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Petrol Fiyatı ve Döviz Kuru Değişimlerinin Hisse Fiyatlarına Etkisi; Meksika ve Brezilya Örneği

Year 2024, Volume: 26 Issue: 1, 167 - 183, 29.06.2024

Abstract

Bu çalışmada, Meksika ve Brezilya hisse senedi piyasalarının petrol fiyatı ve döviz kuru değişimlerine tepkilerini analiz etmeyi hedeflemektedir. Araştırmada, Ocak 2000 - Aralık 2020 dönemine ait Meksika'nın MXX endeksi ve Brezilya'nın BVSP endeksi gibi hisse senedi fiyatları ile petrol fiyatı ve döviz kuruna ilişkin panel veri analizi yöntemini kullanarak gerçekleştirilmiştir. Çalışma iki model üzerine kurulmuştur. İlk modelde, döviz kuru ve petrol fiyatları sabitken Meksika'daki hisse senedi fiyatlarının Brezilya'daki hisse senetlerine göre daha düşük olduğu belirlenmiştir. Bu iki ülke arasında hisse senedi piyasalarının farklı düzeylerde performans gösterdiğini göstermektedir. Her iki ülkede de petrol fiyatlarındaki artışların hisse senedi fiyatlarını artırdığı ve benzer şekilde döviz kurundaki değişimlerin de hisse senedi fiyatlarını etkilediği sonucuna varılmıştır. Yani, petrol fiyatlarındaki artışlar ve döviz kurundaki değişimler, her iki ülkenin hisse senedi piyasaları üzerinde önemli etkilere sahip olduğu sonucuna varılmıştır. İkinci modelde ise Meksika ve Brezilya'da petrol fiyatı ve döviz kuru değişimlerinin hisse senedi piyasalarını aynı seviyede etkilediği sonucuna ulaşılmıştır. Bu, her iki ülkenin hisse senedi piyasalarının benzer şekilde petrol fiyatı ve döviz kuruna tepki verdiği sonucu tespit edilmiştir. Elde edilen sonuçlara göre Meksika ve Brezilya'nın finansal piyasalarının farklı dinamiklere sahip olduğunu ve petrol fiyatı ile döviz kuru değişimlerine farklı düzeylerde tepki verdiğini göstermektedir. Bu çalışma, yatırımcılar ve finansal analistler için bu iki ülkenin hisse senedi piyasalarının nasıl etkilenebileceğine dair önemli bilgiler sunmaktadır.

