ENERJİ FİYATLARI İLE BORSA İSTANBUL ENDEKSLERİ ARASINDAKİ İLİŞKİLERİN TEST EDİLMESİ

Year 2021, Volume: 8 Issue: 1, 370 - 398, 26.03.2021

Faruk Temel , Mehmet Eryiğit

https://doi.org/10.30798/makuiibf.821611

Cited By: 3

Abstract

Enerji kaynakları arasında en çok kullanılan petrol ve doğal gaz birçok alanda ham madde olarak tüketilmektedir. Teknolojinin gelişmesi ve artan nüfus, bu enerji kaynaklarını finansal piyasalar ve genel ekonomi için önemli kılmaktadır. Enerji ithal eden ve gelişmekte olan bir ülke olarak Türkiye enerji fiyatlarındaki değişmelerden aşırı derecede etkilenebilir. Bu çalışmada, 01.01.2007-31.10.2017 tarihleri arasındaki günlük veriler kullanılarak enerji fiyatları ile Borsa İstanbul endeksleri arasındaki uzun ve kısa vadeli ilişkiler, Johansen eşbütünleşme, vektör otoregresyon (VAR), Granger nedensellik testleri ve etki-tepki fonksiyonları ile incelenmiştir. Enerji fiyatları ile Borsa İstanbul endeksleri arasında uzun vadeli ilişki bulunamamıştır. Diğer taraftan, kısa vadede enerji fiyatlarının Borsa İstanbul endekslerini pozitif yönde etkilediği sonucuna varılmıştır. Ayrıca petrol fiyatlarının doğal gaz, Gıda İçecek endeksi ve Kimya Petrol Plastik endeksinin Granger nedeni olduğu tespit edilmiştir.

Keywords

Enerji Fiyatları, Borsa İstanbul, Sektör Endeksleri

TESTING THE RELATIONSHIPS BETWEEN ENERGY PRICES AND THE BORSA ISTANBUL INDICES

Abstract

Oil and natural gas which are the most used energy sources are consumed as raw materials in many fields. The development of technology and population increase makes these energy sources important for financial markets and the overall economy. Turkey, energy importing and developing country, may be influenced intensely by changes in energy prices. In this study, long-term and short-term relationships between energy prices and Borsa Istanbul indices using daily data between 01.01.2007-31.10.2017 were examined by Johansen cointegration, vector autoregression (VAR), Granger causality tests, and impulse-response functions. The long-term relationship between energy prices and Borsa Istanbul indices was not found. On the other hand, it was concluded that energy prices had positive impacts on Borsa Istanbul indices in the short-term. Furthermore, oil prices Granger cause natural gas prices, Food Beverage, and Chemical Petrol Plastic indices.

Keywords

Energy Prices, Borsa Istanbul, Sector Indices

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