Research Article
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Relationship Between Oil Prices And Stock Market Index Value: A Case Of Middle East Countries

Year 2019, Volume: 13 Issue: 19, 1620 - 1649, 30.09.2019
https://doi.org/10.26466/opus.598831

Abstract

The aim of this study is to investigate the
long-term and short-term causality relationship between oil prices and stock
market index values. In this context, crude oil prices with Turkey, Saudi
Arabia, Jordan, United Arab Emirates, Bahrain, the data belonging to Middle
Eastern countries such as Qatar and Kuwait stock exchange index is used. In
this study, monthly price data for the period between April 2004 and March 2019
are discussed. In this study,The reason why the Middle Eastern countries were
selected is that these countries produced about one third of the world's oil
production. These data were analyzed with the help of Hatemi J and Maki
cointegration tests and then Toda-Yamamoto and Fourier Toda Yamamoto causality
tests in order to reveal the causality relationship. As a result of this study,
it was found that the indices of the countries other than Saudi Arabia have a
cointegrated relationship with the oil prices in the long run and there is a
causal relationship from the oil prices to the UAE, Bahrain, Qatar and Kuwait
indices in the short run. In addition, it is determined that there is a
causality relationship from the stock market indexes of UAE and Kuwait
countries to oil prices in the short term.

