Research Article
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Year 2022, , 144 - 163, 31.03.2022
https://doi.org/10.17065/huniibf.933167

Abstract

BBu çalışmada petrol fiyatları, ekonomik politika belirsizliği ve hisse senedi pazarları arasındaki ilişki büyük petrol ithalatçısı ülkeler için Haziran 2014 ile Ekim 2020 tarihleri arasında incelenmiştir. Çin, Hindistan, Almanya, İtalya ve Japonya’nın çalışma kapsamında analize dahil edilmelerinin nedeni, Economic Policy Uncertainty platformu tarafından geliştirilen ekonomik politika belirsizliği endeksindeki en büyük petrol ithalatçıları ülkeler olmalarıdır. Çalışma dönemi Haziran 2014- Şubat 2016, Mart 2016-Aralık 2019 ve Ocak - Ekim 2020 olarak 3 alt periyoda ayrılmıştır ve ekonometrik analizler kullanılarak değişkenlerin arasındaki ilişki farklı ekonomik koşullar altında değerlendirilmiştir. Özellikle KOVİD-19 salgını döneminde ilişkilerin nasıl değiştiğini analiz etmek amacıyla salgın dönemi ayrı tutulmuştur ve petrol fiyatları ile ekonomik politika belirsizliğinin hisse senedi piyasalarına etkisinde bir değişim gözlemlenip gözlemlenmediği ortaya konmaya çalışılmıştır. Ampirik sonuçlar, salgının değişkenler arasındaki ilişkilerin dinamiklerini değiştirdiğini ve özellikle petrol fiyatlarının borsalar üzerindeki etkisinin petrol ithalatçısı ülkeler için daha da güçlendiğini göstermektedir.

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OIL PRICES, ECONOMIC POLICY UNCERTAINTY AND STOCK MARKET RETURNS IN OIL IMPORTING COUNTRIES: THE IMPACT OF COVID-19 PANDEMIC

Year 2022, , 144 - 163, 31.03.2022
https://doi.org/10.17065/huniibf.933167

Abstract

This study examines the nexus between oil prices, economic policy uncertainty and stock markets in a panel of selected major oil importing countries between June 2014 and October 2020. We analyzed China, India, Germany, Italy and Japan in the study because these countries are among the largest oil importer countries in the economic policy uncertainty index developed by Economics Policy Uncertainty Platform. We split the period into three sub-periods as June 2014- February 2016, March 2016-December 2019 and January - October 2020 and employed several econometric models to analyze the relation between the variables in different economic conditions and to identify how COVID-19 pandemic has influenced the effect of oil prices and economic policy uncertainty on the stock markets. Empirical results show that the pandemic changed the dynamics of the relations between the variables and especially the effect of oil prices on the stock markets has grown stronger for the oil importing countries.

