PETROL, DOLAR KURU VE HİSSE SENEDİ PİYASASI ARASINDAKİ ORTALAMA-OYNAKLIK YAYILIM ETKİSİ: BIST100 UZERİNE BİR UYGULAMA

Abstract

Petrol fiyatlarında ve dolar kurunda meydana gelen dalgalanmalar makroekonomik göstergeleri, firmaların üretim maliyetlerini ve satış gelirlerini etkiler, piyasa risk düzeyini yükseltir ve ekonomik istikrarsızlığa yol açabilir. Dolayısıyla, ekonomideki karar birimlerinin bu iki değişkendeki dalgalanmaları takip etmeleri, riski yönetebilmeleri açısından önem taşımaktadır. Dahası, finansal piyasa katılımcılarının daha iyi portföy dağılım kararları verebilmeleri için söz konusu değişkenler arasındaki oynaklık aktarım mekanizmasını anlamaları gerekmektedir.  Bu çalışmanın amacı, 18.09.2012-15.09.2017 dönemi için petrol fiyatları ve dolar kurundan BIST100 endeksine doğru ortalama ve oynaklık yayılımının etkilerini incelemek ve etki büyüklüğünü petrol fiyatları ve dolar kuru açısından karşılaştırmaktır. Yayılım etkilerini inceleyebilmek amacıyla, oynaklık modellerinden biri olan EGARCH modelinden yararlanılmıştır. Çalışma bulguları dolar kurunda meydana gelen şokların BIST100 endeks getirisini azaltıcı,  petrol fiyatlarındaki şokların ise arttırıcı bir etkiye sahip olduğunu işaret etmektedir. Bulgular oynaklık yayılımı açısından değerlendirildiğinde, dolar kurundan BIST100 endeksine doğru anlamlı pozitif etki görülürken, petrol fiyatlarından BIST100 endeksine doğru istatistiksel olarak anlamlı etki bulunamamıştır. Ek olarak, negatif şokların pozitif şoklara göre BIST100 endeks oynaklığı üzerinde daha etkili olduğu ifade edilebilir. Elde edilen bulgular, finansal piyasa katılımcıları açısından değerlidir.

Keywords

• Finansal getiriler,Oynaklık yayılım etkisi,Finansal ekonometri

AVARAGE VOLATILITY SPREAD EFFECT BETWEEN THE OIL PRICES, DOLLAR EXCHANGE RATE AND THE STOCK MARKET: AN APPLICATION ON BIST-100

Abstract

Fluctuations in oil prices and dollar exchange rates affect macroeconomic indicators, firms' production costs and sales revenues, raise market risk levels and may lead to economic instability. Therefore, it is important for the economic policy makers to follow the fluctuations of these two variables in order to manage the risk. Moreover, it is necessary for financial market participants to understand the mechanism of transfer of volatility between such variables in order to make better portfolio allocation decisions. The aim of this study is to examine the effects of average and volatility spread towards oil prices and dollar index to BIST100 index for the period of 18.09.2012-15.09.2017 and to compare the size of the effects  in terms of oil prices and dollar exchange rate. EGARCH model, one of the volatility models, was used to examine the diffusion effects. The findings of the study indicate that the shocks that occur in the dollar exchange rate have a decreasing impact on the BIST100 index and the oil shocks have an increasing effect. When the findings were evaluated in terms of volatility spillover, there was no statistically significant effect of oil prices on the BIST100 index, while a positive effect is observed in the dollar exchange rate towards the BIST100 index. In addition, positive shocks may be more effective on BIST100 index volatility than negative shocks. These findings are valuable in terms of financial market participants.

