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Petrol Fiyatları, Tüpraş ve Enerjisa Hisse Getirileri Arasındaki Koşullu Korelasyon ve Oynaklık Yayılımı: Kapsayıcı Bir BİST Enerji Endeksi Oluşturma Önerisi

Year 2021, , 15 - 32, 02.02.2021
https://doi.org/10.33203/mfy.844802

Abstract

Bu çalışmamız Borsa İstanbul’da yeni ve kapsayıcı bir Enerji Endeksi oluşturulması için atılan yapılacak olan çalışmalara ilk adım olarak değerlendirilmelidir. Önerilen endeks yakın zamanda borsada işlem görmeye başlayan en büyük perakende enerji şirketlerinden biri olan Enerjisa’yı da kapsayarak diğer endekslerden ayrışmaktadır. Çalışmada DCC-GARCH yaklaşımı benimsenmiştir. Öncelikle petrol fiyatlarının Tüpraş ve Enerjisa hisse getirileri ve oynaklıkları ile olan ilişkisi incelenmiştir. İkincil olarak GARCH modellerinden faydalanarak DCC-GARCH modellerini oluşturduk ve Enerjisa ile Tüpraş arasındaki koşullu korelasyon katsayılarını inceledik. Analizlerimiz sonucunda Tüpraş ve Enerjisa arasında oynaklık yayılması olduğu bulgusuna ulaşılmıştır. Enerji marketlerinin karmaşık ve bütünleşmiş yapısı düşünüldüğünde değer zincirinin her kademesini içerecek şekilde seçilen şirketlerden oluşturulacak bir Enerji Endeksi’nin yatırım fonları için iyi bir alternatif olacağı düşüncesindeyiz.

References

  • Aloui, C., Jammazi, R, (2009), The effects of crude oil shocks on stock market shifts behavior: A regime switching approach, Volume 31, Issue 5, pp. 789-799
  • Bollerslev, T. (1986), Generalized Autoregressive Conditional Heteroscedasticity, Journal of Econometrics, 31, pp. 307-327.
  • Brooks, C., (2008), Introductory Econometrics for Finance, Cambridge University Press, 2nd Edition
  • Chang, Chia-Lin and McAleer, Michael and Tansuchat, Roengchai, Volatility Spillovers between Returns on Crude Oil Futures and Oil Company Stocks (May 19, 2009). Available at SSRN: https://ssrn.com/abstract=1406983 or http://dx.doi.org/10.2139/ssrn.1406983
  • Chang, L., C., McAleer, M., Tansuchat, R., (2013), Conditional correlations and volatility spillovers between crude oil and stock index returns, The North American Journal of Economics and Finance, Vol. 25(C), pp. 116-138
  • Cong, R.G., Wei, Y.M., Jiao, J.L., Fan, Y. (2008), Relationships between oil price shocks and stock market: An empirical analysis from China, Energy Policy, 36(9), pp. 3544-3553
  • Engle, R. (1982), Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, 50, 987-1007
  • Engle, R., Ng, K., V., (1993), Measuring and Testing the Impact of News on Volatility, The Journal of Finance, Vol.48, No. 5, pp. 1749-1778
  • Engle, R., (2001), GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics, Journal of Economic Perspectives, Volume 15, Number 4, pp. 157–168
  • Engle, R., Sheppard, K (2001), Theoretical and empirical properties of dynamic conditional correlation multivariate garch, NBER Working Papers, No. 8554
  • Francq, Christian and Zakoian, Jean-Michel (2010): QML estimation of a class of multivariate GARCH models without moment conditions on the observed process, MPRA Paper No. 20779
  • Kibritcioglu, A and Kibritcioglu, B., (2003), Inflationary Effects of Increases in Prices of Imported Crude-Oil and Oil-Products in Turkey, Macroeconomics 0306003, University Library of Munich, Germany.
  • Nandha, M., Faff, R., (2008), Does oil move equity prices? A global view, Energy Economics, Elsevier, Vol. 30(3), pp. 986-997
  • Park, J., Ratti, R.A., (2008), Oil price shocks and stock markets in the U.S. and 13 European countries, Energy Economics, 30(5), pp. 2587-2608
  • Sadorsky, P., (2008), Assessing the impact of oil prices on firms of different sizes: Its tough being in the middle, Energy Policy, Volume 36, Issue 10, pp. 3854-3861
  • Salisu, A., A., Fasanya, O., I. (2012), Comparative Performance of Volatility Models for Oil Price, International Journal of Energy Economics and Policy, Vol. 2, No. 3, pp. 167-183
  • Soyemi, K.A., Akingunola, R.O.O., Ogebe, J., 2018. Effects of oil price shock on stock returns of energy firms in Nigeria. Kasetsart J. Soc. Sci.
  • Soytas, U., and Sarı, R., (2006), Energy consumption and income in G-7 countries," Journal of Policy Modeling, Vol. 28(7), pp. 739-750
  • Ulusoy, V., Ozdurak, C., 2018. The Impact of Oil Price Volatility to Oil and Gas Company Stock Returns and Emerging Economies. International Journal of Energy Economics and Policy, 8(1), pp. 144-158.