References

  • Abubakar, A. B. (2019). Oil Price and Exchange Rate Nexus in Nigeria: Are There Asymmetries. CBN Journal of Applied Statistics (JAS), 10(1), 1-34.
  • Adam, A. M. & Tweneboah, G. (2008). Macroeconomic Factors and Stock Market Movement: Evidence from Ghana. Social Science Research Home Journal (SSRN), 8, 1-26.
  • Adjasi, C. K., Biekpe, N. B. & Osei, K. A. (2011). Stock Prices And Exchange Rate Dynamics in Selected African Countries: A Bivariate Analysis. African Journal of Economic and Management Studies, 2(2), 143-164.
  • Aloui, R., Hammoudeh, S. & Nguyen, D. K. (2013). A Time-Varying Copula Approach to Oil and Stock Market Dependence: The Case of Transition Economies. Energy Economics, 39, 208-221.
  • Arora, V. & Tanner, M. (2013). Do Oil Prices Respond to Real Interest Rates? Energy Economics, 36, 546-555.
  • Audry, N. N. & Ulfat, A. F. (2021). The Nexus Between Oil Price Shock and the Exchange Rate in Bangladesh. International Journal of Energy Economics and Policy, 11(2), 427-435.
  • Bachmeier, L. (2008). Monetary Policy and the Transmission of Oil Shocks. Journal of Macroeconomics, 30(4), 1738-1755.
  • Bai, S. & Koong, K. S. (2018). Oil Prices, Stock Returns, and Exchange Rates: Empirical Evidence from China and the United States. The North American Journal of Economics and Finance, 44, 12-33.
  • Basher, S. A. & Sadorsky, P. (2006). Oil Price Risk and Emerging Stock Markets. Global Finance Journal, 17(2), 224-251.
  • Basher, S. A., Haug, A. A. & Sadorsky, P. (2012). Oil Prices, Exchange Rates and Emerging Stock Markets. Energy Economics, 34(1), 227-240.
  • Baum, C. F., Çağlayan, M. & Özkan, N. (2004). Nonlinear effects of exchange rate volatility on the volume of bilateral exports. Journal of Applied Econometrics, 19(1), 1-23.
  • Berument, M. H., Şahin, A. & Şahin, S. (2014). The Relative Effects of Crude Oil Price and Exchange Rate on Petroleum Product Prices: Evidence from a Set of Northern Mediterranean Countries. Economic Modelling, 42, 243-249.
  • 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.
  • Burbidge, J. & Harrison, A. (1984). Testing for the Effects of Oil-Price Rises Using Vector Autoregressions. International Economic Review, 459-484.
  • Chang, B. H. (2020). Oil Prices and E7 Stock Prices: an Asymmetric Evidence Using Multiple Threshold Nonlinear ARDL Model. Environmental Science and Pollution Research, 27(35), 44183-44194.
  • Charkravarty, S. (2005). Stock market and macroeconomic behavior in India. Institute of Economic Growth, 28, 3-15.
  • Chen, S. S. & Chen, H. C. (2007). Oil Prices and Real Exchange Rates. Energy Economics, 29(3), 390-404.
  • Cunado, J. & De Gracia, F. P. (2005). Oil Prices, Economic Activity and İnflation: Evidence for Some Asian Countries. The Quarterly Review of Economics and Finance, 45(1), 65-83.
  • Dominguez, K. M. & Tesar, L. L. (2001). A Reexamination of Exchange-Rate Exposure. American Economic Review, 91(2), 396-399.
  • Elmas, B. & Esen, Ö. (2011). Hisse Senedi Fiyatları ile Döviz Kuru Arasındaki Dinamik İlişkinin Belirlenmesi; Farklı Ülke Piyasaları İçin Bir Araştırma. Muhasebe ve Finansman Dergisi, (52), 153-170.
  • Franck, P. & Young, A. (1972). Stock Price Reaction of Multinational Firms to Exchange Realignments. Financial Management, 66-73.
  • Habib, M. M., Bützer, S. & Stracca, L. (2016). Global Exchange Rate Configurations: Do Oil Shocks Matter? IMF Economic Review, 64, 443-470.
  • Hashmi, S. M., Chang, B. H., Huang, L. & Uche, E. (2022). Revisiting the Relationship Between Oil Prices, Exchange Rate, and Stock Prices: An Application of Quantile ARDL Model. Resources Policy, 75, 1-8.
  • Hsiao, C. (2005). Why Panel Data? The Singapore Economic Review, 50(02), 143-154.
  • Iheanacho, E. (2016). Dynamic Relationship Between Crude Oil Price, Exchange Rate and Stock Market Performance İn Nigeria. African Research Review, 10(4), 224-240.
  • Investing. https://tr.investing.com/, Erişim Tarihi: 22.12.2022.
  • Jacquinot, P., Kuismanen, M., Mestre, R. & Spitzer, M. (2009). An Assessment of the İnflationary İmpact of Oil Shocks in the Euro Area. The Energy Journal, 30(1).
  • Jones, C. M. & Kaul, G. (1996). Oil and the Stock Markets. Journal of Finance, 55, 463–491.
  • Kilian, L. & Park, C. (2009). The İmpact of Oil Price Shocks on the US Stock Market. International Economic Review, 50(4), 1267-1287.
  • Kim, K. H. (2003). Dollar Exchange Rate and Stock Price: Evidence from Multivariate Cointegration and Error Correction Model. Review of Financial Economics, 12(3), 301-313.
  • Koh, W. C. (2017). How Do Oil Supply and Demand Shocks Affect Asian Stock Markets? Macroeconomics and Finance in Emerging Market Economies, 10(1), 1-18.
  • Le, T. H. & Chang, Y. (2015). Effects of Oil Price Shocks on the Stock Market Performance: Do Nature of Shocks and Economies Matter? Energy Economics, 51, 261-274.
  • Lee, B. J., Yang, C. W. & Huang, B. N. (2012). Oil Price Movements and Stock Markets Revisited: A Case of Sector Stock Price İndexes in the G-7 Countries. Energy Economics, 34(5), 1284-1300.
  • Lee, C. C. & Chiu, Y. B. (2011). Nuclear Energy Consumption, Oil Prices, and Economic Growth: Evidence from Highly İndustrialized Countries. Energy Economics, 33(2), 236-248.
  • Lee, C. C., Lee, C. C. & Ning, S. L. (2017). Dynamic relationship of oil price shocks and country risks. Energy Economics, 66, 571-581.
  • Li, S. F., Zhu, H. M. & Yu, K. (2012). Oil Prices and Stock Market in China: A Sector Analysis Using Panel Cointegration With Multiple Breaks. Energy Economics, 34(6), 1951-1958.
  • Lin, B., Wesseh Jr, P. K. & Appiah, M. O. (2014). Oil Price Fluctuation, Volatility Spillover and the Ghanaian Equity Market: Implication for Portfolio Management and Hedging Effectiveness. Energy Economics, 42, 172-182.
  • Mohaddes, K. & Pesaran, M. H. (2017). Oil Prices and the Global Economy: Is it Different This Time Around? Energy Economics, 65, 315-325.
  • Nandha, M. & Hammoudeh, S. (2007). Systematic Risk, and Oil Price and Exchange Rate Sensitivities in Asia-Pacific Stock Markets. Research in International Business and Finance, 21(2), 326-341.
  • Reboredo, J. C. (2012). Modelling Oil Price and Exchange Rate Co-Movements. Journal of Policy Modeling, 34(3), 419–440. Sadorsky, P. (1999). Oil Price Shocks and Stock Market Activity. Energy Economics, 21(5), 449-469.
  • Shahrestani, P. & Rafei, M. (2020). The İmpact of Oil Price Shocks on Tehran Stock Exchange Returns: Application of the Markov Switching Vector Autoregressive Models. Resources Policy, 65, 2-9.
  • Singhal, S., Choudhary, S. & Biswal, P. C. (2019). Return and Volatility Linkages Among International Crude Oil Price, Gold Price, Exchange Rate and Stock Markets: Evidence from Mexico. Resources Policy, 60, 255-261.
  • Sujit, K. S. & Kumar, B. R. (2011). Study on Dynamic Relationship Among Gold Price, Oil Price, Exchange Rate and Stock Market Returns. International Journal of Applied Business and Economic Research, 9(2), 145-165.
  • Tian, M., Li, W. & Wen, F. (2021). The dynamic impact of oil price shocks on the stock market and the USD/RMB exchange rate: Evidence from implied volatility indices. The North American Journal of Economics and Finance, 55, 1-21.
  • Turhan, M. I., Şensoy, A. & Hacihasanoğlu, E. (2014). A Comparative Analysis of the Dynamic Relationship Between Oil Prices and Exchange Rates. Journal of International Financial Markets, Institutions and Money, 32, 397-414.
  • Wooldridge, J. M. (2010). Econometric Analysis of Cross Sectionand Panel Data. England: The MIT Press Cambridge, Massachusetts London.
  • World Bank. https://data.worldbank.org/, Erişim Tarihi: 22.12.2022