Keywords

• Financial Return,Volatility Spillover Effect,Financial Econometrics

References

1. Adjasi, C.; Harvey, S.; Agyapong, D. (2008). Effect of Exchane Rate Volatility on the Ghana Stock Exchange. African Journal of Accounting, Economics, Finance and Banking Research; 3(3): 28-48
2. Aloui, C. (2007). Price Volatility Spillovers Between Exchange Rates and Stock Indexes for the Pre- and Post-Euro Period. Journal of Quantitative Finance, 7(6).
3. Arouri, M.E.H., Jouini, J., Nguyen, D.K., 2011. Volatility spillovers between oil prices and stock sector returns: implications for portfolio management. J. Int. Money Financ. 30, 1387–1405.
4. Arouri, M. E. H., Jouini, J. ve Nguyen, D. (2012). ‘‘On the Impacts of Oil Price Fluctuations on European Equity Markets: Volatility Spillover and Hedging Effectiveness”, Energy Economics, 34, 611–617.
5. Apte P. (2001), “The Interrelationship Between Stock Markets and the Foreign ExchangeMarket,” Prajnan, 30: 17-29.
6. Ayvaz, Ö. (2006). Döviz Kuru ve Hisse Senetleri Fiyatlari Arasindaki Nedensellik İlişkisi. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 8(2), 1-14.
7. Bali, T.G., Zhou, H., 2016. Risk, uncertainty, and expected returns. J. Financ. Quant. Anal 51 (3), 707–735
8. Basher, S. A. ve Sadorsky, P. (2006). “Oil Price Risk and Emerging Stock Markets”, Global Finance Journal, 17 (2), 224-251.

