Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL

Halil Altıntaş; Yacouba Kassourı

doi:10.25287/ohuiibf.877384

TR EN

Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL

Abstract

Türkiye’de petrol fiyatları, para arzı ve reel döviz kurunun hisse senedi fiyatları üzerindeki asimetrik etkisini inceleyen az sayıda çalışmanın olması şaşırtıcıdır. Çalışmada Türkiye’de 2002-20018 dönemi aylık verilerle petrol fiyatı arz şokları, para arzı ve reel döviz kurunun hisse senedi fiyatları üzerindeki asimetrik etkileri, Shin, Yu, vd. (2014) tarafından geliştirilen asimetrik ARDL (NARDL- Nonlinear Autoregressive Distributed Lag) yöntemi kullanılarak incelenmektedir. Ampirik analizlerde incelenen değişkenler arasında anlamlı kısa ve uzun dönemde asimetrik etkilerin var olduğu tespit edilmiştir. NARDL modelleri sonuçlarında, petrol fiyatı arz şoku ve reel döviz kurundaki artışların hisse senedi fiyatlarını azalttığı, bu değişkenlerdeki azalmanın ise hisse senetleri fiyatları üzerinde artıcı etkiye etkili olduğu görülmüştür. Ayrıca para arzındaki pozitif artışların hisse senedi fiyatları üzerinde pozitif etkiye sahip olduğu, negatif azalmaların ise hisse senedi fiyatlarını etkilemediği sonucuna ulaşılmıştır. Türkiye’de uluslararası petrol fiyatları, reel döviz kuru ve parasal şokların şokların hisse senedi fiyatlarını etkilediğini göstermektedir. Bu nedenle politika yapıcılar ve sermaye piyasalarında yer alan tüm katılımcıların incelenen değişkenler arasındaki ilişkinin doğrusal olmadığı ve asimetrik etkiye sahip olabileceğini dikkate almalıdır. Hisse senedi fiyatlarında etkileyen bu değişkenlerin oluşturabileceği risk ve dalgalanmalara karşı politika yapıcıları etkin politikalar geliştirmeli, yatırımcıların da etkin koruma stratejilere sahip olması gerekmektedir.

Keywords

Hisse Senedi Fiyatları, Petrol Fiyatları, Para Arzı, NARDL

The asymmetric effects of oil prices, monetary and real exchange rates shocks on stock prices: A NARDL model for Turkey

Abstract

Although many empirical studies have examined the relationship between oil prices and economic activity, it is surprising that little research has been conducted on the asymmetric relationship between oil supply shocks, real exchange rates, and stock prices in Turkey. Therefore, the key objective of this study is to fill this gap by examining the asymmetric effects of oil prices and money supply on stock market prices in Turkey. For this purpose, we use monthly data over the period from 2002 to 2018. The analyses in the paper are carried out using the NARDL bounds testing approach of co-integration developed by Shin, Yu, & Greenwood-Nimmo (2014). Empirical findings show that there is an asymmetric co-integration between the variables being examined. Our estimation results show that in the long-run, positive changes in oil supply shocks and real exchange rates have significant and negative effects on the stock prices, whereas negative changes in oil supply shocks and real exchange rates have a significant positive effect on the stock market prices. However, only positive money supply shocks have a significant and positive effect on stock prices. The empirical results indicate that oil supply shocks, real exchange rates, and money supply shocks have significant effects on stock prices. For this reason, policymakers should develop effective policies to mitigate the adverse effects of these variables on stock prices.

Keywords

Stock-market prices, Oil prices, Money supply.

Supporting Institution

Erciyes Üniversitesi BAP Koordinasyon Birimi

Project Number

SHD-2020-10393

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Details

Primary Language

Turkish

Subjects

-

Journal Section

Research Article

Authors

Halil Altıntaş ^*
0000-0002-8565-4294
Türkiye

Yacouba Kassourı This is me
0000-0002-5423-8263
Türkiye

Publication Date

October 13, 2021

Submission Date

February 9, 2021

Acceptance Date

May 15, 2021

Published in Issue

Year 2021 Volume: 14 Number: 4

DOI

https://doi.org/10.25287/ohuiibf.877384

IZ

https://izlik.org/JA25TE58KN

APA

Altıntaş, H., & Kassourı, Y. (2021). Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL. Ömer Halisdemir Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 14(4), 1388-1410. https://doi.org/10.25287/ohuiibf.877384

AMA

1.Altıntaş H, Kassourı Y. Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2021;14(4):1388-1410. doi:10.25287/ohuiibf.877384

Chicago

Altıntaş, Halil, and Yacouba Kassourı. 2021. “Petrol Fiyatları, Parasal Ve Döviz Kuru şoklarının Hisse Senedi Fiyatlarına Asimetrik Etkisi: Türkiye Için NARDL”. Ömer Halisdemir Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi 14 (4): 1388-1410. https://doi.org/10.25287/ohuiibf.877384.

EndNote

Altıntaş H, Kassourı Y (October 1, 2021) Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 14 4 1388–1410.

IEEE

[1]H. Altıntaş and Y. Kassourı, “Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL”, Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol. 14, no. 4, pp. 1388–1410, Oct. 2021, doi: 10.25287/ohuiibf.877384.

ISNAD

Altıntaş, Halil - Kassourı, Yacouba. “Petrol Fiyatları, Parasal Ve Döviz Kuru şoklarının Hisse Senedi Fiyatlarına Asimetrik Etkisi: Türkiye Için NARDL”. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 14/4 (October 1, 2021): 1388-1410. https://doi.org/10.25287/ohuiibf.877384.

JAMA

1.Altıntaş H, Kassourı Y. Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2021;14:1388–1410.

MLA

Altıntaş, Halil, and Yacouba Kassourı. “Petrol Fiyatları, Parasal Ve Döviz Kuru şoklarının Hisse Senedi Fiyatlarına Asimetrik Etkisi: Türkiye Için NARDL”. Ömer Halisdemir Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, vol. 14, no. 4, Oct. 2021, pp. 1388-10, doi:10.25287/ohuiibf.877384.

Vancouver

1.Halil Altıntaş, Yacouba Kassourı. Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2021 Oct. 1;14(4):1388-410. doi:10.25287/ohuiibf.877384

The asymmetric response of Borsa Istanbul (BIST 100) to ınflation, ınterest rate, and exchange rate shocks: an analysis using the NARDL model

SN Business & Economics

https://doi.org/10.1007/s43546-025-00880-1

Asymmetric Effects of Oil Price Shocks on Stock Markets: A NARDL Analysis for Türkiye and Kazakhstan

Economies

https://doi.org/10.3390/economies14040125

Ömer Halisdemir Universitesi Iktisadi ve Idari Bilimler Fakültesi Dergisi (OHUIIBF) is licensed under the Creative Commons Attribution-Noncommercial-Pseudonymity License 4.0 international license.

Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL

Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL

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Keywords

The asymmetric effects of oil prices, monetary and real exchange rates shocks on stock prices: A NARDL model for Turkey

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