Finans Ekonomi ve Sosyal Araştırmalar Dergisi 2602-2486 Ferudun KAYA 10.29106/fesa.658845 Economics Ekonomi ASYMMETRIC IMPACT OF OIL PRICES ON EXCHANGE RATE AND STOCK PRICES: THE CASE OF TURKEY PETROL FİYATLARININ DÖVİZ KURU VE HİSSE SENEDİ GETİRİLERİ ÜZERİNDEKİ ASİMETRİK ETKİSİ: TÜRKİYE ÖRNEĞİ https://orcid.org/0000-0003-4978-5251 Çıtak Ferhat HİTİT ÜNİVERSİTESİ https://orcid.org/0000-0001-7381-306X Kendirli Selcuk HİTİT ÜNİVERSİTESİ 12 31 2019 4 4 643 658 12 13 2019 12 31 2019 Copyright © 2016, Research of Financial Economic and Social Studies 2016 Research of Financial Economic and Social Studies

The purpose of this paper is to investigate the asymmetric impact of oil price changes on the Turkish Stock Market (BISTALL) and the exchange rate (Dollar/Lira) by applying the NARDL model. The sample period starts in January 2010 and ends in June 2019, yielding a total of 114 observations. The findings of the empirical analysis suggest that in the long run an increase (a decrease) in oil prices does not have any impact on both the stock market returns of the Turkish Stock Market and the exchange rate in Turkey. This result indicates that the Turkish market is not very sensitive to the changes in oil price changes. In the short run, however, the asymmetry of oil price fluctuations is observed for both models.

Bu çalışmanın amacı, Türkiye’de Ocak, 2010 – Haziran, 2019 dönemi aylık veriler kullanılarak petrol fiyatlarının döviz kuru (Dolar/TL) ve Borsa İstanbul (BİSTTÜM) fiyatları üzerindeki asimetrik etkisi doğrusal olmayan ARDL eşbütünleşme (NARDL) yöntemiyle analiz etmektir. Çalışmadan elde edilen bulgular sonucunda, petrol fiyatlarında meydana gelen hem pozitif hem de negatif değişmeler hisse senedi fiyatlarını ve döviz kurunu uzun dönemde istatistiksel olarak etkilememektedir. Bu sonuçla, petrol fiyatlarından hisse senedi fiyatları ve döviz kuruna doğru herhangi bir asimetrik aktarım bulunamamıştır ve bu durum Türkiye’de hem hisse senedi fiyatlarının hem de döviz kurunun petrol fiyatı şoklarına karşı duyarsız olduğunu göstermektedir. Son olarak, her iki model için petrol fiyatlarında kısa dönemde meydana gelen dalgalanmalar asimetrik etkiye neden olmaktadır

