The Causality Relationship Between World Oil Price, Coal Price and Natural Gas Price and BIST Electricity Index, and Volatility Spillover

Year 2022, Volume: 6 Issue: 1, 1587 - 1603, 31.01.2022

Tuncay Gümüş , Çiğdem Kurt Cihangir

https://doi.org/10.29023/alanyaakademik.887155

Cited By: 4

Abstract

This study aims to investigate the effect of changes in world oil, coal and natural gas prices on the return of the unadjusted and market interest rate adjusted BIST electricity index for the period of 17th May, 2010 – 29th May, 2020. The causality relationship between the variables is examined with the Granger Causality test, and the volatility spillover is examined using the GARCH (1,1) ADC and BEKK methods. According to the analysis findings, return of BIST 100 index and changes in world oil and coal prices have a strong volatility spillover effect on the adjusted BIST electricity index return. Conversely, no effect of the changes in world natural gas prices in terms of both causality and volatility spillover has been detected on the BIST electricity index return.

Keywords

BIST Electricity Index, Oil Price, Coal Price, Natural Gas Price

Dünya Petrol, Kömür ve Doğal Gaz Fiyatları ile BİST Elektrik Endeksi Arasındaki Nedensellik İlişkisi ve Oynaklık Yayılımı

Abstract

Bu çalışmanın amacı, dünya petrol, kömür ve doğal gaz fiyatlarındaki değişikliklerin düzeltilmemiş ve piyasa faiz oranına göre düzeltilmiş BIST elektrik endeksinin getirisine etkisinin 17 Mayıs 2010 – 29 Mayıs 2020 dönemi için araştırılmasıdır. Değişkenler arasındaki nedensellik ilişkisi Granger Nedensellik testi ile, oynaklık yayılımı ise GARCH (1,1) ADC ve BEKK yöntemleri ile incelenmiştir. Analiz bulgularına göre, BIST 100 endeksi getirisi ile dünya petrol ve kömür fiyatlarındaki değişikliklerin düzeltilmiş BIST elektrik endeksi getirisi üzerinde güçlü bir oynaklık yayılma etkisi vardır. Buna karşın, dünya doğal gaz fiyatlarındaki değişikliklerin BIST elektrik endeksi getirisi üzerinde gerek nedensellik gerekse oynaklık yayılımı açısından bir etki tespit edilmemiştir.

