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Petrol ve Doğalgaz Fiyatları İle İmalat ve Kimya-Petrol-Plastik Sektörlerinin Endeksleri Arasındaki İlişki

Year 2013, Volume: 6 Issue: 2, 64 - 74, 01.08.2013

Abstract

TÜRKGülüzar KURT GÜMÜŞF. Dilvin TAŞKINEfe Çağlar ÇAĞLI ÖZ Çalışmanın amacı, petrol ve doğal gaz fiyatları ile İMKB imalat sektörü ve kimya-petrol-plastik sektörü endeksleri arasındaki ilişkiyi ortaya koymaktır. 02.01.1997-31.12.2009 döneminin incelendiği çalışmada, geleneksel birim kök testleri ve kırılmalı birim kök testleri ile eşbütünleşme analizleri kullanılmıştır. Kırılmaları dikkate alan test sonuçları, petrol fiyatları ile İMKB imalat sanayi endeksi ve kimya-petrol-plastik sektörü endeksi arasında bir eşbütünleşme olduğunu ortaya koyarken; kırılmaları dikkate almayan testler incelenen endekslerle değişkenler arasında herhangi bir ilişki tespit edememiştir. Çalışmanın sonucu, incelenen veriler üzerinde, kırılmalı birim kök testlerinin, geleneksel birim kök testlerine göre üstün olduğunu göstermesi açısından önem taşımaktadır.

References

  • DEJONG, D., NANKERVIS, J., SAVIN, N. & WHITEMAN, C. (1992). “Integration versus Trend Stationarity in Macroeconomic Time Series”, Econometrica, 60, 423-434.
  • DICKEY, D. A. & FULLER, W. (1979). “Distribution of the estimators for auto-regressive time series with a unit root”, Journal of American Statistical Association, 74, 427-431. DIEBOLD, F. & RUDEBUSCH, G. (1991). “On the power of Dickey-Fuller tests against fractional alternatives”, Economics Letters, 35, 155-160.
  • ENGLE, R.F. & GRANGER C.W.J. (1987). “Co-Integration and error correction: Representation, estimation, and testing”, Econometrica, 55, 251-276.
  • FAMA, E.F. (1970). “Efficient capital markets: A review of theory and empirical work”, Journal of Finance, 25, 383-417.
  • GHOURI, S. S. (2006). “Assessment of the relationship between oil prices and US oil stocks”, Energy Policy, 34, 3327–3333.
  • GRANGER, C. W. J. & NEWBOLD, P. (1974). “Spurious regressions in econometrics”, Journal of Econometrics, 2, 111-120.
  • GREGORY, A.W. & HANSEN, B.E. (1996). “Residual-based tests for cointegration in models with regime shifts”, Journal of Econometrics, 70, 99–126.
  • GREENWOOD, J. & SMITH, B. (1997). “Financial markets in development and the development of financial markets”, Journal of Economic Dynamics and Control, 21(1), 145-1
  • JONES, C. M. & KAUl, G. (1996) “Oil and the Stock Markets”, The Journal of Finance, 51(2) , 463-4
  • HAMMOUDEH, S. and ALESIA, E. (2004). “Links and volatility transmission between NYMEX oil futures and the GCC stock market indices”, Contemp. Econ. Policy, 22, 250–269.
  • HUANG, R. D. MASULIS, R. W. & STOLL, H. R. (1996). “Energy shocks and financial markets”, Journal of Futures Markets, 16(1), 1-27.
  • JONES, C. M. & KAUL, G. (1996). “Oil and the stock markets”, Journal of Finance, 51(2), 463-4
  • KAPLAN, M. (2008). “The Impact of Stock Market on Real Economic Activity: Evidence from Turkey”, Journal of Applied Sciences, 8(22), 374-378.
  • KWIATKOWSKI, D., PHILLIPS, P.C.B., SCHMIDT, P. & SHIN, Y. (1992). “Testing for the null hypothesis of stationarity against the alternative of a unit root”, Journal of Econometrics, 54, 159–178.
  • LEVINE, R. (1991). “Stock markets, growth and tax policy”, Journal of Finance, 46(4), 144514
  • LUMSDAINE R.L. & PAPELL, D.H. (1997). “Multiple trend breaks and the unit root hypothesis”, The Review of Economics and Statistic, 79. 212-218.
  • MACKINNON, J. G. (1991). “Critical values for cointegration tests”. R. F. Engle & C. W. J. Granger (editor). Long-run Economic Relationships: Readings in Cointegration, Oxford: Oxford University Press, 267-276.
  • MAURO, P. (2003). “Stock returns and output growth in emerging and advanced economies”, Journal of Development Economics, 71(1), 129-153.
  • PAPAPETROU, E.. (2001). “Oil price shocks, stock market, economic activity and employment in Greece”, Energy Economics, 23, 511-532.
  • Phillips, P.C.B. (1987). “Time series regression with a unit root”, Econometrica, 55, 277–301. PHILLIPS, P.C.B. & HANSEN B.E. (1990). “Statistical inference in instrumental variables regression with I(1) Processes”, The Review of Economic Studies, 57, 99-125.
  • SADORSKY, P. (1999). “Oil Price Shocks and Stock Market Activity”, Energy Economics, 21, 5, 449-469.
  • STOCK J.H. & WATSON M.W. (1993). “A simple estimator of cointegrating vectors in higher order integrated systems”, Econometrica, 61, 783-820.
  • ZIVOT, E. & ANDREWS D.W.K. (1992). “Further Evidence on the great crash, the oil-price shock, and the unit-root hypothesis”, Journal of Business and Economic Statistics, 10, 251-2

