SHORT- AND LONG-RUN ASYMMETRIC EFFECT OF OIL PRICE SHOCKS ON BIST100 RETURN INDEX: EVIDENCE FROM NARDL ANALYSIS

Yıl 2022, Sayı: 62, 25 - 55, 30.08.2022

Halil Altıntaş

https://doi.org/10.18070/erciyesiibd.1067906

Cited By: 3

Öz

This paper investigates the nonlinear effects of three types of oil price shocks proposed by Ready (2018), namely supply, demand, and risk shocks, on the BIST100 return using a recently developed nonlinear autoregressive distributed lags (NARDL) model on monthly data from January 2003 to January 2019. Our results indicate that there is a nonlinear cointegration relationship between oil price shocks and BIST100 return, and that the effects of positive and negative changes in oil price shocks on stock market returns vary significantly in the short and long-run. The long-run coefficients of positive and negative oil demand shocks, respectively, are positive and negative but the positive demand shock is greater economic impact of the negative demand shock. This means that stock returns are more affected by global demand growth in Turkey. Furthermore, positive oil supply and positive risk shocks resulted in a decrease in stock return, while negative supply and negative risk shocks resulted in an increase in stock return. In terms of total impact, both positive oil supply and positive oil risk shocks have a greater impact on lowering stock returns during this period.

Anahtar Kelimeler

Asymmetry, Oil Price Shocks, Stock Price, Energy

PETROL FİYATI ŞOKLARININ BİST100 GETİRİ ENDEKSİ ÜZERİNE KISA VE UZUN DÖNEM ASİMETRİK ETKİSİ: NARDL YAKLAŞIMINDAN KANITLAR

Öz

Bu çalışma, Türkiye’de 2003 Ocak-2019 Ocak dönemi arasında Ready (2018) tarafından önerilen üç farklı petrol fiyatı şokunun (talep, arz ve risk) BIST100 getirisi üzerindeki doğrusal olmayan etkisini NARDL modeli yaklaşımı ile incelemektedir. Elde ettiğimiz sonuçlarda petrol fiyatı şoklarıyla BIST100 getirisi arasında doğrusal olmayan eşbütünleşme ilişkisinin varlığına ve petrol fiyatı şoklarındaki pozitif ve negatif değişmelerin kısa ve uzun dönemde önemli ölçüde değiştiği sonucuna rastlanmıştır. Pozitif ve negatif petrol talep şokları katsayıları sırasıyla, pozitif ve negatiftir ve pozitif petrol talep şokunun negatif petrol talep şokundan daha büyük ekonomik etkiye sahiptir. Bu sonuç global talep artışından hisse getirilerinin daha fazla etkilendiği anlamına gelmektedir. Toplam etkiler değerlendirildiğinde hem pozitif petrol arz şokunun hem de pozitif petrol talep risk şokunun incelenen dönemde hisse senedi getirilerinin azalmasında daha büyük etkiye sahip olduğu sonucuna ulaşılmıştır.

Anahtar Kelimeler

Asimetri, Petrol Fiyatı Şokları, Hisse Senedi Fiyatı, Enerji

Kaynakça

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