Ham Petrol Fiyat Şokları - Hisse Senedi Piyasası İlişkisi: ADL Eşik Değerli Koentegrasyon Testi

Year 2016, Volume: 11 Issue: 1, 7 - 22, 01.04.2016

Mahmut Zortuk Seyhat Bayrak

Abstract

Enerji insanoğlunun yaşamında çok önemli bir yere sahip olmasının yanında ekonomide de önemli rol oynamaktadır. Ham petrol fiyat şokları sadece petrol piyasasının arz yönünden kaynaklı değil aynı zamanda talep odaklı da olabilir. Petrol fiyatındaki şoklar hem makroekonomiyi hem de hisse senedi piyasasını otoregresif gecikmesi dağıtılmış eşik değerli koentegrasyon testi kullanılarak 2002:04 - 2014:08 arası dönemde G-7 ülkeleri için ham petrol fiyat şokları ve hisse senedi piyasa fiyatları arasındaki ilişkiyi araştırmaktadır. Ampirik bulgular ham petrol fiyatları ile hisse senedi piyasa fiyatlarının koentegre zamanda bulgular, uzun döneme dengeye yönelik ayarlanma göstermektedir

Keywords

Petrol fiyat şokları, Hisse senedi fiyatı, Eşik değerli koentegrasyon testi

The Relationship Between Crude Oil Price Shocks And Stock Prices: ADL Threshold Cointegration Test

Abstract

Oil is one of the energy sources which has great importance in human lives as well as plays crucial role in economy. Crude oil shocks do not only originate from the supply-side of the crude oil market but may also be demand driven. Oil price shocks can affect both macroeconomy and stock markets. This study is to investigate the relationship between crude oil price shocks and stock market prices for G7 countries from 2002:04 - 2014:08 by using autoregressive distribution lag test for threshold cointegration. The empirical results show that crude oil prices and stock market prices are cointegrated. The findings also indicate that the adjustment process towards its long-run equilibrium is asymmetric

