EMTİA FİYATLARI İLE HİSSE SENEDİ PİYASALARI ARASINDAKİ İLİŞKİ

Year 2011, Volume: 12 Issue: 1, 53 - 65, 01.12.2011

Erk Hacıhasanoğlu Uğur Soytaş

Abstract

Emtia fiyatları ile hisse senedi piyasaları arasındaki ilişki yazında çok sayıda çalışma tarafından ele alınmıştır. Bu çalışmalarda iki varlık sınıfı arasında veri setine ve zaman aralığına göre çok farklı sonuçlara ulaşıldığı görülmektedir. Çalışmamızda emtia fiyatlarını temsilen bu sınıflamadaki en geniş işlem hacmine sahip olan petrol tercih edilirken, hisse senedi verisi olarak global piyasaların göstergesi olan S&P 500 endeksi tercih edilmiştir. Çalışmamızın amacı 2007 krizi ile yeniden şekillenen küresel piyasalarda bahsi geçen ilişkinin yeniden analiz edilmesidir. Çalışmada ayrıca petrol fiyatları volatilitesinin de hisse senedi fiyatlarına etkisi araştırılmıştır. Toda ve Yamamoto (1995) prosedürünün (TY) tercih edildiği çalışmada petrol fiyatının üç değişik dönemde farklılık gösterdiği göz önünde bulundurularak analizler yapılmıştır. Çalışmanın sonucu petrol fiyatları ile hisse senedi piyasaları arasındaki ilişkinin varlığının birçok faktörün etkisiyle yapısal değişiklikler gösterebildiği tezini destekler niteliktedir

Keywords

Emtia Fiyatları, Hisse Senedi Piyasaları, OVX, TodaYamamoto Prosedürü

THE RELATIONSHIP BETWEEN COMMODITY PRICES AND STOCK MARKETS

Abstract

The link between commodity prices and stock prices has been the subject of many studies. These studies have created diverse results due to the data set available on the assets and due to different time periods considered. In this study, we take oil as a representative of commodity prices, since it has the largest trade volume. The S&P 500 index is used to represent global stock markets. The purpose of the study is to re-examine the relationship in concern after the 2007 crisis period during which the global markets are restructuring. The impact of oil price volatility on stock prices is also examined. The Toda and Yamamoto (1995) procedure is applied to three different time periods in which oil prices were following different trends. We find evidence in favor of the hypothesis that the existence, nature, and the magnitude of the relationship between oil and stock prices are subject to structural changes that depend on various factors

Keywords

Commodity Prices, Stock Markets, OVX, Toda-Yamamoto Procedure

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