Examination of The Relationship Between BIST Chemical, Oil, Plastic Index Share Prices And Oil Prices

Year 2014, Volume: 15 Issue: 1, 383 - 395, 21.02.2014

Abdulkadir Kaya Ömer Binici

Abstract

Oil, which is one of the indispensable factor of production sectors and the most important element of the types of energy, price changes affect the financial sector besides the real sector in recent years. In this study, the relationship have been investigated between oil prices and stock prices of companies, which are operating in Turkey, included in Istanbul Stock Exchange (BIST) Chemical, Petroleum, Plastics index that oil is the main production factors of these companies. For this purpose, whether there is a long-term relationship between BIST Chemical, Petroleum, Plastic index and oil prices, was tested with Jusellius Johansen cointegration test. Granger Causality Test method was used to determine the direction of causality between variables. As a result of the analysis, cointegration relationship was found between oil prices and BIST Chemical, Petroleum, Plastic index. In addition, a unidirectional causal relationship has been found from oil prices to BIST Chemical, Petroleum, Plastics index.

Keywords

Oil Prices, BIST Chemical, Petroleum, Plastic Index, Johansen Cointegration Test, Granger Causality Test

BIST Kimya, Petrol, Plastik Endeksi Hisse Senedi Fiyatları ile Petrol Fiyatları Arasındaki İlişkinin İncelenmesi

Abstract

Enerji türlerinin en önemli unsuru ve üretim sektörünün vazgeçilmez faktörlerinden biri olan petrolün son yıllardaki fiyatındaki değişimler, reel sektör yanında finansal sektörü de etkilemektedir. Bu çalışmada, Türkiye’de faaliyet gösteren, ana üretim faktörü petrol olan Borsa İstanbul (BİST) Kimya, Petrol, Plastik endeksinde yer alan şirketlerin hisse senetleri fiyatları ile petrol fiyatları arasındaki ilişki incelenmiştir. Bu amaçla, BIST Kimya, Petrol, Plastik endeksi ile petrol fiyatları arasındaki uzun dönemli bir ilişki olup olmadığı Johansen Jusellius Eşbütünleşme Testi ile test edilmiştir. Değişkenler arasındaki nedenselliğin yönünü belirlemek için ise Granger Nedensellik Testi yöntemi ile kullanılmıştır. Yapılan analizler sonucunda, petrol fiyatları ile BIST Kimya, Petrol, Plastik endeksi arasında eşbütünleşme ilişkisi bulunmuştur. Ayrıca petrol fiyatlarından, BIST Kimya, Petrol, Plastik endeksine doğru tek yönlü bir nedensellik ilişkisine tespit edilmiştir.

Keywords

Petrol Fiyatları, BIST Kimya, Petrol, Plastik Endeksi, Johansen Eşbütünleşme Testi, Granger Nedensellik Testi

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