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Emtia Oynaklık Endeksleri ve Fed Faiz Oranlarının Gelişen Ülkelerin Borsa Endekslerine Etkisi

Year 2019, Issue: 81, 293 - 314, 09.01.2019

Çiğdem Kurt Cihangir

https://doi.org/10.25095/mufad.510682
Cited By: 1

Abstract

Bu çalışmada, gelişmekte olan piyasaların ekonomik ve yapısal sorunlarını etkileyen temel değişkenlerden emtia fiyatlarının ve sermaye girişlerinin borsa üzerindeki etkisi incelenmiştir. Değişkenler arasındaki ilişkiler sırasıyla, Johansen Koentegrasyon Testi, Hata Düzeltme Modeli, Wald testi ve Varyans ayrıştırması teknikleri ile analiz edilmiştir. Buna göre, Altın Oynaklık Endeksi (GVZ), Petrol Oynaklık Endeksi (OVX) ve Fed faiz oranları ile ilgili borsa endeksleri arasında uzun dönem ilişki tespit edilmiştir. Ayrıca, borsa endeksleri üzerinde GVZ ve OVX’in tek tek veya birlikte etkili olduğu; ancak FED faiz oranlarının anlamlı bir etkisinin olmadığı; GVZ’nin, daha etkili olduğu belirlenmiştir. Genel itibariyle, gelişen piyasa ekonomilerinin, emtia fiyatlarındaki dalgalanmalar ve küresel likiditedeki değişimlere cevap verecek politikaların/stratejilerin uygulanmasında dikkate almaları gereken değişkenlerden bir kısmı belirlenmiştir.

Keywords

Gelişen Piyasa Borsa Endeksleri Emtia Volatilite Endeksleri GVZ OVX Fed Faiz Oranları Johansen Koentegrasyon Testi Varyans Ayrıştırması