References

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  • Apergis, N., & Miller, S.M. (2009). Do structural oil-market shocks affect stock prices? Energy Economics, 31, 569-575. https://doi.org/10.1016/j.eneco.2009.03.001
  • Arora, V., & Lieskovsky, J. (2014). Natural gas and U.S. economic activity. The Energy Journal, 35(3), 167–182. https://doi.org/10.5547/01956574.35.3.8
  • Arouri, M. E. H., & Nguyen, D. K. (2010). Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade. Energy Policy, 38(8), 4528-4539. https://doi.org/10.1016/j.enpol.2010.04.007
  • Arouri, M., & Roubaud, D. (2016). On the determinants of stock market dynamics in emerging countries: The role of economic policy uncertainty in China and India. Economics Bulletin, 36(2), 760-770. http://www.accessecon.com/Pubs/EB/2016/Volume36/EB-16-V36-I2-P74.pdf
  • Backus, D., & Crucini, M. (2000). Oil prices and the terms of trade. Journal of International Economics, 50(1), 185-213. https://doi.org/10.1016/S0022-1996(98)00064-6
  • Baker, S. R., Bloom, N., Davis, S. J., Kost, K., Sammon, M., & Viratyosin, T. (2020). The unprecedented stock market reaction to COVID-19. The Review of Asset Pricing Studies, 10(4), 742–758. https://doi.org/10.1093/rapstu/raaa008
  • Baker, S. R., Bloom, N., Davis, S. J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131 (4), 1593-1636. https://doi.org/10.1093/qje/qjw024 Balcilar, M., Bekiros, S., & Gupta, R. (2016). The role of news-based uncertainty indices in predicting oil markets: A hybrid nonparametric quantile causality method. Empirical Economics, 49, 1-11. http://dx.doi.org/10.1007/s00181-016-1150-0
  • Bjørnland, H. C. (2009). Oil price shocks and stock market booms in an oil exporting country. Scottish Journal of Political Economy, 56(2), 232-254. https://doi.org/10.1111/j.1467-9485.2009.00482.x
  • Bloom, N. (2009). The impact of uncertainty shocks. Econometrica, 77(3), 623-685. https://doi.org/10.3982/ECTA6248
  • Bouoiyour, J., Selmi, R., Shahzad, S. J. H., & Shahbaz, M. (2017). Response of stock returns to oil price shocks: Evidence from oil importing and exporting countries. Journal of Economic Integration, 33(4), 913-936. http://dx.doi.org/10.11130/jei.2017.32.4.913
  • Breitung, J. (2000). The local power of some unit root tests for panel data, in: B. Baltagi (ed.), Nonstationary Panels, Panel Cointegration, and Dynamic Panels, Advances in Econometrics, 15, 161-178. https://doi.org/10.1016/S0731-9053(00)15006-6
  • Brogaard J., & Detzel, A. (2015). The asset pricing implications of government economic policy uncertainty. Management Science, 61(1), 3–18. https://doi.org/10.1287/mnsc.2014.2044
  • Brown, S. P., & Yücel, M. K. (2002). Energy prices and aggregate economic activity: An interpretative survey. The Quarterly Review of Economics and Finance, 42(2), 193-208. https://doi.org/10.1016/S1062-9769(02)00138-2
  • Calvo, G. (2008). Exploding commodity prices, lax monetary policy, and sovereign wealth funds. Retrieved October 10, 2020 from https://voxeu.org/article/exploding-commodity-prices-signal-future-inflation
  • Chang T., Chen W. Y., Gupta R., & Nguyen D. K. (2015). Are stock prices related to political uncertainty index in OECD countries? Evidence from Bootstrap Panel Causality Test. Economic Systems, 39(2), 288-300. https://doi.org/10.1016/j.ecosys.2014.10.005
  • Choi, I. (2001). Unit root tests for panel data. Journal of International Money and Finance, 20(2), 249-272. https://doi.org/10.1016/S0261-5606(00)00048-6
  • Chuku, C., Effiong, E., & Sam, N. (2010). Oil price distortions and their short- and long-run impacts on the Nigerian economy. MPRA Paper No. 24434. Retrieved October 2, 2020 from https://mpra.ub.uni-muenchen.de/id/eprint/24434
  • Degiannakis, S., Filis, G., & Arora, V. (2017). Oil prices and stock markets. U.S. Energy Information Administration. Working Paper. Retrieved September 2, 2020 from https://www.eia.gov/workingpapers/pdf/oil_prices_stockmarkets.pdf
  • Driesprong, G., Jacobsen, B., & Maat, B. (2008). Striking oil: another puzzle? Journal of Financial Economics, 89(2), 307-327. https://doi.org/10.1016/j.jfineco.2007.07.008
  • Economic Policy Unertainty (2020). Economic policy uncertainty index. Retrieved October 5, from https://www.policyuncertainty.com/
  • Ellwanger, R., Sawatzky, B., & Zmitrowicz, K. (2017). Factors behind the 2014 oil price decline. Bank of Canada Review (Autumn), 1-13.
  • Fantazzini, D. (2016). The oil price crash in 2014/15: Was there a (negative) financial bubble? Energy Policy, 96, 383-396. https://doi.org/10.1016/j.enpol.2016.06.020
  • Filis, G. (2010). Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations? Energy Economics, 32(4), 877-886. https://doi.org/10.1016/j.eneco.2010.03.010
  • Frankel, J. A. (2006). The effect of monetary policy on real commodity prices. Working Paper 12713, National Bureau of Economic Research. Retrieved October 5, from https://www.nber.org/system/files/chapters/c5374/c5374.pdf
  • Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of the Econometric Society, 37(3), 424-438.
  • Gürsoy, S. (2021a). Küresel ekonomik politik belirsizliğin (gepu) döviz kuru, enflasyon ve borsa etkisi: Türkiye’den kanıtlar. Türkiye Mesleki ve Sosyal Bilimler Dergisi, 5, 120-131.
  • Gürsoy, S. (2021b). Analysis of the energy prices and geopolitical risk relationship. Uluslararası Ekonomi Siyaset İnsan ve Toplum Bilimleri Dergisi, 4(2), 69-80.
  • Hamilton, J. D., & Wu, J. C. (2015). Effects of index-fund investing on commodity futures prices. International Economic Review, 56(1), 187-205. https://doi.org/10.1111/iere.12099
  • Hatemi-J, A., Sahayeb, A. A., & Roca, E. (2016). The effect of oil prices on stock prices: Fresh evidence from asymmetric causality tests. Applied Economics, 49(16), 1-9. https://doi.org/10.1080/00036846.2016.1221045
  • He, Q., Liu, J., Wang, S., &Yu, J. (2020). The impact of COVID-19 on stock markets. Economic and Political Studies, 8(3), 275-288. https://doi.org/10.1080/20954816.2020.1757570
  • Huang, R. D., Masulis, R. W., & Stoll, H. R. (1996). Energy shocks and financial markets. The Journal of Futures Markets, 16(1), 1-27. https://doi.org/10.1002/(SICI)1096-9934(199602)16:1%3C1::AID-FUT1%3E3.0.CO;2-Q
  • Investing.com (2020). Stock market indices. Retrieved October 10, 2020 from https://www.investing.com.
  • Jiménez-Rodríguez, R., & Sánchez, M. (2005). Oil price shocks and real GDP growth: Empirical evidence for some OECD countries. Applied Economics, 37(2), 201-228. https://doi.org/10.1080/0003684042000281561
  • Jones, C. M., & Kaul, G. (1996). Oil and the stock markets. The Journal of Finance, 51(2), 463- 491. https://doi.org/10.1111/j.1540-6261.1996.tb02691.x
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There are 68 citations in total.