The Impact of Oil Price and Exchange Rate Changes on Stock Prices: The Case of Mexico and Brazil

Year 2024, Volume: 26 Issue: 1, 167 - 183, 29.06.2024

Abstract

This study aims to analyze the reactions of the stock markets in Mexico and Brazil to changes in oil prices and exchange rates. The research was conducted using panel data analysis methods, considering stock prices such as Mexico's MXX index and Brazil's BVSP index, as well as oil prices and exchange rates, for the period from January 2000 to December 2020. The study is based on two models. In the first model, it is found that when the exchange rate and oil prices are fixed, stock prices in Mexico are lower than those in Brazil. This suggests that the stock markets in the two countries perform at different levels. Additionally, it is concluded that increases in oil prices lead to higher stock prices in both countries and similarly, changes in exchange rates also affect stock prices. In other words, increases in oil prices and fluctuations in exchange rates have significant effects on the stock markets of both countries. In the second model, it is concluded that changes in oil prices and exchange rates in Mexico and Brazil have an equal impact on the stock markets. This indicates that the stock markets of both countries react similarly to changes in oil prices and exchange rates. The results show that the financial markets of Mexico and Brazil have different dynamics, and they respond to changes in oil prices and exchange rates at varying levels. This study provides important information for investors and financial analysts about how the stock markets of these two countries may be affected.