Keywords

BİST Elektrik Endeksi, Petrol Fiyatları, Kömür Fiyatları, Doğal Gaz Fiyatları

References

• ABDİOĞLU, Z. & DEĞİRMENCİ, N. (2014). "Petrol Fiyatları-Hisse Senedi Fiyatları İlişkisi: BİST Sektörel Analiz", Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5(8), 01-24.
• ACARAVCI, A., ÖZTURK, İ. & KANDIR, S. Y. (2012). "Natural Gas Prices and Stock Prices: Evidence from EU-15 Countries", Economic Modelling, 29(5), 1646-1654.
• AROURIA, M. E., JOUINI, J. & NGUYEN, D. K. (2011). "Volatility Spillovers between Oil Prices and Stock Sector Returns: Implications for Portfolio Management", Journal of International Money and Finance, 30(7), 1387-1405.
• AROURI, M. E., JOUINI, J. & NGUYEN, D. K. (2012). "On the Impacts of Oil Price Fluctuations on European Equity Markets: Volatility Spillover and Hedging Effectiveness", Energy Economics, 34(2), 611-617.
• BAE, K.H. & KAROLYI, G. (1994). "Good News, Bad News and International Spillovers of Stock Return Volatility Between Japan and the U.S. Pacific-Basin", Finance Journal, 2(4), 405-438.
• BP, British Petroluem, "BP Statistical Review of World Energy 2019", https://www.bp.com/content/dam/bp/business-sites/en/global/corporate/pdfs/energy-economics/statistical-review/bp-stats-review-2019-full-report.pdf, 30.05.2020
• CHEN, N.F., ROLL, R. & ROSS, S. A. (1986). "Economic Forces and the Stock Market", The Journel of Business, 59(3), 383-403.
• CHEUNG, Y. & NG, L. (1996). "A Causality-in-Variance Test and Its Application to Financial Market Prices", Econometrics, 72(1996), 33-48.
• DE SANTIS, G. & GERARD, B. (1997). "International Asset Pricing and Portfolio Diversification with Time‐Varying Risk", The Journal of Finance, 52(5), 1881-1912.
• DEMİRALAY, S. & GENCER, H. (2014). "Volatility Transmissions between Oil Prices and Emerging Market Sectors: Implications for Portfolio Management and Hedging Strategies", International Journal of Energy Economics and Policy, 4(3), 442-447.
• DEKTMK, Dünya Enerji Konseyi Türk Milli Komitesi, "Dünya Enerji Görünümü 2018", https://www.dunyaenerji.org.tr/dunya-enerji-gorunumu-2018-yonetici-ozeti-uea/,30.05.2020
• ERYİĞİT, M. (2009). "Effects of Oil Price Changes on the Sector Indices of Istanbul Stock Exchange", International Research Journal of Finance and Economics, 1(25), 209-216.
• ETKB, Enerji ve Tabii Kaynaklar Bakanlığı, "Denge Tabloları", https://www.eigm.gov.tr/tr-TR/Denge-Tablolari/Denge-Tablolari,01.06.2020
• EWING, B. & MALIK, F. (2016). "Volatility Spillovers Between Oil Prices and the Stock Market Under Structural Breaks", Global Finance Journal, 29, 12-23.
• GREEN, R., LARSSON, K., LUNINA, V. & NILSSON, B. (2018). "Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets", Journal of Banking & Finance, 95, 231-243.
• GÜLER, S., TUNÇ, R. & ORÇUN, Ç. (2010). "Petrol Fiyat Riski ve Hisse Senedi Fiyatları Arasındaki İlişkinin Belirlenmesi: Türkiye'de Enerji Sektörü Üzerinde Bir Uygulama", Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(4), 297-315.
• GÜRLEVİK, F. & GAZEL, S. (2020). "Enerji Fiyatlarındaki Değişimin Hisse Senedi Fiyatlarına Etkisi: BİST Elektrik Endeksi Üzerine Bir Uygulama", Ekev Akademi Dergisi, 82, 119-138.
• IEA, International Energy Agency, "Data and Statistics", https://www.iea.org/data-and-statistics?country=WORLD&fuel=Energy%20supply&indicator=TPESbySource, 01.01.2020.
• IIASA, Uluslararası Uygulamalı Sistem Analizi Enstitüsü, "Fossil Energy", https://iiasa.ac.at/web/home/research/Flagship-Projects/Global-Energy-Assessment/GEA_Chapter12_fossils_lowres.pdf, 01.06.2020.
• KAPUSUZOGLU, A. (2018). "Relationships Between Oil Price and Stock Market: An Empirical Analysis from Istanbul Stock Exchange (ISE)", International Journal of Economics and Finance, 10(8)
• LIU, T., HE, X., NAKAJIMA, T. & HAMORI, S. (2020). "Influence of Fluctuations in Fossil Fuel Commodities on Electricity Markets: Evidence from Spot and Futures Markets in Europe", Energies, 13(8), 1900
• MJELDE, J. W. & BESSLER, D. (2009). "Market Integration among Electricity Markets and Their Major Fuel Source Markets", Energy Economics, 31(3), 482-491.
• MOHAMMADI, H. (2009). "Electricity Prices and Fuel Costs: Long-run Relations and Short-run Dynamics", Energy Economics, 31(3), 503-509.
• MOUTINHO, V., VIEIRA, J. & MOREIRA, A. C. (2011). "The Crucial Relationship Among Energy Commodity Prices:Evidence From The Spanish Electricity Market", Energy Policy, 39(2011), 5898–5908.
• MUÑOZ, M. P. & DICKEY, D. (2009). "Are Electricity Prices Affected by the US Dollar to Euro Exchange Rate? The Spanish Case", Energy Economics, 31(6), 857-866.
• NAKAJIMA, T. & HAMORI, S. (2012). "Causality-in-Mean and Causality-in-Variance among Electricity Prices, Crude Oil Prices, and Yen–US Dollar Exchange Rates in Japan", Research in International Business and Finance, 26(3), 371-386.
• NANDHA, L. & FAFF, R. (2008). "Does Oil Move Equity Prices? A Global View", Energy Economics, 30(3), 986-997.
• NARAYAN, P. K. & NARAYAN, S. (2010). "Modelling The Impact of Oil Prices on Vietnam’s Stock Prices", Applied Energy, 87(1), 356-361.
• NG, A. (2000). "Volatility Spillover Effects from Japan and the US to the Pacific-Basin", Journal of International Money and Finance, 19(2), 207-233.
• OBERNDORFER, U. (2009). "Energy Prices, Volatility, and The Stock Market: Evidence From The Eurozone", Energy Policy, 37 (2009), 5787–5795.
• ORDU, B. M. & SOYTAŞ, U. (2015). "The Relationship Between Energy Commodity Prices and Electricity and Market Index Performances: Evidence from an Emerging Market", Emerging Markets Finance and Trade, 52(9), 1-16.
• ORDU, B. M. & SOYTAŞ, U. (2016). "The Relationship Between Energy Commodity Prices and Electricity and Market Index Performances: Evidence from an Emerging Market", Emerging Markets Finance & Trade, 52, 2149–2164.
• PARK, J. & RATTI, R. (2008). "Oil Price Shocks and Stock Markets in The U.S. and 13 European Countries", Energy Economics, 30(5), 2587-2608.
• SADORSKY, P. (2014). "Modeling Volatility and Correlations Between Emerging Market Stockprices and The Prices Of Copper, Oil And Wheat", Energy Economics, 43(2014), 72-81.
• SCHERNİKAU, L. (2016). The International Coal Trade (Second Edition): Why Coal Continues to Power The World, Cham, Switzerland: Springer.
• SOYTAŞ, U. & ORAN, A. (2008). "Dünya Petrol Fiyatlarındaki Değişim İMKB Elektrik Endeksine Nasıl Yansıyor?", 12. Ulusal Finans Sempozyumu, 216-222.
• SOYTAŞ, U. & ORAN, A. (2011). "Volatility Spillover from World Oil Spot Markets to Aggregate and Electricity Stock Index Returns in Turkey", Applied Energy, 88(1), 354-360.
• TEİAŞ. Türkiye Elektrik İletim A.Ş., "2020 Yılı Aylık Elektrik Üretim-Tüketim Raporları", https://www.teias.gov.tr/tr-TR/aylik-elektrik-uretim-tuketim-raporlari, 01.06.2020.
• VARDAR, G., KURT-GÜMÜŞ, G. & DELİCE, M. E. (2018). "The Impact of Oil Price Shocks on Sector Indices: Evidence from Borsa İstanbul", Business and Economics Research Journal, 9(2), 271-289.
• YILANCI, V. (2009). "Yapısal Kırılmalar Altında Türkiye İçin İşsizlik Histerisinin Sınanması", Doğuş Üniversitesi Dergisi, 10(2), 324-335.
• ZIVOT, E. & ANDREWS, D. W. K. (1992). "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit-Root Hypothesis", Journal of Business & Economic Statistics, 10(3): 251-270.