Petrol Fiyatlarındaki Dalgalanmaların Hisse Senedi Fiyatlarına Etkisi: Havayolu Şirketleri Örneği

Year 2024, , 225 - 243, 30.04.2024

Nuray Yuzbaşıoğlu

https://doi.org/10.29249/selcuksbmyd.1423329

Abstract

Bu çalışmada ham petrol fiyatlarındaki dalgalanmaların havayolu şirketlerinin hisse senedi fiyatları üzerindeki etkisinin belirlenmesi amaçlanmaktadır. Çalışmaya konu olan Türkiye ve Avrupa'da faaliyet gösteren bazı havayolu şirketlerine (Türk Havayolları, Air France, Swiss International Air Lines, Lufthansa, KLM Royal Dutch Airlines, Finnair, Aegean Airlines, Yunanistan ) ait hisse senedi verileri “investing.com” veri tabanından, ham petrol fiyatları ise “OECD i Library” veri tabanından temin edilmiştir. 2012-2022 dönemine ait veriler, zaman serisi analizi yöntemiyle ARDL modeli kullanılarak incelenmiştir. Çalışmada ADF (Augmentend Dickey-Fuller) birim kök testi, ARDL Sınır testi, uzun dönem denge modeli testi, hata düzeltme modeli testi uygulanmıştır. Elde edilen bulgular, ham petrol fiyatlarındaki dalgalanmaların çalışmada analiz edilen havayolu şirketlerinin hisse senetleri fiyatları üzerinde istatistiksel olarak eşbütünleşme ilişkisi bulunduğunu göstermiştir. Dolayısıyla ham petrol fiyatlarındaki dalgalanmaların Türkiye ve analize konu olan bazı Avrupa havayolu şirketlerinin hisse senetleri fiyatları üzerinde bir etki yarattığı sonucuna varılmıştır. Bu sonuçlar, hem yatırımcılar hem de finansal uzmanların havayolu şirketlerinin hisse senedi fiyatları üzerindeki riskleri ve etkileri daha iyi anlayabilmelerine ve gelecekteki kararlarını daha iyi şekillendirmelerine katkı sağlayacaktır.

Keywords

Ham Petrol Fiyatları, Hisse Senetleri, Havayolu Şirketleri, Getiri, Panel Veri Analizi

The Impact of Oil Price Fluctuations on Stock Prices: An Example of Airline Companies

Abstract

In this study, the aim is to determine the impact of fluctuations in crude oil prices on the stock prices of airline companies. The stock data of some airline companies operating in Turkey and Europe (Turkish Airlines, Air France, Swiss International Air Lines, Lufthansa, KLM Royal Dutch Airlines, Finnair, Aegean Airlines, Greece) were obtained from the "investing.com" database, while crude oil prices were obtained from the "OECD i Library" database. Data for the period 2012-2022 were analyzed using the time series analysis method with the ARDL model. Augmented Dickey-Fuller (ADF) unit root test, ARDL Bounds test, long-run equilibrium model test, and error correction model test were applied to forecast the results. The findings indicate a statistically significant cointegration relationship between fluctuations in crude oil prices and the stock prices of the analyzed airline companies. Therefore, based on the forecast results, it has been concluded that fluctuations in crude oil prices have an impact on the stock prices of some European airline companies analyzed, as well as those in Turkey. These results will contribute to both investors and financial experts in better understanding the risks and effects on airline stock prices, thus enabling them to shape their future decisions more effectively

