ASYMMETRIC RELATIONS BETWEEN GLOBAL COMMODITY INDEX AND BIST SECTORAL STOCK MARKET INDEXES: IMPLICATIONS FOR LOCAL AND INTERNATIONAL INVESTORS

Abstract

Commodities have crucial importance economically and financially as both a cost input and an investment tool. It is a known fact that commodity prices become a determining factor in stock prices by affecting the production costs of companies directly. In addition, market participants consider commodities both an investment alternative and a safe haven asset in turbulent market conditions. Therefore, commodity price movements have become an indicator followed by both managers and investors in terms of their impact on the general economy and financial markets. This study investigates the short and long-term asymmetric relations between the global commodity price index and BIST sector index prices. The NARDL model was adopted as the research methodology. According to the empirical findings, a long-term nonlinear cointegration relationship was found between the sector indices and the commodity price index. The short- and long-term effects of commodity price increases and decreases differ by sector and exhibit asymmetrical characteristics. Findings indicate that the sectoral effects of commodity prices are heterogeneous, and that the BIST stock market has become integrated with the global commodity markets. Therefore, the results obtained in this study support the phenomenon of financialization of commodity markets. The findings will help investors evaluate the effects of commodity prices on asset allocation and risk management decisions.

Keywords

• Commodity Prices
• Industry Indices
• Financialization of Commodity Markets
• Nonlinear ARDL Model

Project Number

Yoktur

GLOBAL EMTİA ENDEKSİ İLE BIST SEKTÖR ENDEKSLERİ ARASINDAKİ ASİMETRİK İLİŞKİLER: YEREL VE ULUSLARARASI YATIRIMCILAR İÇİN ÇIKARIMLAR

Abstract

Emtialar hem bir maliyet girdisi hem de bir yatırım aracı olarak ekonomik ve finansal açıdan önem arz etmektedir. Emtia fiyatlarının firmaların üretim maliyetlerini etkileyerek hisse senedi performansında belirleyici bir unsur haline geldiği bilinen bir olgudur. Ayrıca, piyasa katılımcıları emtiaları hem bir yatırım alternatifi hem de çalkantılı dönemlerde güvenli varlık olarak değerlendirmektedir. Dolayısıyla genel ekonomiye ve finansal piyasalara etkisi bakımından emtia fiyat hareketleri hem firmalar hem de yatırımcılar tarafından takip edilen bir gösterge haline gelmiştir. Bu çalışmada global emtia fiyat endeksiyle BIST sektör endeksleri fiyatı arasındaki kısa ve uzun dönem asimetrik ilişkiler incelenmektedir. Araştırma metodolojisi olarak NARDL modeli benimsenmiştir. Ampirik bulgulara göre, sektör endeksleri ile emtia fiyat endeksi arasında uzun dönemde nonlineer eşbütünleşme ilişkisi tespit edilmiştir. Emtia fiyat artış ve azalışlarının kısa ve uzun dönem etkileri sektör bazında farklılaşmakta ve asimetrik özellik göstermektedir. Ulaşılan bulgular emtia fiyatlarının sektörel etkilerinin heterojen olduğunu ve aynı zamanda BIST hisse senedi piyasasının global emtia piyasaları ile entegre hale geldiğini ifade etmektedir. Dolayısıyla bu çalışmada ulaşılan sonuçlar emtia piyasalarının finansallaşması olgusunu desteklemektedir. Elde edilen bulgular yatırımcıların varlık dağılımı ve risk yönetimi kararlarında emtia fiyatlarının etkilerini doğru değerlendirmelerine yardımcı olacaktır.

Keywords

• Emtia Fiyatları
• Sektör Endeksleri
• Emtia Piyasalarının Finansallaşması
• Nonlineer ARDL Modeli

Supporting Institution

Yoktur

Project Number

Yoktur

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