COVID-19 salgınında döneminde petrol fiyatı dalgalanmalarının Borsa İstanbul havayolu şirket hisse getirilerine bulaşma etkisi: Bir VAR-VECH-TARCH uygulaması

Abstract

Ham petrolün sektörler üzerindeki etkisi, ilgili iş kolunun bağımlılığına göre farklılıklar göstermektedir. Bu nedenle, havayolları şirketleri, operasyonel maliyetlerin önemli bir bölümünü oluşturduğundan, ham petrol fiyatlarındaki değişikliklere genellikle duyarlıdır. Çalışmamızda getiri bulaşma etkisi, vektör otoregresif model (VAR modeli) ile belirlenirken, ham petrol fiyatı ile hava yolu şirketleri hisse senedi getirileri arasındaki volatilite bulaşma etkisi varyans denklemleri ile belirlenir. Asimetrik haber etkisini de yakalamak için ise VECH-TARCH modeli tercih edilmiştir. Model sonuçlarına göre, ham petrol fiyatı ile havayolları hisse senedi getirileri arasındaki oynaklık yayılma etkisi, getiri yayılma etkisine göre daha belirgindir. Kısa vadede ham petrol fiyatı ile Türk Hava Yolları hisse senedi fiyatı arasındaki oynaklık yayılma etkisi Pegasus Hava Yolları (PGSUS) ve BİST ulaştırma endeksine göre daha belirgindir. İkinci olarak, uzun vadede ham petrol fiyatları ile üç varlık arasındaki oyaklık yayılma etkisi son derece belirgindir. Üçüncü olarak, ham petrol fiyatları ile Pegasus Havayolları hisse senetleri ve ulaştırma endeksi arasında asimetrik bir haber etkisi saptanamamış olsa da Türk Hava Yolları hisselerinde asimetrik haber etkisi görülmektedir. Ham petrol piyasalarından gelen iyi haberler ise Türk Hava Yolları hisse getirilerinde oynaklığı arttırmaktadır.

Keywords

• yayılma
• bulaşma
• VAR-VECH-TARCH
• Covid-19
• havayolları

Spillover effect of oil price fluctuations on airlines stock returns in Borsa İstanbul during the COVID-19 pandemic: A VAR-VECH-TARCH Application

Abstract

The impact of crude oil on the industries is different based on the dependency of the related business line. Thus, airlines are usually sensitive to the changes in crude oil price changes since is composes a considerable proportion of the operational costs. In our study, the return spillover effect is determined by the mean equation set as vector autoregressive model (VAR model) while the volatility spillover effect between crude oil price and the stock price of airlines companies is determined via the variance equation set as the VECH-TARCH model to catch the asymmetric news impact as well. According to the model results the volatility spillover effect between crude oil price and airlines’ stock price is more significant compared to the return spillover effect. In the short term the volatility spillover effect between crude oil price and Turkish Airlines stock price is more significant compared to Pegasus Airlines (PGSUS) and transportation index. Secondly, in the long run the volatility spillover effect between crude oil prices and all three assets are strongly significant. Third, there is no asymmetric news impact between crude oil prices and Pegasus Airlines stocks and transportation index. However, asymmetry exists for Turkish Airlines stocks. Good news from crude oil markets to Turkish Airlines increase the volatility as well.

Keywords

• spillover
• VAR-VECH-TARCH
• crude oil
• turkish airlines
• covid-19

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