References

  • Aboura, S.- Chevallier, J. (2015), “Volatility Returns with Vengeance: Financial Markets vs. Commodities”, Research in International Business and Finance, 33, pp. 334–354, https://doi.org/10.1016/j.ribaf.2014.04.003
  • Ahn, D. P. (2015). “Cracker Barrel: Disentangling Oil Price Shocks through the Crack Spread”, https://dx.doi.org/10.2139/ssrn.1574470
  • Am, M. A.- Shanmugasundaram, G. (2017), “Nexus between Crude Oil Price, Exchange Rate and Stock Market: Evidence from Oil Exporting and Importing Economies", International Journal of Humanities and Management Sciences (IJHMS) Volume 5, Issue 1, pp. 41-43, http://www.isaet.org/images/extraimages/UH0117023.pdf
  • Dutta, A.- Nikkinen, J.- Rothovius, T. (2017). “Impact of oil price uncertainty on Middle East and African Stock Markets”, Energy, 123, pp. 189-197, https://doi.org/10.1016/j.energy, 2017.01.126
  • Asteriou, D.- Dimitras, A.- Lendewig, A. (2013). “The Influence of Oil Prices on Stock Market Returns: Empirical Evidence from Oil Exporting and Oil Importing Countries”, International Journal of Business and Management, 8(18), pp. 101–120, http://www.ccsenet.org/journal/index.php/ijbm/article/download/26839/17706
  • Bams, D.- Blanchard, G.- Honarvar, I.- Lehnert, T. (2017), “Does Oil and Gold Price Uncertainty Matter for the Stock Market?”, Journal of Empirical Finance, Volume 44, December 2017, pp. 270-285 https://doi.org/10.1016/j.jempfin.2017.07.003
  • Baur, D. G.- McDermott, T. K. (2010), “Is Gold a Safe Haven? International Evidence”, Journal of Banking & Finance 34, pp. 1886–1898, http://www.sciencedirect.com/science/article/pii/S0378-4266(09)00334-3
  • Bouri, E.- Jain, A.- Biswal, P. C.- Roubaud, D. (2017), “Cointegration and Nonlinear Causality Amongst Gold, Oil, and the Indian Stock Market: Evidence from Implied Volatility Indices”, Resour. Policy, 52, pp. 201-206, http://dx.doi.org/10.1016/j.resourpol.2017.03.003
  • Chang, Hsiao F.- Huang, L.C.- Chin, M.C. (2013), “Interactive Relationships between Crude Oil Prices, Gold Prices, and the NT–US Dollar Exchange Rate—A Taiwan Study”, Energy Policy 63, pp. 441–448, https://doi.org/10.1016/j.enpol.2013.09.029
  • Cheng, H. F.-, Gutierrez, M.- Mahajan, A.- Shachmurove, Y.-Shahrokhi, M. (2007), “A Future Global Economy to be Built by BRICs”, Global Finance Journal, 18(2), pp. 143-156. https://doi.org/10.1016/j.gfj.2006.04.003
  • Clark, J., Converse, N.- Coulibaly, B.- Kamin, S. (2016), “Emerging Market Capital Flows and U.S. Monetary Policy”, International Finance Discussion Paper Note (October), http://www.Federalreserve.gov/econresdata/notes/ifdp-notes/2016/emerging-market-capital-flows-and-us-monetary-policy-20161018.html
  • Ho, A., Q., (2014), “The Dynamic Relationship among Oil Price, Gold Price and Stock Price in Vietnam”, Foreign Investment Agency, Ministry of Planning and Investment, Vietnam, https://dx.doi.org/10.2139/ssrn.2988760
  • Ghosh S., Kanjilal K. (2016), “Co-movement of International Crude Oil Price and Indian Stock Market: Evidences from Nonlinear Cointegration Tests”, Energy Economics, Volume 53, pp. 111-117. https://doi.org/10.1016/j.eneco.2014.11.002
  • Gokmenoglu,K. K., Fazlollahi, N. (2015), “The Interactions among Gold, Oil, and Stock Market: Evidence from S&P500”, Procedia Economics and Finance 25, pp. 478 – 488, https://doi.org/10.1016/S2212-5671(15)00760-1
  • Jain, A.- Biswal, P. C. (2016), “Dynamic Linkages among Oil Price, Gold Price, Exchange Rate, and Stock Market in India”, Resources Policy, 49, pp. 179–185, https://doi.org/10.1016/j.resourpol.2016.06.001