Keywords

Oil price shocks, Stock prices, Threshold cointegration test

References

• Abdioğlu, Z., Değirmenci, N. 82014), “Petrol Fiyatları- Hisse Senedi Fiyatları İlişkisi: BİST Sektörel Analiz”, Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5(8), 1-24.
• Abhyankar, A., Xu, B., Wang, J. (2013), “Oil Price Shockc And The Stock Market: Evidence From Japan”, The Energy Journal, 3(2), 199-222.
• Acaravcı, A., Öztürk, I., Kandir, S. Y., (2012), “Natural Gas Prices and Stock Prices: Evidence From EU-15 Countries”, Economic Modelling, 29, 1646-1654.
• Arouri, M. E. H., Bellalah, M., Nguyen, D. K. (2011), “Further Evidence On The Responses Of Stock Prices In GCC Countriesto Oil Price Shocks”, International Journal Of Business, 16(1), 89-102.
• Balke, N. S., Fomby, T. B. (1997), “Threshold Cointegration, International Economic Review”, 38(3), 627-645.
• Bittlingmayer, G. (2005), “Oil and Stocks: Is It War Risk?”, University Of Kansas Working Paper Series, 1-30. (29 Eylül 2014 tarihinde ulaşılmıştır.) https://www.aeaweb.org/assa/2006/0108_1300_1204.pdf
• Chang, T., Xu, Y. Y. (2012), “Rational Bubbles In G-7 Countries: An Empirical Note Based On The ADL Test For Threshold Cointegration”, 1-15. (11 Kasım 2014 Tarihinde Ulaşıldı) http://asianfa2012.mcu.edu.tw/fullpaper/10356.pdf
• Chen, S. S., Hsu, K. W. 2012, “Reverse Globalization: Does High Oil Price Volatility Discourage International Trade?”, Energy Economics, 34(5), 1634–1643.
• Chittedi, K. R. (2012), “Do Oil Prices Matters For Indian Stock Markets? An Empirical Analysis”, Journal Of Applied Economics and Business Research, 2(1), 2- 10.
• Eisdorfer, A. (2007), “The Importance Of Cash-Flow News For Financially Distressed Firms”, Financial Management, 36(3), 33-48.
• Fama, E. F. (1981), “Stock Returns Real Activity, Inflation, And Money”, American Economic Review, 71, 545-565.
• Fillis, G. (2010), “Macro Economy, Stock Market And Oil Prices: Do Meaningful Relations Exist Among Their Cyclical Fluctuations?”, Energy Economics, 32(4), 877- 886.
• Güler, S., Tunç, R., Orçun, Ç. (2010), “Petrol Fiyat Riski ve Hisse Senedi Fiyatları Arasındaki İlişkinin Belirlenmesi: Türkiye’de Enerji Sektörü Üzerinde Bir Uygulama”, Atatürk Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(4), 297-315.
• Hamilton, J. D. (1983), “Oil and Macroeconomy Since World War II”, The Journal Of Political Economy, 91(2), 228-248.
• Hamilton, J. D. (2003), “What Is An Oil Shock?”, Journal Of Econometrics, 113, 363-398.
• İşcan, E. (2010), “Petrol Fiyatının Hisse Senedi Piyasası Üzerindeki Etkisi”, Maliye Dergisi, 158, 607-617.
• Jones, C. M., Kaul, G. (1996), “Oil And Stock Markets, The Journal Of Finance”, 51(2), 463-491.
• Kılıç, C., Bayar, Y., Özcan, B. (2014), “Petrol Fiyatlarının Borsa İstanbul Sanayi Fiyat Endeksi Üzerindeki Etkisi”, Kamu-İş, 13(3), 125-141.
• Le, T. H., Chang, Y. (2011), “The Impact Of Oil Price Fluctuations On Stock Markets In Developed And Emerging Countries”, Munich Personal RepEC Archieve, No: 31753 , 1-36. (1 Ekim 2014 tarihinde ulaşıldı). http://mpra.ub.uni-muenchen.de/31753/
• Li, J., Lee, J. (2010), “ADL Tests For Threshold Cointegration”, Journal Of Time Series Analysis, 31, 241-254.
• Liu, S., Chang, T., Lee, C. H., Chou, P. I. (2012), “Nonlinear Adjustment To Purchasing Power Parity: The ADL Test For Threshold Cointegration”, Applied Economics Letters, 19, 569-573.
• Malliaris, A.G., Urritia, J.L. (1992), “The International Crash Of October 1987: Causality Tests”, The Journal Of Financial And Quantitative Analysis, 27(3), 353- 364.
• Miller, I. J., Apergis, N. (2009), “Do Structural Oil-Market Shocks Affect Stock Prices?”, Energy Economics, 31(4), 569-575.
• Miller, I. J., Ratti, R. A. (2009), “Crude Oil And Stock Markets: Stability, Instability And Bubbles”, Energy Economics, 31(4), 559-568.
• Narayan, P.K., Narayan, S. (2010), “Modelling The Impact Of Oil Prices On Vietnam’s Stock Prices”, Applied Energy, 87, 356-361.
• Ono, S. (2011), “Oil Price Shocks And Stock Markets In Brics”, The European Journal Of Comparative Economics, 8(1), 29-45.
• Ono, H. (2014), “The Goverment Expenditure-Economic Growth Relation In Japan: An Analysis By Using The ADL Test For Threshold Cointegration”, Applied Economics, 46(28), 3523-3531.
• Pan, G., Chang, T., Tang, D.P., Lee, C. H. (2012), “Nonlinear Adjustment To Purchasing Power Parity In Latin American Countries: The ADL Test For Threshold Cointegration”, Applied Economics Letters, 19, 857-862.
• Park, J. W., Ratti, R. A. (2008), “Oil Price Shocks And Stock Markets In The U.S. And 13 European Countries”, Energy Economics, 30(5), 2587-2608.
• Sadorsky, P. (1999), “Oil Price Shocks And Stock Market Activity”, Energy Economics, 2, 449-469.
• Şener, S., Yılancı, V., Tıraşoğlu, M. (2013), “Petrol Fiyatları İle Borsa İstanbul’un Kapanış Fiyatları Arasındaki Saklı İlişkinin Analizi”, Selçuk Üniversitesi İİBF Sosyal Ve Ekonomik Araştırmalar Dergisi, 26, 231-248