References

  • Abubakar, A. B. (2019). Oil Price and Exchange Rate Nexus in Nigeria: Are There Asymmetries. CBN Journal of Applied Statistics (JAS), 10(1), 1-34.
  • Adam, A. M. & Tweneboah, G. (2008). Macroeconomic Factors and Stock Market Movement: Evidence from Ghana. Social Science Research Home Journal (SSRN), 8, 1-26.
  • Adjasi, C. K., Biekpe, N. B. & Osei, K. A. (2011). Stock Prices And Exchange Rate Dynamics in Selected African Countries: A Bivariate Analysis. African Journal of Economic and Management Studies, 2(2), 143-164.
  • Aloui, R., Hammoudeh, S. & Nguyen, D. K. (2013). A Time-Varying Copula Approach to Oil and Stock Market Dependence: The Case of Transition Economies. Energy Economics, 39, 208-221.
  • Arora, V. & Tanner, M. (2013). Do Oil Prices Respond to Real Interest Rates? Energy Economics, 36, 546-555.
  • Audry, N. N. & Ulfat, A. F. (2021). The Nexus Between Oil Price Shock and the Exchange Rate in Bangladesh. International Journal of Energy Economics and Policy, 11(2), 427-435.
  • Bachmeier, L. (2008). Monetary Policy and the Transmission of Oil Shocks. Journal of Macroeconomics, 30(4), 1738-1755.
  • Bai, S. & Koong, K. S. (2018). Oil Prices, Stock Returns, and Exchange Rates: Empirical Evidence from China and the United States. The North American Journal of Economics and Finance, 44, 12-33.
  • Basher, S. A. & Sadorsky, P. (2006). Oil Price Risk and Emerging Stock Markets. Global Finance Journal, 17(2), 224-251.
  • Basher, S. A., Haug, A. A. & Sadorsky, P. (2012). Oil Prices, Exchange Rates and Emerging Stock Markets. Energy Economics, 34(1), 227-240.
  • Baum, C. F., Çağlayan, M. & Özkan, N. (2004). Nonlinear effects of exchange rate volatility on the volume of bilateral exports. Journal of Applied Econometrics, 19(1), 1-23.
  • Berument, M. H., Şahin, A. & Şahin, S. (2014). The Relative Effects of Crude Oil Price and Exchange Rate on Petroleum Product Prices: Evidence from a Set of Northern Mediterranean Countries. Economic Modelling, 42, 243-249.
  • 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.
  • Burbidge, J. & Harrison, A. (1984). Testing for the Effects of Oil-Price Rises Using Vector Autoregressions. International Economic Review, 459-484.
  • Chang, B. H. (2020). Oil Prices and E7 Stock Prices: an Asymmetric Evidence Using Multiple Threshold Nonlinear ARDL Model. Environmental Science and Pollution Research, 27(35), 44183-44194.
  • Charkravarty, S. (2005). Stock market and macroeconomic behavior in India. Institute of Economic Growth, 28, 3-15.
  • Chen, S. S. & Chen, H. C. (2007). Oil Prices and Real Exchange Rates. Energy Economics, 29(3), 390-404.
  • Cunado, J. & De Gracia, F. P. (2005). Oil Prices, Economic Activity and İnflation: Evidence for Some Asian Countries. The Quarterly Review of Economics and Finance, 45(1), 65-83.
  • Dominguez, K. M. & Tesar, L. L. (2001). A Reexamination of Exchange-Rate Exposure. American Economic Review, 91(2), 396-399.
  • Elmas, B. & Esen, Ö. (2011). Hisse Senedi Fiyatları ile Döviz Kuru Arasındaki Dinamik İlişkinin Belirlenmesi; Farklı Ülke Piyasaları İçin Bir Araştırma. Muhasebe ve Finansman Dergisi, (52), 153-170.
  • Franck, P. & Young, A. (1972). Stock Price Reaction of Multinational Firms to Exchange Realignments. Financial Management, 66-73.
  • Habib, M. M., Bützer, S. & Stracca, L. (2016). Global Exchange Rate Configurations: Do Oil Shocks Matter? IMF Economic Review, 64, 443-470.
  • Hashmi, S. M., Chang, B. H., Huang, L. & Uche, E. (2022). Revisiting the Relationship Between Oil Prices, Exchange Rate, and Stock Prices: An Application of Quantile ARDL Model. Resources Policy, 75, 1-8.
  • Hsiao, C. (2005). Why Panel Data? The Singapore Economic Review, 50(02), 143-154.
  • Iheanacho, E. (2016). Dynamic Relationship Between Crude Oil Price, Exchange Rate and Stock Market Performance İn Nigeria. African Research Review, 10(4), 224-240.
  • Investing. https://tr.investing.com/, Erişim Tarihi: 22.12.2022.
  • Jacquinot, P., Kuismanen, M., Mestre, R. & Spitzer, M. (2009). An Assessment of the İnflationary İmpact of Oil Shocks in the Euro Area. The Energy Journal, 30(1).