  • Jain, A- Ghosh, S. (2013), “Dynamics of Global Oil Prices, Exchange Rate and Precious Metal Prices in India”, Resour Policy 38 (1), pp. 88–93, https://doi.org/10.1016/j.resourpol.2012.10.001
  • Johansen, S.- Juselius, K.(1990), “Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money”, Oxford Bulletin of Economics and Statistics, Vol.52, No.2. https://doi.org/10.1111/j.1468-0084.1990.mp52002003.x
  • Kapusuzoğlu, A. (2011), “Relationships between Oil Price and Stock Market: An Empirical Analysis from Istanbul Stock Exchange (ISE)”, International Journal of Economics and Finance Vol. 3, No. 6, pp. 99-106. http://dx.doi.org/10.5539/
  • Kataria, N.- Gupta, A. (2018), “Determinants of Real Effective Exchange Rates in Emerging Market Economies”, SSRN Eloctronic Jounal, https://ssrn.com/abstract=3144172
  • Korkmaz T.- Zaman S. - Çevik E. İ. (2008), “Türkiye’nin Avrupa Birliği ve Yüksek Dış Ticaret Hacmine Sahip Ülke Borsaları ile Entegrasyon İlişkisi”. Zonguldak Karaelmas Üniversitesi Sosyal Bilimler Dergisi, 8 (4), ss. 19-44, http://ijmeb.org/index.php/zkesbe/article/view/176/125
  • Kozicki, S., Santor, E., Suchanek, L. (2015), “Large-Scale Asset Purchases: Impact on Commodity Prices and International Spillover Effects”, Staff Working Paper No. 2015-21, Bank of Canada. http://www.bankofcanada.ca/wp-content/uploads/2015/06/wp2015-21.pdf
  • Kurt-Cihangir, Ç. (2018), “Küresel Risk Algısının Küresel Ticaret Üzerindeki Etkisi”, İşletme ve İktisat Çalışmaları Dergisi, Cilt 6, Sayı 1, ss. 1-10, http://www.isletmeiktisat.com/index.php/iicd/article/view/132/pdf_75
  • Lescaroux, F., (2009), “On the Excess Co-movement of Commodity Prices—A Note About the Role of Fundamental Factors in Short-run Dynamics”, Energy Policy 37 (10), pp. 3906–3913, https://doi.org/10.1016/j.enpol.2009.05.013
  • Maghyereh, A. I.- Awartani, B.- Bouri, E.(2016), “The Directional Volatility Connectedness between Crude Oil and Equity Markets: New Evidence from Implied Volatility Indexes”, Energy Econ., 57, pp 78-93, https://doi.org/10.1016/j.eneco.2016.04.010
  • Raraga, F., Muharam, H., (2014), “VAR Analysis on Mutual Relationship between Stock Price Index and Exchange Rate and the Role of World Oil Price and World Gold Price”, 11th UBAYA International Annual Symposium on Management, http://ssrn.com/abstract=2470184
  • Šimáková, J., (2011), “Analysis of the Relationship between Oil and Gold Prices”, J. Finance 51 (1), pp. 651–662.
  • Jia, Q.- Bouri, E.- Roubaud, D., “Dynamic Network of Implied Volatility Transmission among US Equities, Strategic Commodities, and BRICS Equities”, International Review and Financial Analysis, 57, pp. 1-12. http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.460.9349&rep=rep1&type=pdf
  • Pala, Y., Sönmezer, S., (2017), “Niceliksel Gevşeme Dönemlerinin Emtia, Döviz ve Hisse Senedi Piyasalarindaki Volatiliteye Etkisi”, Doğuş Üniversitesi Dergisi, 18 (1) 2017, ss. 45-61, http://eds.a.ebscohost.com/eds/Citations/FullTextLinkClick?sid=01f54d97-6782-450a-a4ef-ec76a92668dd@sessionmgr4010&vid=0&id=pdfFullText
  • Johansen, S., (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economics Dynamic And Control, Vol.12, No.2-3 (February-March), pp. 231-254, https://doi.org/10.1016/0165-1889(88)90041-3
  • Thuraisamy, K. S.- Sharma, S. S., - Ahmed, H. J.A., (2013), “The Relationship between Asian Equity and Commodity Futures Markets”, Journal of Asian Economics, Volume 28, pp. 67-75. https://doi.org/10.1016/j.asieco.2013.04.003
  • Zhang, Y.J.- Wei, Y.M., (2010), “The Crude Oil Market and The Gold Market: Evidence for Cointegration, Causality and Price Discovery”, Resources Policy 35 (3), pp. 168–177, https://doi.org/10.1016/j.resourpol.2010.05.003

