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

Year 2024, Volume: 26 Issue: 2, 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

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