Keywords

Crude Oil Prices,, Stocks, Airlines, Return, Time Series Analysis

References

• Adams, Z., & Gerner, M. (2012). Cross hedging jet-fuel price exposure. Energy Economics, 34(5), 1301-1309.
• Aggarwal, R., Akhigbe, A., & Mohanty, S. K. (2012). Oil price shocks and transportation firm asset prices. Energy Economics, 34(5), 1370-1379.
• Akgül, I. (1994). Zaman serisi analizi ve öngörü modelleri. Öneri Dergisi, 1(1), 52-69.
• Alsalman, Z. (2016). Oil price uncertainty and the US stock market analysis based on a GARCH-in-mean VAR model. Energy Economics, 59, 251-260.
• Bahmani-Oskooee, M., & Ng, R. C. W. (2002). Long-run demand for money in Hong Kong: an application of the ARDL model. International journal of business and economics, 1(2), 147.
• Basher, S. A., & Sadorsky, P. (2006). Oil price risk and emerging stock markets. Global finance journal, 17(2), 224-251.
• Berghöfer, B., & Lucey, B. (2014). Fuel hedging, operational hedging and risk exposure—Evidence from the global airline industry. International Review of Financial Analysis, 34, 124-139.
• Carter, D. A., Rogers, D. A., & Simkins, B. J. (2006). Does hedging affect firm value? Evidence from the US airline industry. Financial management, 35(1), 53-86.
• Degiannakis, S., Filis, G., & Arora, V. (2018). Oil prices and stock markets: A review of the theory and empirical evidence. The Energy Journal, 39(5).
• Demiralay, S., & Kilincarslan, E. (2019). The impact of geopolitical risks on travel and leisure stocks. Tourism Management, 75, 460-476.
• Ding, Z., Liu, Z., Zhang, Y., & Long, R. (2017). The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment. Applied energy, 187, 27-36.
• Gaudenzi, B., & Bucciol, A. (2016). Jet fuel price variations and market value: a focus on low-cost and regular airline companies. Journal of Business Economics and Management, 17(6), 977-991.
• Horobet, A., Zlatea, M. L. E., Belascu, L., & Dumitrescu, D. G. (2022). Oil price volatility and airlines’ stock returns: evidence from the global aviation industry. Journal of Business Economics and Management, 23(2), 284-304.
• Huang, B. N., Hwang, M. J., & Peng, H. P. (2005). The asymmetry of the impact of oil price shocks on economic activities: an application of the multivariate threshold model. Energy Economics, 27(3), 455-476.
• 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. The journal of Finance, 51(2), 463-491.
• Kang, W., Gracia, F. P., & Ratti, R. A. (2021). Economic Uncertainty, Oil Prices, Hedging and US Stock Returns of the Airline Industry, The North American Journal of Economics and Finance, 57, 101-129.
• Killins, R. N. (2020). The Impact of Oil on Equity Returns of Canadian and US Railways and Airlines, The North American Journal of Economics and Finance, 52, 101-128.
• Kristjanpoller, W. D., & Concha, D. (2016). Impact of Fuel Price Fluctuations on Airline Stock Returns, Applied Energy, 178, 496-504.
• Lu, J. R., & Chen, C. C. (2010). Effect of Oil Price Risk on Systematic Risk From Transportation Services Industry Evidence, The Service Industries Journal, 30(11), 1853-1870.
• Merkert, R., & Swidan, H. (2019). Flying with (out) a safety net: Financial hedging in the airline industry. Transportation Research Part E: Logistics and Transportation Review, 127, 206-219.
• Miller, J. I., & Ratti, R. A. (2009). Crude oil and stock markets: Stability, instability, and bubbles. Energy economics, 31(4), 559-568.
• Mohanty, S., Nandha, M., Habis, E., & Juhabi, E. (2014). Oil price risk exposure: The case of the US travel and leisure industry. Energy Economics, 41, 117-124.
• Mollick, A. V., & Amin, M. R. (2021). Occupancy, oil prices, and stock returns: Evidence from the US airline industry. Journal of Air Transport Management, 91, 102-115.
• OECD Stat. https://stats.oecd.org/viewhtml.aspx?datasetcode=OIWORLD&lang=en
• Morrell, P., & Swan, W. (2006). Airline jet fuel hedging: Theory and practice. Transport Reviews, 26(6), 713-730.
• Nandha, M., & Brooks, R. (2009). Oil prices and transport sector returns: an international analysis. Review of Quantitative Finance and Accounting, 33, 393-409.
• Shaeri, K., Adaoglu, C., & Katircioglu, S. T. (2016). Oil price risk exposure: A comparison of financial and non-financial subsectors. Energy, 109, 712-723.
• Treanor, S. D., Rogers, D. A., Carter, D. A., & Simkins, B. J. (2014). Exposure, hedging, and value: New evidence from the US airline industry. International Review of Financial Analysis, 34, 200-211.
• Turner, P. A., & Lim, S. H. (2015). Hedging jet fuel price risk: The case of US passenger airlines. Journal of Air Transport Management, 44, 54-64.
• Tuyon, J., Felix, S. B., Matahir, H., & Ghazali, M. F. (2023). Hedging the Oil Price Risk Factor on Airline Stock Returns in the Asia-Pacific: A Test of Effective Hedging Instruments. Australasian Accounting, Business and Finance Journal, 17(2), 122-146.
• Yun, X., & Yoon, S. M. (2019). Impact of oil price change on airline's stock price and volatility:
• Evidence from China and South Korea. Energy Economics, 78, 668-679.
• Zou, L., Yu, C., & Dresner, M. (2015). Fleet standardisation and airline performance. Journal of Transport Economics and Policy (JTEP), 49(1), 149-166.