Year 2019, Issue: 81, 293 - 314, 09.01.2019

Çiğdem Kurt Cihangir

https://doi.org/10.25095/mufad.510682
Cited By: 1

Abstract

References

  • Aboura, S.- Chevallier, J. (2015), “Volatility Returns with Vengeance: Financial Markets vs. Commodities”, Research in International Business and Finance, 33, pp. 334–354, https://doi.org/10.1016/j.ribaf.2014.04.003
  • Ahn, D. P. (2015). “Cracker Barrel: Disentangling Oil Price Shocks through the Crack Spread”, https://dx.doi.org/10.2139/ssrn.1574470
  • Am, M. A.- Shanmugasundaram, G. (2017), “Nexus between Crude Oil Price, Exchange Rate and Stock Market: Evidence from Oil Exporting and Importing Economies", International Journal of Humanities and Management Sciences (IJHMS) Volume 5, Issue 1, pp. 41-43, http://www.isaet.org/images/extraimages/UH0117023.pdf
  • Dutta, A.- Nikkinen, J.- Rothovius, T. (2017). “Impact of oil price uncertainty on Middle East and African Stock Markets”, Energy, 123, pp. 189-197, https://doi.org/10.1016/j.energy, 2017.01.126
  • Asteriou, D.- Dimitras, A.- Lendewig, A. (2013). “The Influence of Oil Prices on Stock Market Returns: Empirical Evidence from Oil Exporting and Oil Importing Countries”, International Journal of Business and Management, 8(18), pp. 101–120, http://www.ccsenet.org/journal/index.php/ijbm/article/download/26839/17706
  • Bams, D.- Blanchard, G.- Honarvar, I.- Lehnert, T. (2017), “Does Oil and Gold Price Uncertainty Matter for the Stock Market?”, Journal of Empirical Finance, Volume 44, December 2017, pp. 270-285 https://doi.org/10.1016/j.jempfin.2017.07.003
  • Baur, D. G.- McDermott, T. K. (2010), “Is Gold a Safe Haven? International Evidence”, Journal of Banking & Finance 34, pp. 1886–1898, http://www.sciencedirect.com/science/article/pii/S0378-4266(09)00334-3
  • Bouri, E.- Jain, A.- Biswal, P. C.- Roubaud, D. (2017), “Cointegration and Nonlinear Causality Amongst Gold, Oil, and the Indian Stock Market: Evidence from Implied Volatility Indices”, Resour. Policy, 52, pp. 201-206, http://dx.doi.org/10.1016/j.resourpol.2017.03.003
  • Chang, Hsiao F.- Huang, L.C.- Chin, M.C. (2013), “Interactive Relationships between Crude Oil Prices, Gold Prices, and the NT–US Dollar Exchange Rate—A Taiwan Study”, Energy Policy 63, pp. 441–448, https://doi.org/10.1016/j.enpol.2013.09.029
  • Cheng, H. F.-, Gutierrez, M.- Mahajan, A.- Shachmurove, Y.-Shahrokhi, M. (2007), “A Future Global Economy to be Built by BRICs”, Global Finance Journal, 18(2), pp. 143-156. https://doi.org/10.1016/j.gfj.2006.04.003
  • Clark, J., Converse, N.- Coulibaly, B.- Kamin, S. (2016), “Emerging Market Capital Flows and U.S. Monetary Policy”, International Finance Discussion Paper Note (October), http://www.Federalreserve.gov/econresdata/notes/ifdp-notes/2016/emerging-market-capital-flows-and-us-monetary-policy-20161018.html
  • Ho, A., Q., (2014), “The Dynamic Relationship among Oil Price, Gold Price and Stock Price in Vietnam”, Foreign Investment Agency, Ministry of Planning and Investment, Vietnam, https://dx.doi.org/10.2139/ssrn.2988760
  • Ghosh S., Kanjilal K. (2016), “Co-movement of International Crude Oil Price and Indian Stock Market: Evidences from Nonlinear Cointegration Tests”, Energy Economics, Volume 53, pp. 111-117. https://doi.org/10.1016/j.eneco.2014.11.002
  • Gokmenoglu,K. K., Fazlollahi, N. (2015), “The Interactions among Gold, Oil, and Stock Market: Evidence from S&P500”, Procedia Economics and Finance 25, pp. 478 – 488, https://doi.org/10.1016/S2212-5671(15)00760-1
  • Jain, A.- Biswal, P. C. (2016), “Dynamic Linkages among Oil Price, Gold Price, Exchange Rate, and Stock Market in India”, Resources Policy, 49, pp. 179–185, https://doi.org/10.1016/j.resourpol.2016.06.001
