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

Year 2021, , 1388 - 1410, 13.10.2021
https://doi.org/10.25287/ohuiibf.877384

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.

Supporting Institution

Erciyes Üniversitesi BAP Koordinasyon Birimi

Project Number

SHD-2020-10393

References

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

Year 2021, , 1388 - 1410, 13.10.2021
https://doi.org/10.25287/ohuiibf.877384

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.

Project Number

SHD-2020-10393

References

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  • Afshan, S., Sharif A., Loganathan N. ve Jammazi, Rania, (2018). Time–frequency causality between stock prices and Exchange rates: Further evidences from cointegration and wavelet analysis, Physica A Statistical Mechanics and its Applications , 495, pp.225–244.
  • Ahmed, V. ve Donoghue, C.. (2010). External Shocks in a Small Open Economy: a CGE Microsimulation Analysis, Lahore Journal of Economics, 15(1):45-90.
  • Ajayi, R. A., Friedman, J., & Mehdian, S. M. (1998). On the relationship between stock returns and exchange rates: Test of Granger causality. Global Finance Journal, 9, 241–251.
  • Apergis, N., & Miller, S.M.. (2009). Do Structural Oil Market Shocks Affect Stock Prices?, Energy Economics, 31(4):569-575.
  • Arouri, M. E. H. ve Rault C.. (2012). Oil Prices and Stock Markets in GCC Countries Empirical Evidence from Panel Analysis, International Journal of Finance Economics, 17: 242–253
  • Bahmani-Oskooee, M., & Sohrabian, A. (1992). Stock prices and the effective exchange rate of the dollar. Applied Economics, 24, 459–464.
  • Balke, N.S., Brown, S.P. ve Yucel, M.K.. (2002).Oil Price Shocks and the US Economy: Where Does the Asymmetry Originate? The Energy Journal, 23(3):27-52.
  • Bartov, E., & Bodar, G. M. (1994). Firm valuation, earnings expectations and the exchange rate exposure effect. Journal of Finance, 49, 1755–1786.
  • Basher, S. A., Haug A. A. ve Sadorsky P.. (2012). Oil Prices, Exchange Rates and Emerging Stock Markets, Energy Economics, 34:227–240.
  • Bekiros, S. D. ve Diks, C. G. H.. (2008). The Relationship Between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality, Energy Economics, 30(5):2673-2685.
  • Belke, A. & Beckmann, J.. (2014). Monetary Policy and Stock Prices – Cross-Country Evidence from Cointegrated VAR Models, Journal of Banking & Finance, http://dx.doi.org/10.1016/j.jbankfin.2014.12.004.
  • Bernanke, Ben S. & Kenneth, N. Kuttner.(2005). What Explains the Stock Market’s Reaction to Federal Reserve Policy?, Journal of Finance, 60 (3):1221-1257.
  • Bjornland, C. H. (2009). Oil price Shocks and Stock Market Booms in an Oil Exporting Country. Scottish Journal of Political Economy, 2(5), 232−254.
  • Bodnar, G., & Gentry, W. M. (1993). Exchange rate exposure and industry characteristics: Evidence from Canada, Japan, and the US. Journal of International Money and Finance, 12, 29–45.
  • Boyer, M. M. & Filion, D.. (2007). Common and Fundamental Factors in Stock Returns of Canadian Oil and Gas Companies. Energy Economics, 29(3):428-453.
  • Brown, S. P. A., & Yücel, M. K.. (2002). Energy Prices and Aggregate Economic Activity: An Interpretative Survey. Quarterly Review of Economics and Finance, 42(2):193–208.
  • Burbidge, J., Harrison, A., (1984). Testing for the Effects of Oil-Price Rise Using Vector Autoregressions. International Economic Review, 25:459–484.
  • Chen, S. S. & Hsu, K.-W. (2012). Reverse Globalization: Does High Oil Price Volatility Discourage International Trade? Energy Economics, 34(5):1634–1643.
  • Ciner, C.. (2001). Energy Shocks and Financial Markets: Nonlinear Linkages. Studies in Nonlinear Dynamics and Econometrics, 5:203–212.
  • Delgado, N. A. B., & Delgado E. B. ve Saucedo E. (2018), “The relationship between oil prices, the stock market and the exchange rate: Evidence from Mexico”, North American Journal of Economics and Finance, North American Journal of Economics and Finance, 45:266-275.
  • Demirer, R., Ferrer, R. Shahzad S. J. H. (2020). Oil price shocks, global financial markets and their connectedness, Energy Economics, 88, https://doi.org/10.1016/j.eneco.2020.104771.