Petrol ve Doğalgaz Fiyatları İle İmalat ve Kimya-Petrol-Plastik Sektörlerinin Endeksleri Arasındaki İlişki

Year 2013, Volume: 6 Issue: 2, 64 - 74, 01.08.2013

Abstract

The aim of this study is to manifest the relationship between oil and natural gas prices, and the indices of ISE manufacturing industry and chemical-petroleum-plastic industry. Unit root and cointegration tests, with and without breaks, are employed in the study where the period between 02.01.1997-31.12.2009 is analyzed. As the results of the tests that are taking the breaks into consideration indicate cointegration between oil prices and indices of ISE manufacturing industry and chemical-petroleum-plastic industry; the tests ignoring breaks do not ascertain any relations between analyzed variables. The results of the study are important in the way that, the unit root tests with structural breaks have superiority over the conventional unit root tests for the used data.

References

  • DEJONG, D., NANKERVIS, J., SAVIN, N. & WHITEMAN, C. (1992). “Integration versus Trend Stationarity in Macroeconomic Time Series”, Econometrica, 60, 423-434.
  • DICKEY, D. A. & FULLER, W. (1979). “Distribution of the estimators for auto-regressive time series with a unit root”, Journal of American Statistical Association, 74, 427-431. DIEBOLD, F. & RUDEBUSCH, G. (1991). “On the power of Dickey-Fuller tests against fractional alternatives”, Economics Letters, 35, 155-160.
  • ENGLE, R.F. & GRANGER C.W.J. (1987). “Co-Integration and error correction: Representation, estimation, and testing”, Econometrica, 55, 251-276.
  • FAMA, E.F. (1970). “Efficient capital markets: A review of theory and empirical work”, Journal of Finance, 25, 383-417.
  • GHOURI, S. S. (2006). “Assessment of the relationship between oil prices and US oil stocks”, Energy Policy, 34, 3327–3333.
  • GRANGER, C. W. J. & NEWBOLD, P. (1974). “Spurious regressions in econometrics”, Journal of Econometrics, 2, 111-120.
  • GREGORY, A.W. & HANSEN, B.E. (1996). “Residual-based tests for cointegration in models with regime shifts”, Journal of Econometrics, 70, 99–126.
  • GREENWOOD, J. & SMITH, B. (1997). “Financial markets in development and the development of financial markets”, Journal of Economic Dynamics and Control, 21(1), 145-1
  • JONES, C. M. & KAUl, G. (1996) “Oil and the Stock Markets”, The Journal of Finance, 51(2) , 463-4
  • HAMMOUDEH, S. and ALESIA, E. (2004). “Links and volatility transmission between NYMEX oil futures and the GCC stock market indices”, Contemp. Econ. Policy, 22, 250–269.
  • HUANG, R. D. MASULIS, R. W. & STOLL, H. R. (1996). “Energy shocks and financial markets”, Journal of Futures Markets, 16(1), 1-27.
  • JONES, C. M. & KAUL, G. (1996). “Oil and the stock markets”, Journal of Finance, 51(2), 463-4
  • KAPLAN, M. (2008). “The Impact of Stock Market on Real Economic Activity: Evidence from Turkey”, Journal of Applied Sciences, 8(22), 374-378.
  • KWIATKOWSKI, D., PHILLIPS, P.C.B., SCHMIDT, P. & SHIN, Y. (1992). “Testing for the null hypothesis of stationarity against the alternative of a unit root”, Journal of Econometrics, 54, 159–178.
  • LEVINE, R. (1991). “Stock markets, growth and tax policy”, Journal of Finance, 46(4), 144514
  • LUMSDAINE R.L. & PAPELL, D.H. (1997). “Multiple trend breaks and the unit root hypothesis”, The Review of Economics and Statistic, 79. 212-218.
  • MACKINNON, J. G. (1991). “Critical values for cointegration tests”. R. F. Engle & C. W. J. Granger (editor). Long-run Economic Relationships: Readings in Cointegration, Oxford: Oxford University Press, 267-276.
  • MAURO, P. (2003). “Stock returns and output growth in emerging and advanced economies”, Journal of Development Economics, 71(1), 129-153.
  • PAPAPETROU, E.. (2001). “Oil price shocks, stock market, economic activity and employment in Greece”, Energy Economics, 23, 511-532.
  • Phillips, P.C.B. (1987). “Time series regression with a unit root”, Econometrica, 55, 277–301. PHILLIPS, P.C.B. & HANSEN B.E. (1990). “Statistical inference in instrumental variables regression with I(1) Processes”, The Review of Economic Studies, 57, 99-125.
  • SADORSKY, P. (1999). “Oil Price Shocks and Stock Market Activity”, Energy Economics, 21, 5, 449-469.
  • STOCK J.H. & WATSON M.W. (1993). “A simple estimator of cointegrating vectors in higher order integrated systems”, Econometrica, 61, 783-820.
  • ZIVOT, E. & ANDREWS D.W.K. (1992). “Further Evidence on the great crash, the oil-price shock, and the unit-root hypothesis”, Journal of Business and Economic Statistics, 10, 251-2
There are 23 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