  • Jain, A- Ghosh, S. (2013), “Dynamics of Global Oil Prices, Exchange Rate and Precious Metal Prices in India”, Resour Policy 38 (1), pp. 88–93, https://doi.org/10.1016/j.resourpol.2012.10.001
  • Johansen, S.- Juselius, K.(1990), “Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money”, Oxford Bulletin of Economics and Statistics, Vol.52, No.2. https://doi.org/10.1111/j.1468-0084.1990.mp52002003.x
  • Kapusuzoğlu, A. (2011), “Relationships between Oil Price and Stock Market: An Empirical Analysis from Istanbul Stock Exchange (ISE)”, International Journal of Economics and Finance Vol. 3, No. 6, pp. 99-106. http://dx.doi.org/10.5539/
  • Kataria, N.- Gupta, A. (2018), “Determinants of Real Effective Exchange Rates in Emerging Market Economies”, SSRN Eloctronic Jounal, https://ssrn.com/abstract=3144172
  • Korkmaz T.- Zaman S. - Çevik E. İ. (2008), “Türkiye’nin Avrupa Birliği ve Yüksek Dış Ticaret Hacmine Sahip Ülke Borsaları ile Entegrasyon İlişkisi”. Zonguldak Karaelmas Üniversitesi Sosyal Bilimler Dergisi, 8 (4), ss. 19-44, http://ijmeb.org/index.php/zkesbe/article/view/176/125
  • Kozicki, S., Santor, E., Suchanek, L. (2015), “Large-Scale Asset Purchases: Impact on Commodity Prices and International Spillover Effects”, Staff Working Paper No. 2015-21, Bank of Canada. http://www.bankofcanada.ca/wp-content/uploads/2015/06/wp2015-21.pdf
  • Kurt-Cihangir, Ç. (2018), “Küresel Risk Algısının Küresel Ticaret Üzerindeki Etkisi”, İşletme ve İktisat Çalışmaları Dergisi, Cilt 6, Sayı 1, ss. 1-10, http://www.isletmeiktisat.com/index.php/iicd/article/view/132/pdf_75
  • Lescaroux, F., (2009), “On the Excess Co-movement of Commodity Prices—A Note About the Role of Fundamental Factors in Short-run Dynamics”, Energy Policy 37 (10), pp. 3906–3913, https://doi.org/10.1016/j.enpol.2009.05.013
  • Maghyereh, A. I.- Awartani, B.- Bouri, E.(2016), “The Directional Volatility Connectedness between Crude Oil and Equity Markets: New Evidence from Implied Volatility Indexes”, Energy Econ., 57, pp 78-93, https://doi.org/10.1016/j.eneco.2016.04.010
  • Raraga, F., Muharam, H., (2014), “VAR Analysis on Mutual Relationship between Stock Price Index and Exchange Rate and the Role of World Oil Price and World Gold Price”, 11th UBAYA International Annual Symposium on Management, http://ssrn.com/abstract=2470184
  • Šimáková, J., (2011), “Analysis of the Relationship between Oil and Gold Prices”, J. Finance 51 (1), pp. 651–662.
  • Jia, Q.- Bouri, E.- Roubaud, D., “Dynamic Network of Implied Volatility Transmission among US Equities, Strategic Commodities, and BRICS Equities”, International Review and Financial Analysis, 57, pp. 1-12. http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.460.9349&rep=rep1&type=pdf
  • Pala, Y., Sönmezer, S., (2017), “Niceliksel Gevşeme Dönemlerinin Emtia, Döviz ve Hisse Senedi Piyasalarindaki Volatiliteye Etkisi”, Doğuş Üniversitesi Dergisi, 18 (1) 2017, ss. 45-61, http://eds.a.ebscohost.com/eds/Citations/FullTextLinkClick?sid=01f54d97-6782-450a-a4ef-ec76a92668dd@sessionmgr4010&vid=0&id=pdfFullText
  • Johansen, S., (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economics Dynamic And Control, Vol.12, No.2-3 (February-March), pp. 231-254, https://doi.org/10.1016/0165-1889(88)90041-3
  • Thuraisamy, K. S.- Sharma, S. S., - Ahmed, H. J.A., (2013), “The Relationship between Asian Equity and Commodity Futures Markets”, Journal of Asian Economics, Volume 28, pp. 67-75. https://doi.org/10.1016/j.asieco.2013.04.003
  • Zhang, Y.J.- Wei, Y.M., (2010), “The Crude Oil Market and The Gold Market: Evidence for Cointegration, Causality and Price Discovery”, Resources Policy 35 (3), pp. 168–177, https://doi.org/10.1016/j.resourpol.2010.05.003
There are 31 citations in total.

