DO NEGATIVE OIL PRICE SHOCKS AFFECT THE INDUSTRIAL SECTOR STOCK PRICES MORE THAN POSITIVE SHOCKS? A BIVARIATE EGARCH ANALYSIS FOR TURKEY.

Year 2018, Volume: 1 Issue: 1, 1 - 15, 30.06.2018

Samet Tüzemen , Mustafa Köseoğlu

Abstract

This paper investigates the asymmetric volatility
spillover from oil prices to Turkish industrial main and sub-sectors’ stock
prices and Borsa Istanbul 100 index (BIST 100) as a whole. A bivariate
VAR-EGARCH model is employed to the daily return data cover the period between
August 03, 2009 and June 30, 2016. Results show that there are asymmetric
volatility spillovers from oil returns to all of the industrial sector returns
as well as the BIST 100 index returns except mining sector. These findings
imply that the negative shocks in the oil returns affect the industrial sector
returns more than positive shocks. 

Keywords

Oil prices, Turkish industry sector, Asymmetric volatility spillover

NEGATİF PETROL FİYAT ŞOKLARININ SANAYİ SEKTÖRÜ ÜZERİNE ETKİSİ POZİTİF FİYAT ŞOKLARINDAN FAZLA MIDIR? TÜRKİYE ÜZERİNE İKİ DEĞİŞKENLİ EGARCH ANALİZİ.

Abstract

    Petrol dünyada en çok takip edilen emtia olma
özelliğine sahiptir. Gerek arz ve talebi gerekse bunun sonucu olarak fiyatları
bakımından petrol yalnızca makroekonomik göstergeler üzerinde değil aynı
zamanda finansal piyasalar üzerinde de etkin bir rol oynayan bir değişkendir.
Bu çalışmada da petrol fiyatlarından Türkiye’deki toplam ve alt sektörler
bazında Borsa İstanbul’da işlem gören sanayi sektörüne ait hisse senedi
fiyatlarına doğru asimetrik oynaklık yayılımının olup olmadığı incelenmiştir.
Bu bağlamda, 03.08.2009-30.07.2016 tarihleri arasında günlük olarak derlenen ve
getiri serisi haline dönüştürülen veri setine iki değişkenli VAR-EGARCH modeli
uygulanmıştır. Elde edilen sonuçlara göre, petrolden madencilik sektörü hariç
tüm sektörlere ve BİST 100 endeksine doğru asimetrik bir oynaklık yayılımı
vardır. Buna göre petrol fiyatlarında meydana gelen negatif oynaklıkların hisse
senetleri üzerinde pozitif olanlara göre daha fazla etkisi olduğu söylenebilir.

Keywords

Petrol fiyatları, Türk sanayi sektörü, Asimetrik oynaklık yayılımı

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