9. Beer, F./Hebeın, F. (2008), “An Assessment of the Stock Market and Exchange Rate Dynamics inIndustrialized and Emerging Markets,” International Business&Economics Research Journal, 7/8: 59-70.
10. Bernanke, B., 2006. Energy and the economy. Remarks before the Economic Club of Chicago, June 15, 2006.
11. Bollerslev, T. (1986). “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31(3), 307-327
12. Branson, W. H. (1983). Macroeconomic Determinants of Real Exchange Rate Risk, In R. J. Herring Managing Foreign Exchange Risk, Cambridge University Press.
13. Brown, G., Sarkozy, N., 2009. We must address oil-market volatility. Wall Street J. (July 8, 2009) 〈http://www.wsj.com/articles/SB124699813615707481〉
14. Ceylan, S., Şahin, B. Y. (2015). “Hisse Senedi Fiyatları Ve Döviz Kuru İlişkisi. The Journal of Academic Social Science Studies,37, 399-408.
15. Chen, N.F., Roll, R., Ross, S.A., 1986. Economic forces and the stock market. J. Bus. 59 (3), 383–403
16. Chisholm, J., 2014. When volatility knocks: what to watch for. Financial Times (July 28, 2014). 〈http://www.ft.com/cms/s/0/4ef18b5c-162c-11e4-8210- 00144feabdc0.html〉
17. Cong, R.G., Wei, Y.M., Jiao, J.L. ve Fan, Y. (2008). “Relationships Between Oil Price Shocks and Stock Market: An Empirical Analysis from China”, Energy Policy, 36, 3544-3553
18. Conrad, C., Loch, K., Rittler, D., 2014. On the macroeconomic determinants of long-term volatilities and correlations in US stock and crude oil markets. J. Empir. Financ. 29, 26–40
19. Creti, A., Joëts, M., Mignon, V., 2013. On the links between stock and commodity markets' volatility. Energy Econ. 37, 16–28
20. Çiçek, M. (2010). Türkiye'de faiz, döviz ve borsa: Fiyat ve oynaklik yayilma etkileri. Ankara Üniversitesi SBF Dergisi, 65(02), 001-028.
21. Doğru, B., & Recepoğu, M. (2013). Türkiye’de Hisse Senedi Fiyatları Ve Döviz Kuru Arasında Doğrusal Ve Doğrusal Olmayan Eş Bütünleşme İlişkisi. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi EYİ 2013 Özel Sayısı 17
22. Dornbusch, R. and Fischer, S. (1980). Exchange Rates and the Current Account. American Economic Review 70 (5): 960-971.
23. Du, L., He, Y., 2015. Extreme risk spillovers between crude oil and stock markets. Energy Econ. 51, 455–465
24. Elyasiani, E., Mansur, I. ve Babatunde, O. (2011). “Oil Price Shocks and Industry Stock Returns”, Energy Economics, 33, 966-974.
25. Engle, R. F. (1982), “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation”, Econometrica, 50(4), 987-1008.
26. Ewing, B.T., Malik, F., 2016. Volatility spillovers between oil prices and the stock market under structural breaks. Glob. Financ. J. 29, 12–23
27. Filis, G. (2010) “Macro Economy, Stock Market and Oil Prices: Do Meaningful Relationships Exist Among Their Cyclical Fluctuations?”, Energy Economics, 32 (4), 877-886.
28. Gay, R. D. Jr. (2008). “Effect of Macroeconomic Variables On Stock Market Returns For Four Emerging Economies: Brazil, Russia, India and China”, International Business and Economics Research Journal, 7 (3),1-8.
29. Gencer, H. G., & Demiralay, S. (2014). Shock and Volatility Spillovers between Oil Prices and Turkish Sector Returns. International Journal of Economics and Finance, 6(2), 174.
30. Gomes, M., & Chaibi, A. (2014). Volatility spillovers between oil prices and stock returns: A focus on frontier markets. Journal of Applied Business Research, 30(2), 509.
31. Güler, S., & Nalın, H. T. (2013). Petrol Fiyatlarının İMKB Endeksleri Üzerindeki Etkisi. AİBÜ-İİBF Ekonomik ve Sosyal Araştırmalar Dergisi.
32. Gürkan, M. (2009). “Petrol Piyasaları ve Petrol Fiyatlarının Finansal Piyasalar Üzerine Etkisi”,Marmara Üniversitesi Sosyal Bilimler Enstitüsü, Yüksek Lisan Tezi, İstanbul.
33. Hajilee, M.; Nasser, O. (2014). Exchange rate volatility and stock market development in emerging economies. Journal of Post Keynesian Economics, 37(1): 163-180
34. Huang, R., Masulis, R., Stoll, H., 1996. Energy shocks and financial markets. J. Futur. Mark. 16, 1–27
35. İşcan, E. (2010). Petrol Fiyatının Hisse Senedi Piyasası Üzerindeki Etkisi. Maliye Dergisi, 158, 607-617.
36. Jones, C., Kaul, G., 1996. Oil and stock markets. J. Financ. 51, 463–491
37. Kilian L, Park C. The impact of oil price shocks on the U.S. stock market. Int Econ Rev 2009; 50(4):1267e87
38. Kim, K. (2003). Dollar Exchange Rate and Stock Market Price: Evidence From Multivariate Cointegration and Error Correction Model. Review of Financial Economics 12: 301-313
39. Kling, J.L., 1985. Oil price shocks and stock-market behavior. J. Portf. Manag. 12, 34–39
40. Lawal, M.; Ijirshar, U.V., (2015). Empirical analysis of exchange rate and Nigeria stock market performance. Int. J. Sci. Res., 4(4): 1592-1600
41. Lee, K., ve Shawn Ni. (2002) .“On the Dynamic Effects of Oil Price Shocks: A Study Using Industry Level Data”, Journal of Monetary Economics, 49, 823-852.
42. Mlambo, C.; Maredza, C.; Sibanda, K. (2013). Effects of Exchange Rate Volatility on the Stock Market: A Case Study of South Africa. Mediterranean Journal of Social Sciences, 4(14): 561-570
43. Narayan, P. K., ve Sharma, S. (2011). “New Evidence on Oil Price and Firm Returns”, Journal of Banking and Finance, 35, 3253-3262.
44. Nelson, D. (1991), “Conditional Heteroskedasticity in Asset Returns: A NewApproach”. Econometrica, 59 (2), 347-370.
45. Park, J., & Ratti, R. A. (2008). Oil price shocks and stock markets in the US and 13 European countries. Energy economics, 30(5), 2587-2608.
46. Phylaktis , K.; Ravazzolo, F. (2005). Stock prices and exchange rate Dynamics. Journal of International Money and Finance 24 (2005) 1031-1053
47. Tsay, R. (2002), Analysis of Financail Time Series Financial Econometrics. John Wiley Sons. Inc.
48. Wang Y, Wu C, Yang L. Oil price shocks and stock market activities: evidence from oil-importing and oil-exporting countries. J Comp Econ 2013;41: 1220-1239.
49. Wang, X., & Zhang, C. (2014). The impacts of global oil price shocks on China׳ s fundamental industries. Energy Policy, 68, 394-402.
50. Wei, C., 2003. Energy, the stock market, and the putty-clay investment model. Am. Econ. Rev. 93, 311–323.
51. Wei, Y. ve Guo, X..(2017). Oil Price Shocks and China’s Stock Market. Energy, 240; 140, 185-197.
52. Yau, H. Y. and Nieh, C. C. (2006). Interelationship Among Stock Prices of Taiwan and Japan and NTD/Yen Exchange Rate. Journal of Asian Economics 17: 535-552.
53. Yau, H. Y. and Nieh, C. C. (2009). Testing for Cointegration with Threshold Effect Between Stock Prices and Exchange Rates in Japan and Taiwan. Japan and World Ecomoy 21(3): 292-300.
54. Zhao, H. (2010). Dynamic Relationship Between Exchange Rate and Stock Price: Evidencefrom China. Research in International Business and Finance, 24(2):103-112