STRATEJİK EMTİALARIN FİYAT VE VOLATİLİTE ENDEKSLERİNİN HİSSE SENEDİ PİYASALARI ÜZERİNDEKİ ETKİLERİ: BRICS EKONOMİLERİ ÜZERİNE BİR İNCELEME

Year 2024, Volume: 25 Issue: 3, 23 - 47, 29.09.2024

Kübra Saka Ilgın , Selami Güney

https://doi.org/10.53443/anadoluibfd.1389265

Abstract

Bu çalışmada, stratejik emtialar olan altın, petrol fiyatları ile altın, petrol volatilite endekslerinin BRICS borsalarına etkisi araştırılmıştır. NARDL yöntemiyle değişkenler arasındaki ilişki kısa ve uzun dönemli ilişki analiz edilmiştir. Kısa dönem ve uzun dönem için altın fiyatlarının Brezilya ve Rusya hariç hisse senedi piyasalarında negatif etkili olduğu tespit edilmiştir. Petrol fiyatlarındaki değişikliklerin kısa dönemde ve uzun dönemde, petrol ithal eden Güney Afrika’da hisse senedi fiyatlarını negatif, net petrol ihracatçısı Rusya ve Brezilya’da ise pozitif etkilediği tespit edilmiştir. Stratejik emtia volatilitelerinin negatif ve pozitif şoklarının ise kısa ve uzun dönemde gelişen ülkelerin borsaları üzerinde asimetrik etkili olduğu sonucuna ulaşılmıştır.

Keywords

Stratejik Emtia Fiyatları, Altın Volatilite Endeksi, Petrol Volatilite Endeksi, BRICS Ekonomileri, Doğrusal Olmayan ARDL

THE EFFECTS OF PRICE AND VOLATILITY INDICES OF STRATEGIC COMMODITIES ON STOCK MARKETS: A STUDY ON BRICS ECONOMIES

Abstract

The effect of gold, oil prices, which are strategic commodities, and gold, oil volatility indices on the BRICS stock exchanges is investigated in this paper. The relationship between the variables is analysed for the short and long-run using the NARDL method. Gold prices have a negative effect on stock markets except Brazil and Russia, in the short and long-run. Changes in oil prices have a negative effect on stock prices in South Africa, which imported oil, and a positive effect in net oil exporters Brazil and Russia, in the short and long-run. It is concluded that positive and negative shocks of strategic commodity volatilities have an asymmetric effect on the stock exchanges of emerging countries in the short and long-run.

Keywords

Strategic Commodity Prices, Gold Volatility Index, Oil Volatility Index, BRICS Economies, Nonlinear ARDL

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