 Asimetrik ARDL petrol fiyatları hisse senedi fiyatları döviz kuru Nonlinear ARDL (NARDL) oil prices stock prices exchange rate Al-hajj, E., Al-Mulali, U. ve Solarin, S.A. (2018). Oil Price Shocks and Stock Returns Nexus for Malaysia: Fresh Evidence from Nonlinear ARDL Test. Energy Reports, 4, 624-637. Aloui, C., ve Jammazi, R. (2009). The Effects of Crude Oil Shocks on Stock Market Shifts Behaviour: A Regime Switching Approach. Energy Economics, 31(5), 789-799. Babatunde, M.A., Adenikinju, O. ve Adenikinju, A.F. (2013). Oil Price Shocks and Stock Market Behaviour in Nigeria. Journal of Economic Studies, 40(2), 180-202. Basher, S. A., ve Sadorsky, P. (2006).Oil Price Risk and Emerging Stock Markets. Global Finance Journal, 17(2), 224-251. Basher, S. A., Haug, A. A., ve Sadorsky, P. (2012). Oil Prices, Exchange Rates and Emerging Stock Markets. Energy Economics, 34(1), 227–240. Beirne, J., Beulen, C., Liu, G., ve Mirzaei, A. (2013). Global Oil Prices and The Impact of China. China Economic Review, 27, 37-51. 2014 BP Dünya Enerji İstatistikleri Raporu (2014, 10 Temmuz). Haber ekonomi. Erişim adresi: http://haberekonomi.com.tr/ BP Statistical Review of World Energy. (2019). 68th Edition. Erişim adresi: https://www.bp.com/content/dam/bp/business-sites/en/global/corporate/pdfs/energy-economics/statistical-review/bp-stats-review-2019-full-report.pdf Brahmasrene, T., Huang, J. C., ve Sissoko, Y. (2014). Crude Oil Prices and Exchange Rates: Causality, Variance Decomposition and Impulse Response. Energy Economics, 44, 407–412. Broadstock, D. C., ve Filis, G. (2014). Oil Price Shocks and Stock Market Returns: New Evidence from the United States and China. Journal of International Financial Markets, Institutions and Money, 33, 417-433. Chang, K. L., ve Yu, S. T. (2013). Does Crude Oil Price Play an Important Role in Explaining Stock Return Behavior? Energy Economics, 39, 159-168. Chen, S. S. (2010). Do Higher Oil Prices Push the Stock Market into Bear Territory? Energy Economics, 32(2), 490–495. Ciner, C. (2013). Oil and stock returns: Frequency Domain Evidence. Journal of International Financial Markets, Institutions and Money, 23, 1-11. Cong, R.G., Wei, Y.M., Jiao, J.L., ve Fan, Y. (2008). Relationships Between Oil Price Shocks and Stock Market: An Empirical Analysis from China. Energy Policy, 36(9), 3544–3553. Delgado, N.A.B., Delgado, E.B., ve Saucedo, E., (2018). The Relationship Between Oil Prices, The Stock Market and The Exchange Rate: Evidence from Mexico. North Am. J. Econ. Finance, 45, 266-275. Dünyada Enerji Tüketimi Yüzde 2,9 arttı. (2019, 12 Haziran). Hürriyet. Erişim adresi: http://www.hurriyet.com.tr/ Fan, Y., ve Xu, J. (2011). What has Driven Oil Prices since 2000? A Structural Change Perspective. Energy Economics, 33, 1082-1094. Güler, S., Tunç, R., ve Orçun, Ç. (2010). Petrol Fiyat Riski ve Hisse Senedi Fiyatları Arasındaki İlişkinin Belirlenmesi: Türkiye’de Enerji Sektörü Üzerinde Bir Uygulama. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(4), 297-315. Güler, S., ve Nalın, H. T. (2013). Petrol Fiyatlarının İMKB Endeksleri Üzerindeki Etkisi. AİBÜ-İİBF Ekonomik ve Sosyal Araştırmalar Dergisi. 79-97. Hatemi-J, A., Al Shayeb, A., Roca, E., (2016). The Effect of Oil Prices on Stock Prices: Fresh Evidence from Asymmetric Causality Tests. Applied Economics, 49 (16), 1584–1592. Hu, C., Liu, X., Pan, B., Chen, B., ve Xia, X. (2018). Impact of Oil Price Shock on Stock Market in China: A Combination Analysis Based on SVAR Model and NARDL Model. Emerging Markets Finance and Trade, 54(8), 1693-1705. Kang, W., Ratti, R.A., ve Yoon, K.H. (2015). The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship. Journal of International Financial Markets, Institutions and Money, 34, 41-54. Kasman, S. (2003). The Relationship Between Exchange Rates and Stock Prices: A Causality Analysis. Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 5, 70-79. Kendirli, S. ve Çankaya, M . (2016). Ham Petrol Fiyatlarının BİST 100 ve Bist Ulaştırma Endeksleri İle İlişkisi. Kastamonu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 12 (2), 136-141. Kilian, L., (2009). Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market. American Economic Review, 99, 1053-1069. Kilian, L., (2014). Oil Price Shocks: Causes and Consequences. Annual Review of Resource Economics, 6(1), 133-154. Kin, S., ve Courage, M. (2014). The Impact of Oil Prices on the Exchange Rate in South Africa. Journal of Economics, 5(2), 193-199. Kumar, S. (2019). Asymmetric Impact of Oil Prices on Exchange Rate and Stock Prices. The Quarterly Review of Economics and Finance, 72, 41-51. Lombardi, M., ve Van Robays, I., (2011). Do Financial Investors Destabilize the Oil Price? Working Paper Series 1346, European Central Bank. Mohanty, S. K., Nandha, M., Turkistani, A. Q., ve Alaitani, M. Y. (2011). Oil Price Movements and Stock Market Returns: Evidence from Gulf Cooperation Council (GCC) Countries. Global Finance Journal, 22, 42–55. Naifar, N., ve M. S. Al Dohaiman. (2013). Nonlinear Analysis among Crude Oil Prices, Stock Markets’ Return and Macroeconomic Variables. International Review of Economics ve Finance, 27, 416–431. Nandha, M., ve Faff, R. (2008). Does Oil Move Equity Prices? A Global View. Energy Economics, 30, 986–997. Noor M. H., ve Dutta A. (2017). On the Relationship Between Oil and Equity Markets: Evidence from South Asia. International Journal of Managerial Finance, 13(3), 287–303. Özmerdivanlı, A. (2014). Petrol Fiyatları ile BIST 100 Endeksi Kapanış Fiyatları Arasındaki İlişki. Akademik Bakış Dergisi, 43. Park, J., ve Ratti, R.A. (2008). Oil Price Shocks and Stock Markets in the US and 13 European Countries. Energy Economics, 30(5), 2587–2608. Papapetrou, E. (2001). Oil Price Shocks, Stock Market, Economic Activity and Employment in Greece." Energy Economics, 23(5), 511-532. Peersman, G., ve Van Robays, I., (2012). Cross-Country Differences in the Effects of Oil Shocks. Energy Economics, vol. 34(5), 1532-1547. Raza, N., Shahzad, S.J.H., Tiwari, A.K., ve Shahbaz, M. (2016). Asymmetric Impact of Gold, Oil Prices and Their Volatilities on Stock Prices of Emerging Markets. Resources Policy, 49, 290-301. Shaeri, K. ve Katircioglu, S., (2018). The Nexus Between Oil Prices and Stock Prices of Oil, Technology and Transportation Companies under Multiple Regime Shifts. Econ Res., 31, 681–702. Turhan, I., Hacihasanoglu, E., Soytas, U., 2012.Oil Prices and Emerging Market Exchange Rates. Working Paper No: 12/01. Central Bank of the Republic of Turkey. Uddin, G.S., Tiwari, A.K., Arouri, M., ve Teulon, F., (2013). On the Relationship Between Oil Price and Exchange Rates: A Wavelet Analysis. Econ. Model., 35, 502–507. Volkov, N. I., ve Yuhn, K. (2016). Oil Price Shocks and Exchange Rate Movements. Global Finance Journal, 31, 18–30. Wei, Y., ve Guo, X. (2017). Oil Price Shocks and China's Stock Market. Energy 140, 185–197. Yan, L. (2012). Analysis of the International Oil Price Fluctuations and its Influencing Factors. American Journal of Industrial and Business Management, 2, 39-46.