  • Dickey, D. A., & Fuller, W. A.. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74:427–431.
  • Dickey, D. A.& Fuller, W. A.. (1981).Likelihood Ratio Tests for Autoregressive Time Series with a Unit Root. Econometrica, 49:1057–1072.
  • Dornbush, R. & Fisher S., (1980). “Exchange Rates and the Current Account,” American Economic Review, vol. 70, pp. 960-971.
  • Effa, B., Ariff, M., & Khalid, A.. (2011). Endogeneous Money Supply and Bank Stock Returns: Empirical Evidence Using Panel Data. Applied Financial Economics, 25(6):345–356.
  • El-Sharif, I., Brown, D., Burton, B., Nixon, B., Russell, A.. (2005). Evidence on the Nature and Extent of the Relationship Between Oil Prices and Equity Values in the UK. Energy Economics, 27(6):819–830.
  • Engle, R.F. & Granger, C.W.J.. (1987). Cointegration and Error Correction: Representation, Estimation and Testing. Econometrica, 55:251-276.
  • Faff, R. & Brailsford, T.. (1999). Oil Price Risk and the Australian Stock Market. Journal of Energy and Finance Development. 4:69–87.
  • Fama, E.F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2):383–417.
  • Ferderer, J.P. (1996). “Oil Price Volatility and Macroeconomy”, Journal of Macroeconomics, 18 (1):1–26.
  • Filis, G..(2010). Macro Economy, Stock Market and Oil Prices: Do Meaningful Relationships Exist Among Their Cyclical Fluctuations?, Energy Economics, 32:877-886.
  • Gisser, M., & Goodwin, T. H.. (1986). Crude Oil and The Macroeconomy: Tests of Some Popular Notions: Note. Journal of Money, Credit, and Banking, 18:95–103.
  • Granger, C.W., & Yoon, G..(2002). Hidden Cointegration. Department of Economics Working Paper. University of California. San Diego.
  • Gronwald, M.. (2008). Large Oil Shocks and The US Economy: Infrequent Incidents with Large Effects. Energy Journal, 29:151–171.
  • Hamburger, MJ & Kochin L.A. (1972). Money and Stock Prices: The Channels of Influence. Journal of Finance, 27(2):231–249.
  • Hamilton J. D. (1988). Are The Macroeconomic Effects of Oil-Price Change Symmetric? A Comment, Carnegie Rochester Conference Series on Public Policy, 28:369–378.
  • Hamilton, J.D. (1983). Oil and the Macroeconomy Since World War II. Journal of Political Economy, 91:228–248.
  • Hamilton, J.D.. (1996). This Is What Happened to The Oil Price–Macroeconomy Relationship? Journal of Monetary Economics, 38:195–213.
  • Hamilton, J.D.. (2003). What is an Oil Shock? Journal of Econometrics 113:363–398.
  • Henriques I. & Sadorsky P. (2008). Oil Prices and The Stock Prices of Alternative Energy Companies, Energy Economics, 30 998–1010.
  • Herreraa, A. M., Karaki M. B. ve Rangarajuc S. K. (2019) “Oil price shocks and U.S. economic activity”, Energy Policy, 129, pp.89-99.
  • Homa K.E. & Jaffee D.M.. (1971). The Supply of Money and Common Stock Prices. Journal of Finance, 26(5):1045–1066.
  • Hooker, M.A.. (1996). What Happened to the Oil Price-Macroeconomy Relationship? Journal of Monetary Economics 38:195–213.
  • Huang, B. -N., Hwang, M. J. & Hsiao-P, P.. (2005). The Asymmetry of The Impact of Oil Price Shocks On Economic Activities: An Application of the Multivariate Threshold Model. Energy Economics, 27:455–476.
  • Huang, R. D., Masulis, R. W. & Stoll, H. R. (1996).. Energy Shocks and Financial Markets. Journal of Futures Markets, 16:1–27.
  • Iwayemi, A. ve Fowowe, B.. (2011). Impact of Oil Price Shocks on Selected Macroeconomic Variables in Nigeria. Energy Policy, 39:603–612.
  • Jimenez-Rodriguez, R. & Sanchez, M.. (2005). Oil Price Shocks and Real GDP Growth: Empirical Evidence for Some OECD Countries”, Applied Economics, 37(2):201–228.
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Details

Primary Language Turkish
Journal Section Articles
Authors

Halil Altıntaş 0000-0002-8565-4294

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

Project Number SHD-2020-10393
Publication Date October 13, 2021
Submission Date February 9, 2021
Acceptance Date May 15, 2021
Published in Issue Year 2021

Cite

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
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