Details

Primary Language English
Journal Section Articles
Authors

Çiğdem Kurt Cihangir 0000-0003-1761-1038

Şahnaz Koçoğlu 0000-0002-2061-1242

Publication Date March 31, 2022
Submission Date May 5, 2021
Published in Issue Year 2022

Cite

APA Cihangir, Ç. K., & Koçoğlu, Ş. (2022). OIL PRICES, ECONOMIC POLICY UNCERTAINTY AND STOCK MARKET RETURNS IN OIL IMPORTING COUNTRIES: THE IMPACT OF COVID-19 PANDEMIC. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 40(1), 144-163. https://doi.org/10.17065/huniibf.933167
AMA Cihangir ÇK, Koçoğlu Ş. OIL PRICES, ECONOMIC POLICY UNCERTAINTY AND STOCK MARKET RETURNS IN OIL IMPORTING COUNTRIES: THE IMPACT OF COVID-19 PANDEMIC. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. March 2022;40(1):144-163. doi:10.17065/huniibf.933167
Chicago Cihangir, Çiğdem Kurt, and Şahnaz Koçoğlu. “OIL PRICES, ECONOMIC POLICY UNCERTAINTY AND STOCK MARKET RETURNS IN OIL IMPORTING COUNTRIES: THE IMPACT OF COVID-19 PANDEMIC”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi 40, no. 1 (March 2022): 144-63. https://doi.org/10.17065/huniibf.933167.
EndNote Cihangir ÇK, Koçoğlu Ş (March 1, 2022) OIL PRICES, ECONOMIC POLICY UNCERTAINTY AND STOCK MARKET RETURNS IN OIL IMPORTING COUNTRIES: THE IMPACT OF COVID-19 PANDEMIC. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 40 1 144–163.
IEEE Ç. K. Cihangir and Ş. Koçoğlu, “OIL PRICES, ECONOMIC POLICY UNCERTAINTY AND STOCK MARKET RETURNS IN OIL IMPORTING COUNTRIES: THE IMPACT OF COVID-19 PANDEMIC”, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol. 40, no. 1, pp. 144–163, 2022, doi: 10.17065/huniibf.933167.
ISNAD Cihangir, Çiğdem Kurt - Koçoğlu, Şahnaz. “OIL PRICES, ECONOMIC POLICY UNCERTAINTY AND STOCK MARKET RETURNS IN OIL IMPORTING COUNTRIES: THE IMPACT OF COVID-19 PANDEMIC”. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 40/1 (March 2022), 144-163. https://doi.org/10.17065/huniibf.933167.
JAMA Cihangir ÇK, Koçoğlu Ş. OIL PRICES, ECONOMIC POLICY UNCERTAINTY AND STOCK MARKET RETURNS IN OIL IMPORTING COUNTRIES: THE IMPACT OF COVID-19 PANDEMIC. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2022;40:144–163.
MLA Cihangir, Çiğdem Kurt and Şahnaz Koçoğlu. “OIL PRICES, ECONOMIC POLICY UNCERTAINTY AND STOCK MARKET RETURNS IN OIL IMPORTING COUNTRIES: THE IMPACT OF COVID-19 PANDEMIC”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, vol. 40, no. 1, 2022, pp. 144-63, doi:10.17065/huniibf.933167.
Vancouver Cihangir ÇK, Koçoğlu Ş. OIL PRICES, ECONOMIC POLICY UNCERTAINTY AND STOCK MARKET RETURNS IN OIL IMPORTING COUNTRIES: THE IMPACT OF COVID-19 PANDEMIC. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2022;40(1):144-63.

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