Conditional Correlations and Volatility Spillovers Between Crude Oil Price, Tüpraş and Enerjisa Stock Returns: A Proposal for Constructing an Ultimate BİST Energy Index

Year 2021, , 15 - 32, 02.02.2021
https://doi.org/10.33203/mfy.844802

Abstract

This paper is the first step of our studies to construct a new Energy Index in Borsa İstanbul Exchange. The proposed Index will differ from the existing indices by including Enerjisa since it is the major player in electricity retail and distribution business. The paper deploys DCC-GARCH framework. Firstly, we examined the impact of oil price shocks on Tüpraş and Enerjisa stock returns and volatility. Secondly, we utilized the GARCH models to construct DCC-GARCH and analyzed the conditional correlation coefficients for Enerjisa and Tüpraş. Due to our analysis, we concluded that volatility spillover exists between Tüpraş and Enerjisa. Considering the complex and integrated structure of energy markets at all levels and sectors constructing an ultimate Energy Index in BIST shall be a good alternative for investment funds to participate dynamic energy market of Turkey

References

  • Aloui, C., Jammazi, R, (2009), The effects of crude oil shocks on stock market shifts behavior: A regime switching approach, Volume 31, Issue 5, pp. 789-799
  • Bollerslev, T. (1986), Generalized Autoregressive Conditional Heteroscedasticity, Journal of Econometrics, 31, pp. 307-327.
  • Brooks, C., (2008), Introductory Econometrics for Finance, Cambridge University Press, 2nd Edition
  • Chang, Chia-Lin and McAleer, Michael and Tansuchat, Roengchai, Volatility Spillovers between Returns on Crude Oil Futures and Oil Company Stocks (May 19, 2009). Available at SSRN: https://ssrn.com/abstract=1406983 or http://dx.doi.org/10.2139/ssrn.1406983
  • Chang, L., C., McAleer, M., Tansuchat, R., (2013), Conditional correlations and volatility spillovers between crude oil and stock index returns, The North American Journal of Economics and Finance, Vol. 25(C), pp. 116-138
  • Cong, R.G., Wei, Y.M., Jiao, J.L., Fan, Y. (2008), Relationships between oil price shocks and stock market: An empirical analysis from China, Energy Policy, 36(9), pp. 3544-3553
  • Engle, R. (1982), Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica, 50, 987-1007
  • Engle, R., Ng, K., V., (1993), Measuring and Testing the Impact of News on Volatility, The Journal of Finance, Vol.48, No. 5, pp. 1749-1778
  • Engle, R., (2001), GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics, Journal of Economic Perspectives, Volume 15, Number 4, pp. 157–168
  • Engle, R., Sheppard, K (2001), Theoretical and empirical properties of dynamic conditional correlation multivariate garch, NBER Working Papers, No. 8554
  • Francq, Christian and Zakoian, Jean-Michel (2010): QML estimation of a class of multivariate GARCH models without moment conditions on the observed process, MPRA Paper No. 20779
  • Kibritcioglu, A and Kibritcioglu, B., (2003), Inflationary Effects of Increases in Prices of Imported Crude-Oil and Oil-Products in Turkey, Macroeconomics 0306003, University Library of Munich, Germany.
  • Nandha, M., Faff, R., (2008), Does oil move equity prices? A global view, Energy Economics, Elsevier, Vol. 30(3), pp. 986-997
  • Park, J., Ratti, R.A., (2008), Oil price shocks and stock markets in the U.S. and 13 European countries, Energy Economics, 30(5), pp. 2587-2608
  • Sadorsky, P., (2008), Assessing the impact of oil prices on firms of different sizes: Its tough being in the middle, Energy Policy, Volume 36, Issue 10, pp. 3854-3861
  • Salisu, A., A., Fasanya, O., I. (2012), Comparative Performance of Volatility Models for Oil Price, International Journal of Energy Economics and Policy, Vol. 2, No. 3, pp. 167-183
  • Soyemi, K.A., Akingunola, R.O.O., Ogebe, J., 2018. Effects of oil price shock on stock returns of energy firms in Nigeria. Kasetsart J. Soc. Sci.
  • Soytas, U., and Sarı, R., (2006), Energy consumption and income in G-7 countries," Journal of Policy Modeling, Vol. 28(7), pp. 739-750
  • Ulusoy, V., Ozdurak, C., 2018. The Impact of Oil Price Volatility to Oil and Gas Company Stock Returns and Emerging Economies. International Journal of Energy Economics and Policy, 8(1), pp. 144-158.
There are 19 citations in total.

Details

Primary Language English
Subjects Finance
Journal Section Articles
Authors

Caner Özdurak 0000-0003-0793-7480

Publication Date February 2, 2021
Submission Date December 21, 2020
Published in Issue Year 2021

Cite

APA Özdurak, C. (2021). Conditional Correlations and Volatility Spillovers Between Crude Oil Price, Tüpraş and Enerjisa Stock Returns: A Proposal for Constructing an Ultimate BİST Energy Index. Maliye Ve Finans Yazıları(Özel Sayı 2), 15-32. https://doi.org/10.33203/mfy.844802

Dergi özellikle maliye, finans ve bankacılık alanlarında faaliyet göstermektedir.