M. Başaran Öztürk This is me

Gülüzar Kurt Gümüş This is me

F. Dilvin Taşkın This is me

Efe Çağlar Çağlı This is me

Publication Date August 1, 2013
Published in Issue Year 2013 Volume: 6 Issue: 2

Cite

APA Öztürk, M. B., Gümüş, G. K., Taşkın, F. D., Çağlı, E. Ç. (2013). Petrol ve Doğalgaz Fiyatları İle İmalat ve Kimya-Petrol-Plastik Sektörlerinin Endeksleri Arasındaki İlişki. Niğde Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 6(2), 64-74.
AMA Öztürk MB, Gümüş GK, Taşkın FD, Çağlı EÇ. Petrol ve Doğalgaz Fiyatları İle İmalat ve Kimya-Petrol-Plastik Sektörlerinin Endeksleri Arasındaki İlişki. Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. August 2013;6(2):64-74.
Chicago Öztürk, M. Başaran, Gülüzar Kurt Gümüş, F. Dilvin Taşkın, and Efe Çağlar Çağlı. “Petrol Ve Doğalgaz Fiyatları İle İmalat Ve Kimya-Petrol-Plastik Sektörlerinin Endeksleri Arasındaki İlişki”. Niğde Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi 6, no. 2 (August 2013): 64-74.
EndNote Öztürk MB, Gümüş GK, Taşkın FD, Çağlı EÇ (August 1, 2013) Petrol ve Doğalgaz Fiyatları İle İmalat ve Kimya-Petrol-Plastik Sektörlerinin Endeksleri Arasındaki İlişki. Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 6 2 64–74.
IEEE M. B. Öztürk, G. K. Gümüş, F. D. Taşkın, and E. Ç. Çağlı, “Petrol ve Doğalgaz Fiyatları İle İmalat ve Kimya-Petrol-Plastik Sektörlerinin Endeksleri Arasındaki İlişki”, Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol. 6, no. 2, pp. 64–74, 2013.
ISNAD Öztürk, M. Başaran et al. “Petrol Ve Doğalgaz Fiyatları İle İmalat Ve Kimya-Petrol-Plastik Sektörlerinin Endeksleri Arasındaki İlişki”. Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 6/2 (August 2013), 64-74.
JAMA Öztürk MB, Gümüş GK, Taşkın FD, Çağlı EÇ. Petrol ve Doğalgaz Fiyatları İle İmalat ve Kimya-Petrol-Plastik Sektörlerinin Endeksleri Arasındaki İlişki. Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2013;6:64–74.
MLA Öztürk, M. Başaran et al. “Petrol Ve Doğalgaz Fiyatları İle İmalat Ve Kimya-Petrol-Plastik Sektörlerinin Endeksleri Arasındaki İlişki”. Niğde Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, vol. 6, no. 2, 2013, pp. 64-74.
Vancouver Öztürk MB, Gümüş GK, Taşkın FD, Çağlı EÇ. Petrol ve Doğalgaz Fiyatları İle İmalat ve Kimya-Petrol-Plastik Sektörlerinin Endeksleri Arasındaki İlişki. Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2013;6(2):64-7.