important period in human history. Exporting and importing oil are also important distinctions in economies. This study aims to investigate the dynamic relationship between stock market closing prices and Brent oil prices of six major oil-importing and oil-exporting economies during the COVID-19 period. These stock markets have a significant impact on the world economy and serve as reference points for evaluating industry performance. The Dynamic Conditional Correlation (DCC) method are used to model the complex interactions of the energy market and markets. It aims to reveal the relationship between fluctuations in energy prices and other macroeconomic indicators. According to the findings, it is concluded that fluctuations in oil prices have a non-negligible impact on stock markets due to the persistence of ARCH effects and volatility in each financial market. Assuming that volatility continues, it is seen that volatility continues to have an impact on the markets examined.

Keywords

Oil Prices, Stock Prices, Dynamic Correlation, Volatility Persistence, Financial Markets

References

• Adekoya, O. B., Oliyide, J. A., & Oduyemi, G. O. (2021). How COVID-19 upturns the hedging potentials of gold against oil and stock markets risks: Nonlinear evidences through threshold regression and markov-regime switching models. Resources Policy, 70, 101926. https://doi.org/10.1016/j.resourpol.2020.101926
• Ahmad, W., Sehgal, S., & Bhanumurthy, N. R. (2013). Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence? Economic Modelling, 33, 209–225. https://doi.org/10.1016/j.econmod.2013.04.009
• Bhatia, V., Das, D., & Kumar, S. B. (2020). Hedging effectiveness of precious metals across frequencies: Evidence from Wavelet based Dynamic Conditional Correlation analysis. Physica A: Statistical Mechanics and Its Applications, 541, 123631. https://doi.org/10.1016/j.physa.2019.123631
• Bildirici, M. E., & Sonustun, F. O. (2018). The effects of oil and gold prices on oil-exporting countries. Energy Strategy Reviews, 22, 290–302. https://doi.org/10.1016/j.esr.2018.10.004
• Bollerslev, T. (1990). Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model. The Review of Economics and Statistics, 72(3), 498. https://doi.org/10.2307/2109358
• Choudhry, T., Hassan, S. S., & Shabi, S. (2015). Relationship between gold and stock markets during the global financial crisis: Evidence from nonlinear causality tests. International Review of Financial Analysis, 41, 247–256. https://doi.org/10.1016/j.irfa.2015.03.011
• Dutta, A., Bouri, E., & Noor, M. H. (2021). Climate bond, stock, gold, and oil markets: Dynamic correlations and hedging analyses during the COVID-19 outbreak. Resources Policy, 74, 102265. https://doi.org/10.1016/j.resourpol.2021.102265
• Elgammal, M. M., Ahmed, W. M. A., & Alshami, A. (2021). Price and volatility spillovers between global equity, gold, and energy markets prior to and during the COVID-19 pandemic. Resources Policy, 74, 102334. https://doi.org/10.1016/j.resourpol.2021.102334
• Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models. Journal of Business & Economic Statistics, 20(3), 339–350. https://doi.org/10.1198/073500102288618487
• Engle, R. F., & Kroner, K. F. (1995). Multivariate Simultaneous Generalized ARCH. Econometric Theory, 11(1), 122–150. https://doi.org/10.1017/S0266466600009063
• Filis, G., Degiannakis, S., & Floros, C. (2011). Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries. International Review of Financial Analysis, 20(3), 152–164. https://doi.org/10.1016/j.irfa.2011.02.014
• Guesmi, K., & Fattoum, S. (2014). Return and volatility transmission between oil prices and oil-exporting and oil-importing countries. Economic Modelling, 38, 305–310. https://doi.org/10.1016/j.econmod.2014.01.022
• Huang, C., Wang, Y., Li, X., Ren, L., Zhao, J., Hu, Y., Zhang, L., Fan, G., Xu, J., Gu, X., Cheng, Z., Yu, T., Xia, J., Wei, Y., Wu, W., Xie, X., Yin, W., Li, H., Liu, M., … Cao, B. (2020). Clinical features of patients infected with 2019 novel coronavirus in Wuhan, China. The Lancet, 395(10223), 497–506. https://doi.org/10.1016/S0140-6736(20)30183-5
• Liow, K. H., Ho, K. H. D., Ibrahim, M. F., & Chen, Z. (2009). Correlation and Volatility Dynamics in International Real Estate Securities Markets. The Journal of Real Estate Finance and Economics, 39(2), 202–223. https://doi.org/10.1007/s11146-008-9108-4
• Marimoutou, V., Raggad, B., & Trabelsi, A. (2009). Extreme Value Theory and Value at Risk: Application to oil market. Energy Economics, 31(4), 519–530. https://doi.org/10.1016/j.eneco.2009.02.005
• Najeeb, S. F., Bacha, O., & Masih, M. (2015). Does Heterogeneity in Investment Horizons Affect Portfolio Diversification? Some Insights Using M-GARCH-DCC and Wavelet Correlation Analysis. Emerging Markets Finance and Trade, 51(1), 188–208. https://doi.org/10.1080/1540496X.2015.1011531
• The World Bank. (2023, April 26). COVID-19 to Plunge Global Economy into Worst Recession since World War II. https://www.worldbank.org/en/news/press-release/2020/06/08/covid-19-to-plunge-global-economy-into-worst-recession-since-world-war-ii
• Sharif, A., Aloui, C., & Yarovaya, L. (2020). COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach. International Review of Financial Analysis, 70, 101496. https://doi.org/10.1016/j.irfa.2020.101496
• Singhal, S., & Ghosh, S. (2016). Returns and volatility linkages between international crude oil price, metal and other stock indices in India: Evidence from VAR-DCC-GARCH models. Resources Policy, 50, 276–288. https://doi.org/10.1016/j.resourpol.2016.10.001
• Yahoo Finance. (2023, May 1). Top 20 Oil Importing Countries in 2023. https://finance.yahoo.com/news/top-20-oil-importing-countries-174751106.html?guccounter=1&guce_referrer=aHR0cHM6Ly93d3cuZ29vZ2xlLmNvbS8&guce_referrer_sig=AQAAAK7iqS7zmg0EBIVZZwfhU1k4NrBgAw47fKT3tPUGsUsfftT77t_Lt_dEJuj-ubv6cyf6Ts3yGi89UfyAKroXFYda7EAQsPBPg-SQ2IxtuYQZM7swODFDmUZxN-5Z8jej7XiceZMjZGqhuG4GAq9wLVjwNmaF45yDOav7RjhCSVTp
• Yahoo Finance. (2023, May 1). Top 20 Oil Exporting Countries in 2023. https://finance.yahoo.com/news/top-20-oil-exporting-countries-170751785.html
• You, W., Guo, Y., Zhu, H., & Tang, Y. (2017). Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression. Energy Economics, 68, 1–18. https://doi.org/10.1016/j.eneco.2017.09.007
• Zhang, F., Narayan, P. K., & Devpura, N. (2021). Has COVID-19 changed the stock return-oil price predictability pattern? Financial Innovation, 7(1), 61. https://doi.org/10.1186/s40854-021-00277-7
• Zhang, W., & Hamori, S. (2021). Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany. International Review of Financial Analysis, 74, 101702. https://doi.org/10.1016/j.irfa.2021.101702