OIL PRICES AND BANKING STOCKS NEXUS: EVIDENCE FROM AN OIL-DEPENDENT COUNTRY

Abstract

We investigate the impact of oil prices on Borsa Istanbul banking index during 2004-2017 and for the periods before and after the 2008 crisis. We especially examine banking stock performances since any significant factor affecting financial institutions, would probably have an impact on the whole economy due to the contagion. Secondly, banking index is the leader index in Borsa Istanbul with 36% of market capitalization of Borsa Istanbul. Moreover, financial institutions in Turkey experienced a significant M&A flow in the last decade, which fosters the interrelationship between foreign and domestic markets. Our sample period is between 2004 and 2016 and we employ Granger-causality and generalized impulse responses. Results reveal that financial and commodity markets are highly integrated and oil is a significant commodity for Turkish market. Furthermore, banking equities seem to benefit from oil price increases and hence one should include banking stocks into their portfolios, when commodity prices are surging.

Keywords

• emerging market,banking index,oil price,stock market

PETROL FİYATLARI VE BANKACILIK HİSSE SENETLERİ BAĞINTISI: PETROL BAĞIMLI BİR ÜLKEDEN KANIT

Abstract

Çalışmamız petrol fiyatlarının Borsa İstanbul banka endeksi üzerindeki etkisini 2004-2017 dönemi için incelerken, kriz öncesi ve sonrası farklılıkları da sınamaktadır. Banka endeksine özellikle bakmamızın nedenlerinden biri finansal kurumları etkileyen önemli faktörlerin bulaşıcılık nedeniyle kuvvetle muhtemel ekonomiyi de etkileyecekleridir. İkinci olarak, banka endeksi Borsa İstanbul’un %36’sını oluşturan ana endekstir. Son olarak Türkiye’deki bankacılık sektörü son senelerde ciddi bir birleşme ve satın alma dalgasına konu olmuştur. Bu nedenle de yurtdışı ve yerel piyasalar arasındaki bağıntı da geçen seneler içerisinde daha da çok artmıştır. Örneklem kapsamımız 2004 ve 2016 seneleri arasında iken, yöntemimiz de Granger-nedensellik ve genelleştirilmiş dürtü yanıtını içermektedir. Sonuçlarımız finansal ve emtia piyasalarının entegre olduğunu ve petrolün Türkiye ekonomisi için önemli bir emtia olduğunu göstermektedir. Öte yandan, banka hisse senetleri özellikle 2008-2013 döneminde petrol fiyatlarındaki artıştan pozitif anlamda etkilenmişlerdir. Bu nedenle petrol fiyatları yükselirken, yatrımcılar portföyüne banka hisse senetlerini eklemeyi düşünebilir.

Keywords

• gelişen piyasa,banka endeksi,petrol fiyatları,hisse senedi piyasası

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