References

  • Abdioğlu, Z. ve Değirmenci, N. (2014). Petrol fiyatları ve hisse senedi fiyatları ilişkisi: Bist sektörel analiz. Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5(8), 1-24.
  • Akinlo, O. O. (2014). Oil price and stock market: Empirical evidence from Nigeria. European Journal of Sustainable Development, 3(2), 33-40.
  • Alagöz, M., Alacahan, N. D. ve Akarsu, Y. (2017). Petrol fiyatlarının makro ekonomi üzerindeki etkisi-ülke karşılaştırmaları ile panel veri analizi. KMÜ Sosyal ve Ekonomik Araştırmalar Dergisi, 19 (33),144-150.
  • Basher, S. A.ve Perry S. (2006). Oil price risk and emerging stock markets. Global Finance Journal, 17(2), 224-51.
  • Bhar, R, ve Biljana, N. (2010). Global oil prices, oil ındustry and equity returns: Russian experience. Scottish Journal of Political Economy, 57(2), 169-86.
  • Blanchard, O. ve Gali J. (2007). Real wage rigidities and the new keynesian model.Journal of money. Credit and Banking, 39, 35-65.
  • Boyer, M. M. and Didier F. (2007). Common and fundamental factors in stock returns of Canadian oil and gas companies, Energy Economics, 29(3), 428-53.
  • Ciftci, D. D. (2018). The twin deficits hypothesis: New evidence from giips accounting for structural shifts in causal linkages. Journal of Management and Economics Research, 16(3), 51-69.
  • Enders, W. ve Jones, P. (2016). Grain prices, oil prices, and multiple smooth breaks in a var. Studies in Nonlinear Dynamics & Econometrics, 20(4), 399-419.
  • Fang, C.R., ve Shih Y.Y. (2014). The impact of oil price shocks on the large emerging countries’ stock prices: Evidence from China, India and Russia. International Review of Economics & Finance, 29, 330-38.
  • Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Journal of the Econometric Society, 37(3), 424-438.
  • Güler, S. ve Nalın, H. T. (2013). Petrol fiyatlarının IMKB endeksleri üzerindeki etkisi. AİBÜ-İİBF Ekonomik ve Sosyal Araştırmalar Dergisi, 9(2),79-97.
  • Güngör, S., Sönmez, L., Korkmaz, Ö. ve Karaca, S. S. (2016). Petrol fiyatlarındaki değişimlerin Türkiye’nin cari işlemler açığına etkileri. Maliye ve Finans Yazıları, 106, 29-48.
  • Hasan, S. ve Mahbobi, M. (2013). The increasing influence of oil prices on the Canadian stock market. The International Journal of Business and Finance Research, 7(3), 27-39.
  • Helliwell, J. F., Sturm, P., Jarrett, P. ve Salou, G. (1986). The supply side in the OECD’s macroeconomic model. OECD Economic Studies, 6, 6–129.
  • Herrera, A. M., ve Pesavento, E. (2009). Oil price shocks, systematic monetary policy, and the “Great Moderation”. Macroeconomic Dynamics, 13(1), 107-137.
  • Hamilton, J. D. (1983). Oil and the macroeconomy since World War II. Journal of Political Economy, 91(2), 228-248.
  • Hammoudeh, S., Dibooglu, S., ve Aleisa, E. (2004). Relationships among US oil prices and oil industry equity indices. International Review of Economics & Finance, 13(4), 427-453.
  • Hatemi-j, A. (2008). Tests for cointegration with two unknown regime shifts with an application to financial market integration. Empirical Economics, 35(3), 497-505.
  • Hong, S. K., Cha, M. K., Choi, Y. S., Kim, W. C., ve Kim, I. H. (2002). Msn2p/Msn4p act as a key transcriptional activator of yeast cytoplasmic thiol peroxidase II. Journal of Biological Chemistry, 277(14), 12109-12117.
  • Huang, R. D., Masulis, R. W., ve Stoll, H. R. (1996). Energy shocks and financial markets. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 16(1), 1-27.
  • Jones, C. M., ve Kaul, G. (1996). Oil and the stock markets. The journal of Finance, 51(2), 463-491.
  • Kapusuzoğlu, A. (2011). Relationships between Oil Price and Stock Market: An Empirical Analysis from Istanbul Stock Exchange (ISE). International Journal of Economics and Finance, 3(6), 99-106.
  • Karhan, G. ve Aydın, H.İ. (2018). Petrol fiyatları, kur ve hisse senedi getirileri üzerine bir araştırma. Akademik Araştırmalar ve Çalışmalar Dergisi, 10(19), 405-413.
  • Kaul, G., veSeyhun, H. N. (1990). Relative price variability, real shocks, and the stock market. The Journal of Finance, 45(2), 479-496.
  • Kilian, L., ve Park, C. (2009). The impact of oil price shocks on the US stock market. International Economic Review, 50(4), 1267-1287.
  • Maki, D. (2012). Tests for cointegration allowing for an unknown number of breaks. Economic Modelling, 29(5), 2011-2015.
  • Mercan, M., ve Yurttançıkmaz, Z. Ç. (2013). Doğrudan yabancı yatırımlar-cari işlemler açığı ilişkisi: Türkiye için ampirik bir analiz. Bankacılar Dergisi,87, 57-78.
  • Miller, J. Isaac, ve Ronald A. Ratti. (2009). Crude oil and stock markets: stability, instability, and bubbles. Energy Economics, 31(4), 559-68.
  • Nazlioglu, S., Gormus, N. A.ve Soytas, U. (2016). Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis. Energy Economics, 60, 168-175.
  • O’Neil, D. A., Margaret M. H., ve Diana B. (2008). Women’s careers at the start of the 21st century: Patterns and Paradoxes. Journal of Business Ethics, 80(4), 727-43.
  • Papapetrou, E. (2001). Oil price shocks, stock market, economic activity and employment in Greece. Energy Economics, 23(5), 511-32.
  • Park, J. ve 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, 21(5), 449-69.
  • Sadorsky, P. (2001). Risk factors in stock returns of Canadian oil and gas companies. Energy Economics, 23(1), 17-28.
  • Sevüktekin, M. ve Çınar, M. (2014). Ekonometrik Zaman Serileri Analizi. Dora Yayıncılık. 4. Baskı. Bursa.
  • Toda, H. Y. ve Yamamoto. T. (1995). Statistical ınference in vector autoregressions with possibly ıntegrated processes. Journal of Econometrics. 66(1-2), 225-50.
  • Ventosa-Santaulària, D. ve Vera-Valdés, J. E. (2008). Granger-causality in the presence of structural breaks. Economics Bulletin, 3(61), 1-14.
  • Wei, Y. ve Xiaoying G. (2017). Oil price shocks and China’s stock market. Energy, 140, 185-97.
  • Zivot, E. ve Andrews, W. K. D. (1992). Further evidence on the great crash, the oilprice shock, and the unit-root hypothesis. Journal of Business&Economic Statistics, 10(3), 251-270.