  • Jones, C. M. & Kaul, G. (1996). Oil and the Stock Markets. Journal of Finance, 55, 463–491.
  • Kilian, L. & Park, C. (2009). The İmpact of Oil Price Shocks on the US Stock Market. International Economic Review, 50(4), 1267-1287.
  • Kim, K. H. (2003). Dollar Exchange Rate and Stock Price: Evidence from Multivariate Cointegration and Error Correction Model. Review of Financial Economics, 12(3), 301-313.
  • Koh, W. C. (2017). How Do Oil Supply and Demand Shocks Affect Asian Stock Markets? Macroeconomics and Finance in Emerging Market Economies, 10(1), 1-18.
  • Le, T. H. & Chang, Y. (2015). Effects of Oil Price Shocks on the Stock Market Performance: Do Nature of Shocks and Economies Matter? Energy Economics, 51, 261-274.
  • Lee, B. J., Yang, C. W. & Huang, B. N. (2012). Oil Price Movements and Stock Markets Revisited: A Case of Sector Stock Price İndexes in the G-7 Countries. Energy Economics, 34(5), 1284-1300.
  • Lee, C. C. & Chiu, Y. B. (2011). Nuclear Energy Consumption, Oil Prices, and Economic Growth: Evidence from Highly İndustrialized Countries. Energy Economics, 33(2), 236-248.
  • Lee, C. C., Lee, C. C. & Ning, S. L. (2017). Dynamic relationship of oil price shocks and country risks. Energy Economics, 66, 571-581.
  • Li, S. F., Zhu, H. M. & Yu, K. (2012). Oil Prices and Stock Market in China: A Sector Analysis Using Panel Cointegration With Multiple Breaks. Energy Economics, 34(6), 1951-1958.
  • Lin, B., Wesseh Jr, P. K. & Appiah, M. O. (2014). Oil Price Fluctuation, Volatility Spillover and the Ghanaian Equity Market: Implication for Portfolio Management and Hedging Effectiveness. Energy Economics, 42, 172-182.
  • Mohaddes, K. & Pesaran, M. H. (2017). Oil Prices and the Global Economy: Is it Different This Time Around? Energy Economics, 65, 315-325.
  • Nandha, M. & Hammoudeh, S. (2007). Systematic Risk, and Oil Price and Exchange Rate Sensitivities in Asia-Pacific Stock Markets. Research in International Business and Finance, 21(2), 326-341.
  • Reboredo, J. C. (2012). Modelling Oil Price and Exchange Rate Co-Movements. Journal of Policy Modeling, 34(3), 419–440. Sadorsky, P. (1999). Oil Price Shocks and Stock Market Activity. Energy Economics, 21(5), 449-469.
  • Shahrestani, P. & Rafei, M. (2020). The İmpact of Oil Price Shocks on Tehran Stock Exchange Returns: Application of the Markov Switching Vector Autoregressive Models. Resources Policy, 65, 2-9.
  • Singhal, S., Choudhary, S. & Biswal, P. C. (2019). Return and Volatility Linkages Among International Crude Oil Price, Gold Price, Exchange Rate and Stock Markets: Evidence from Mexico. Resources Policy, 60, 255-261.
  • Sujit, K. S. & Kumar, B. R. (2011). Study on Dynamic Relationship Among Gold Price, Oil Price, Exchange Rate and Stock Market Returns. International Journal of Applied Business and Economic Research, 9(2), 145-165.
  • Tian, M., Li, W. & Wen, F. (2021). The dynamic impact of oil price shocks on the stock market and the USD/RMB exchange rate: Evidence from implied volatility indices. The North American Journal of Economics and Finance, 55, 1-21.
  • Turhan, M. I., Şensoy, A. & Hacihasanoğlu, E. (2014). A Comparative Analysis of the Dynamic Relationship Between Oil Prices and Exchange Rates. Journal of International Financial Markets, Institutions and Money, 32, 397-414.
  • Wooldridge, J. M. (2010). Econometric Analysis of Cross Sectionand Panel Data. England: The MIT Press Cambridge, Massachusetts London.
  • World Bank. https://data.worldbank.org/, Erişim Tarihi: 22.12.2022
There are 47 citations in total.

Details

Primary Language Turkish
Subjects Financial Economy
Journal Section Research Article
Authors

Nuray Yuzbaşıoğlu 0000-0001-7409-4263

Publication Date June 29, 2024
Submission Date July 24, 2023
Published in Issue Year 2024 Volume: 26 Issue: 1

Cite

APA Yuzbaşıoğlu, N. (2024). Petrol Fiyatı ve Döviz Kuru Değişimlerinin Hisse Fiyatlarına Etkisi; Meksika ve Brezilya Örneği. Kastamonu Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 26(1), 167-183. https://doi.org/10.21180/iibfdkastamonu.1332124