Asymmetric Effects of Global Financial, Oil, and Currency Shocks on the Petrochemical Sector: A NARDL Approach with Turkish Evidence

Abstract

This study analyzes the asymmetric effects of global financial stress, exchange rate volatility, and energy market uncertainty on the Turkish stock market during the period 2010-2025. Specifically, the Chicago Board Options Exchange (CBOE) Volatility Index (VIX) is used as an indicator of financial stress, the CBOE Crude Oil Volatility Index (OVX) as an indicator of oil market uncertainty, and the U.S. Dollar Index (DXY) as an indicator of exchange rate pressure. The study distinguishes itself from the existing literature by focusing on the BIST Chemical, Petroleum, and Plastic Index (XKMYA) through a Nonlinear Autoregressive Distributed Lag (NARDL) framework. To account for structural changes, dummy variables representing significant political and economic events have been included in the model. The findings reveal that negative shocks in the DXY index create a significant and asymmetric long-term impact on the XKMYA. Furthermore, while the lagged negative values of the OVX index show significance, the VIX index and the COVID-19 dummy variable do not yield statistically significant results. This information provides important insights for policymakers and investors in developing sector-specific risk management strategies.

Keywords

• Financial Stress
• Asymmetric Impact
• Oil Volatility
• Global Uncertainty
• BIST
• Nonlinear Delayed Distributed Autoregressive Model (NARDL)

Küresel Finansal, Petrol ve Döviz Şoklarının Petrokimya Sektörüne Asimetrik Etkileri: Türkiye Verileriyle NARDL Yaklaşımı

Öz

Bu çalışma, 2010-2025 dönemini kapsayan küresel finansal stres, döviz kuru oynaklığı ve enerji piyasası belirsizliğinin Türk hisse senedi piyasası üzerindeki asimetrik etkilerini analiz etmektedir. Özellikle, Chicago Board Options Exchange (CBOE) Volatilite Endeksi (VIX) finansal stresin, CBOE Ham Petrol Volatilite Endeksi (OVX) petrol piyasası belirsizliğinin ve ABD Doları Endeksi (DXY) döviz kuru baskısının bir göstergesi olarak kullanılmaktadır. Çalışma, Doğrusal Olmayan Otoregresif Dağıtılmış Gecikme (NARDL) çerçevesi aracılığıyla BIST Kimya, Petrol ve Plastik Endeksi'ne (XKMYA) odaklanarak mevcut literatürden ayrılmaktadır. Yapısal değişimleri hesaba katmak için, önemli siyasi ve ekonomik olayları temsil eden kukla değişkenler modele dahil edilmiştir. Bulgular, DXY endeksindeki olumsuz şokların XKMYA üzerinde önemli ve asimetrik bir uzun vadeli etki yarattığını ortaya koymaktadır. Ayrıca, OVX endeksinin gecikmeli negatif değerleri anlamlılık gösterirken, VIX endeksi ve COVID-19 kukla değişkeni istatistiksel olarak anlamlı sonuçlar vermemektedir. Bu bilgiler, politika yapıcılar ve yatırımcılar için sektör özelinde risk yönetimi stratejileri geliştirme konusunda önemli çıkarımlar sunmaktadır.

Anahtar Kelimeler

• Finansal Stres
• Asimetrik Etki
• Petrol Volatilitesi
• Küresel Belirsizlik
• BİST
• Doğrusal Olmayan Gecikmesi Dağıtılmış Otoregresif Model (NARDL)

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