Petrol Fiyatları ve Borsa Endeks Değeri Arasındaki İlişki : Ortadoğu Ülkeleri Örneği

Year 2019, Volume: 13 Issue: 19, 1620 - 1649, 30.09.2019
https://doi.org/10.26466/opus.598831

Abstract

Bu çalışmanın amacı
petrol fiyatları ile borsa endeks değerleri arasında uzun dönem ve kısa dönem
nedensellik ilişkisinin incelenmesidir. 
Bu kapsamda ham petrol fiyatları ile Türkiye, Suudi Arabistan, Ürdün,
Birleşik Arap Emirlikleri, Bahreyn, Katar ve Kuveyt gibi Ortadoğu ülkelerinin
borsa endekslerine ait veriler kullanılmıştır. Bu çalışmada, Nisan 2004 ile
Mart 2019 yılları arasındaki döneme ilişkin aylık fiyat verileri ele
alınmıştır.  Bu çalışmada, Ortadoğu
ülkelerinin seçilmiş olması bu ülkelerin dünya petrol üretiminin yaklaşık üçte
birini üretmiş olmasıdır. Çalışmada, nedensellik ilişkisinin ortaya konulması
amacıyla, Hatemi J ve Maki eşbütünleşme testleri ve sonrasında ise
Toda-Yamamoto ve Fourier Toda Yamamoto nedensellik testleri yardımı ile analiz
edilmiştir. Çalışmanın sonucunda Suudi Arabistan dışındaki diğer ülkelerin
endekslerinin uzun dönemde petrol fiyatları ile eşbütünleşik ilişkiye sahip
oldukları ve kısa dönemde petrol fiyatlarından BAE, Bahreyn, Katar ve Kuveyt
endekslerine doğru bir nedensellik ilişkisinin var olduğu tespit edilmiştir.
Ayrıca, kısa dönemde BAE ve Kuveyt ülkelerine ait borsa endekslerden, petrol
fiyatlarına doğru bir nedensellik ilişkisinin olduğu belirlenmiştir.

