Türkiye'de petrol fiyatlarının hisse senedi getirileri üzerindeki zamanla değişen etkisi

Abstract

Bu çalışmada, 2001:01-2023:12 dönemleri arasında Türkiye’de petrol fiyatları şokunun BİST100 Endeks getirisi üzerindeki etkisi, stokastik volatiliteye sahip zamanla değişen parametreli vektör otoregresif (TVP-VAR-SV) model tahmin edilerek araştırılmıştır. Çalışmanın ampirik bulgularında, petrol fiyatlarının BİST100 endeks getirisi üzerindeki etkisinin önemli ölçüde zaman değişkenliği gösterdiği ve petrol fiyatlarının BİST100 endeks getirilerini uzun dönemde istatistiksel olarak anlamlı ve negatif etkilediği gözlenmiştir. Bu durum, politika yapıcıların petrol fiyatlarını yerli varlıkların fiyatlarını kontrol etmek için bir politika aracı olarak takip edebileceklerine işaret etmektedir. Ayrıca TVP-VAR-SV tahminleri, yerel ve küresel krizlerin petrol fiyat şoklarının hisse senedi getirileri üzerindeki etkisini arttırabileceğini, sert düşüş ve yükselişin gerçekleşebileceğini göstermektedir. Sonuç olarak, politika yapıcılar, varlık fiyatlarının ve ekonomi istikrarının üzerinde potansiyel bir tehdit oluşturabileceği için petrol fiyatlarındaki dalgalanmaları dikkate almalıdır.

Keywords

• petrol fiyatları
• hisse senedi getirisi
• TVP-VAR-SV

Time-varying effects of the oil prices to the stock returns in Türkiye

Abstract

In this study, the effect of the shock in oil prices on BIST100 index return in Türkiye between the periods of 2001:01-2023:12 is investigated by estimating a time-varying parameter vector autoregressive model with stochastic volatility (TVP-VAR-SV). In the empirical findings of the study, it was observed that the effect of oil prices on BIST100 index returns is significantly time-varying, and oil prices have a statistically significant and negative effect on BIST100 index returns in the long run. This suggests that policymakers may use oil prices as a policy instrument to control the prices of domestic assets. Furthermore, the TVP-VAR-SV estimations suggest that local and global crises may increase the effect of oil price shocks on stock returns and that sharp falls and rises may occur. Consequently, policymakers should also take fluctuations in oil prices into account as they could pose a potential threat to asset prices and economic stability.

Keywords

• Oil Prices
• Stock Return
• TVP-VAR-SV

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