Details

Primary Language English
Subjects Business Administration
Journal Section Research Article
Authors

Çiğdem Kurt Cihangir 0000-0003-1761-1038

Publication Date January 9, 2019
Submission Date May 16, 2018
Published in Issue Year 2019 Issue: 81

Cite

APA Kurt Cihangir, Ç. (2019). Emtia Oynaklık Endeksleri ve Fed Faiz Oranlarının Gelişen Ülkelerin Borsa Endekslerine Etkisi. The Journal of Accounting and Finance(81), 293-314. https://doi.org/10.25095/mufad.510682
AMA Kurt Cihangir Ç. Emtia Oynaklık Endeksleri ve Fed Faiz Oranlarının Gelişen Ülkelerin Borsa Endekslerine Etkisi. The Journal of Accounting and Finance. January 2019;(81):293-314. doi:10.25095/mufad.510682
Chicago Kurt Cihangir, Çiğdem. “Emtia Oynaklık Endeksleri Ve Fed Faiz Oranlarının Gelişen Ülkelerin Borsa Endekslerine Etkisi”. The Journal of Accounting and Finance, no. 81 (January 2019): 293-314. https://doi.org/10.25095/mufad.510682.
EndNote Kurt Cihangir Ç (January 1, 2019) Emtia Oynaklık Endeksleri ve Fed Faiz Oranlarının Gelişen Ülkelerin Borsa Endekslerine Etkisi. The Journal of Accounting and Finance 81 293–314.
IEEE Ç. Kurt Cihangir, “Emtia Oynaklık Endeksleri ve Fed Faiz Oranlarının Gelişen Ülkelerin Borsa Endekslerine Etkisi”, The Journal of Accounting and Finance, no. 81, pp. 293–314, January 2019, doi: 10.25095/mufad.510682.
ISNAD Kurt Cihangir, Çiğdem. “Emtia Oynaklık Endeksleri Ve Fed Faiz Oranlarının Gelişen Ülkelerin Borsa Endekslerine Etkisi”. The Journal of Accounting and Finance 81 (January 2019), 293-314. https://doi.org/10.25095/mufad.510682.
JAMA Kurt Cihangir Ç. Emtia Oynaklık Endeksleri ve Fed Faiz Oranlarının Gelişen Ülkelerin Borsa Endekslerine Etkisi. The Journal of Accounting and Finance. 2019;:293–314.
MLA Kurt Cihangir, Çiğdem. “Emtia Oynaklık Endeksleri Ve Fed Faiz Oranlarının Gelişen Ülkelerin Borsa Endekslerine Etkisi”. The Journal of Accounting and Finance, no. 81, 2019, pp. 293-14, doi:10.25095/mufad.510682.
Vancouver Kurt Cihangir Ç. Emtia Oynaklık Endeksleri ve Fed Faiz Oranlarının Gelişen Ülkelerin Borsa Endekslerine Etkisi. The Journal of Accounting and Finance. 2019(81):293-314.

Cited By

THE EFFECTS OF PRICE AND VOLATILITY INDICES OF STRATEGIC COMMODITIES ON STOCK MARKETS: A STUDY ON BRICS ECONOMIES
Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
https://doi.org/10.53443/anadoluibfd.1389265