References

  • Abdioğlu, Z. ve Değirmenci, N. (2014). Petrol fiyatları ve hisse senedi fiyatları ilişkisi: Bist sektörel analiz. Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5(8), 1-24.
  • Akinlo, O. O. (2014). Oil price and stock market: Empirical evidence from Nigeria. European Journal of Sustainable Development, 3(2), 33-40.
  • Alagöz, M., Alacahan, N. D. ve Akarsu, Y. (2017). Petrol fiyatlarının makro ekonomi üzerindeki etkisi-ülke karşılaştırmaları ile panel veri analizi. KMÜ Sosyal ve Ekonomik Araştırmalar Dergisi, 19 (33),144-150.
  • Basher, S. A.ve Perry S. (2006). Oil price risk and emerging stock markets. Global Finance Journal, 17(2), 224-51.
  • Bhar, R, ve Biljana, N. (2010). Global oil prices, oil ındustry and equity returns: Russian experience. Scottish Journal of Political Economy, 57(2), 169-86.
  • Blanchard, O. ve Gali J. (2007). Real wage rigidities and the new keynesian model.Journal of money. Credit and Banking, 39, 35-65.
  • Boyer, M. M. and Didier F. (2007). Common and fundamental factors in stock returns of Canadian oil and gas companies, Energy Economics, 29(3), 428-53.
  • Ciftci, D. D. (2018). The twin deficits hypothesis: New evidence from giips accounting for structural shifts in causal linkages. Journal of Management and Economics Research, 16(3), 51-69.
  • Enders, W. ve Jones, P. (2016). Grain prices, oil prices, and multiple smooth breaks in a var. Studies in Nonlinear Dynamics & Econometrics, 20(4), 399-419.
  • Fang, C.R., ve Shih Y.Y. (2014). The impact of oil price shocks on the large emerging countries’ stock prices: Evidence from China, India and Russia. International Review of Economics & Finance, 29, 330-38.
  • Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Journal of the Econometric Society, 37(3), 424-438.
  • Güler, S. ve Nalın, H. T. (2013). Petrol fiyatlarının IMKB endeksleri üzerindeki etkisi. AİBÜ-İİBF Ekonomik ve Sosyal Araştırmalar Dergisi, 9(2),79-97.
  • Güngör, S., Sönmez, L., Korkmaz, Ö. ve Karaca, S. S. (2016). Petrol fiyatlarındaki değişimlerin Türkiye’nin cari işlemler açığına etkileri. Maliye ve Finans Yazıları, 106, 29-48.
  • Hasan, S. ve Mahbobi, M. (2013). The increasing influence of oil prices on the Canadian stock market. The International Journal of Business and Finance Research, 7(3), 27-39.
  • Helliwell, J. F., Sturm, P., Jarrett, P. ve Salou, G. (1986). The supply side in the OECD’s macroeconomic model. OECD Economic Studies, 6, 6–129.
  • Herrera, A. M., ve Pesavento, E. (2009). Oil price shocks, systematic monetary policy, and the “Great Moderation”. Macroeconomic Dynamics, 13(1), 107-137.
  • Hamilton, J. D. (1983). Oil and the macroeconomy since World War II. Journal of Political Economy, 91(2), 228-248.
  • Hammoudeh, S., Dibooglu, S., ve Aleisa, E. (2004). Relationships among US oil prices and oil industry equity indices. International Review of Economics & Finance, 13(4), 427-453.
  • Hatemi-j, A. (2008). Tests for cointegration with two unknown regime shifts with an application to financial market integration. Empirical Economics, 35(3), 497-505.
  • Hong, S. K., Cha, M. K., Choi, Y. S., Kim, W. C., ve Kim, I. H. (2002). Msn2p/Msn4p act as a key transcriptional activator of yeast cytoplasmic thiol peroxidase II. Journal of Biological Chemistry, 277(14), 12109-12117.
  • Huang, R. D., Masulis, R. W., ve Stoll, H. R. (1996). Energy shocks and financial markets. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 16(1), 1-27.
  • Jones, C. M., ve Kaul, G. (1996). Oil and the stock markets. The journal of Finance, 51(2), 463-491.
  • Kapusuzoğlu, A. (2011). Relationships between Oil Price and Stock Market: An Empirical Analysis from Istanbul Stock Exchange (ISE). International Journal of Economics and Finance, 3(6), 99-106.
  • Karhan, G. ve Aydın, H.İ. (2018). Petrol fiyatları, kur ve hisse senedi getirileri üzerine bir araştırma. Akademik Araştırmalar ve Çalışmalar Dergisi, 10(19), 405-413.
  • Kaul, G., veSeyhun, H. N. (1990). Relative price variability, real shocks, and the stock market. The Journal of Finance, 45(2), 479-496.
  • Kilian, L., ve Park, C. (2009). The impact of oil price shocks on the US stock market. International Economic Review, 50(4), 1267-1287.
  • Maki, D. (2012). Tests for cointegration allowing for an unknown number of breaks. Economic Modelling, 29(5), 2011-2015.
  • Mercan, M., ve Yurttançıkmaz, Z. Ç. (2013). Doğrudan yabancı yatırımlar-cari işlemler açığı ilişkisi: Türkiye için ampirik bir analiz. Bankacılar Dergisi,87, 57-78.
  • Miller, J. Isaac, ve Ronald A. Ratti. (2009). Crude oil and stock markets: stability, instability, and bubbles. Energy Economics, 31(4), 559-68.
  • Nazlioglu, S., Gormus, N. A.ve Soytas, U. (2016). Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis. Energy Economics, 60, 168-175.
  • O’Neil, D. A., Margaret M. H., ve Diana B. (2008). Women’s careers at the start of the 21st century: Patterns and Paradoxes. Journal of Business Ethics, 80(4), 727-43.
  • Papapetrou, E. (2001). Oil price shocks, stock market, economic activity and employment in Greece. Energy Economics, 23(5), 511-32.
  • Park, J. ve 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, 21(5), 449-69.
  • Sadorsky, P. (2001). Risk factors in stock returns of Canadian oil and gas companies. Energy Economics, 23(1), 17-28.
  • Sevüktekin, M. ve Çınar, M. (2014). Ekonometrik Zaman Serileri Analizi. Dora Yayıncılık. 4. Baskı. Bursa.
  • Toda, H. Y. ve Yamamoto. T. (1995). Statistical ınference in vector autoregressions with possibly ıntegrated processes. Journal of Econometrics. 66(1-2), 225-50.
  • Ventosa-Santaulària, D. ve Vera-Valdés, J. E. (2008). Granger-causality in the presence of structural breaks. Economics Bulletin, 3(61), 1-14.
  • Wei, Y. ve Xiaoying G. (2017). Oil price shocks and China’s stock market. Energy, 140, 185-97.
  • Zivot, E. ve Andrews, W. K. D. (1992). Further evidence on the great crash, the oilprice shock, and the unit-root hypothesis. Journal of Business&Economic Statistics, 10(3), 251-270.
There are 40 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Erkan Alsu 0000-0001-6102-1786

Publication Date September 30, 2019
Acceptance Date August 29, 2019
Published in Issue Year 2019 Volume: 13 Issue: 19

Cite

APA Alsu, E. (2019). Petrol Fiyatları ve Borsa Endeks Değeri Arasındaki İlişki : Ortadoğu Ülkeleri Örneği. OPUS International Journal of Society Researches, 13(19), 1620-1649. https://doi.org/10.26466/opus.598831