EN
Crude Oil Price Shocks and Stock Returns: Evidence from Turkish Stock Market under Global Liquidity Conditions
Abstract
The purpose of this study is to investigate the impacts of crude oil price variations on the Turkish stock market returns. We have employed vector autoregression model using daily observations of Brent crude oil prices and Istanbul Stock Exchange National Index returns for the period between January 2, 1990 and November 1, 2011. We have also tested the relationship between oil prices and stock market returns under global liquidity conditions by incorporating a liquidity proxy variable, Chicago Board of Exchange’s S&P 500 market volatility index into the model. Variance decomposition test results suggest little empirical evidence that crude oil price shocks have been rationally evaluated in the Turkish stock market. Rather, it was global liquidity conditions that were found to account for the greatest amount of variation in stock market returns
Keywords
Details
Primary Language
English
Subjects
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Journal Section
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Publication Date
March 1, 2015
Submission Date
March 1, 2015
Acceptance Date
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Published in Issue
Year 2015 Volume: 5 Number: 1
APA
Aydogan, B., & Berk, İ. (2015). Crude Oil Price Shocks and Stock Returns: Evidence from Turkish Stock Market under Global Liquidity Conditions. International Journal of Energy Economics and Policy, 5(1), 54-68. https://izlik.org/JA39KS94ZB
AMA
1.Aydogan B, Berk İ. Crude Oil Price Shocks and Stock Returns: Evidence from Turkish Stock Market under Global Liquidity Conditions. IJEEP. 2015;5(1):54-68. https://izlik.org/JA39KS94ZB
Chicago
Aydogan, Berna, and İstemi Berk. 2015. “Crude Oil Price Shocks and Stock Returns: Evidence from Turkish Stock Market under Global Liquidity Conditions”. International Journal of Energy Economics and Policy 5 (1): 54-68. https://izlik.org/JA39KS94ZB.
EndNote
Aydogan B, Berk İ (March 1, 2015) Crude Oil Price Shocks and Stock Returns: Evidence from Turkish Stock Market under Global Liquidity Conditions. International Journal of Energy Economics and Policy 5 1 54–68.
IEEE
[1]B. Aydogan and İ. Berk, “Crude Oil Price Shocks and Stock Returns: Evidence from Turkish Stock Market under Global Liquidity Conditions”, IJEEP, vol. 5, no. 1, pp. 54–68, Mar. 2015, [Online]. Available: https://izlik.org/JA39KS94ZB
ISNAD
Aydogan, Berna - Berk, İstemi. “Crude Oil Price Shocks and Stock Returns: Evidence from Turkish Stock Market under Global Liquidity Conditions”. International Journal of Energy Economics and Policy 5/1 (March 1, 2015): 54-68. https://izlik.org/JA39KS94ZB.
JAMA
1.Aydogan B, Berk İ. Crude Oil Price Shocks and Stock Returns: Evidence from Turkish Stock Market under Global Liquidity Conditions. IJEEP. 2015;5:54–68.
MLA
Aydogan, Berna, and İstemi Berk. “Crude Oil Price Shocks and Stock Returns: Evidence from Turkish Stock Market under Global Liquidity Conditions”. International Journal of Energy Economics and Policy, vol. 5, no. 1, Mar. 2015, pp. 54-68, https://izlik.org/JA39KS94ZB.
Vancouver
1.Berna Aydogan, İstemi Berk. Crude Oil Price Shocks and Stock Returns: Evidence from Turkish Stock Market under Global Liquidity Conditions. IJEEP [Internet]. 2015 Mar. 1;5(1):54-68. Available from: https://izlik.org/JA39KS94ZB