Energy Price Risk, Financial Stability and Sustainable Development: The Effects of BRENT Shocks on the BIST100 and Sub-Indices

Abstract

This study examines the spillover effects of BRENT crude oil price shocks on the BIST100 and its sub-indices during the period from January 1997 to July 2024. For this purpose, the NP (2010) unit root test and the VECH-GARCH model are employed to examine the stationarity properties of the series and the volatility spillover effects between BRENT crude oil prices and the relevant stock indices. The findings indicate that the effects of BRENT shocks on the indices are statistically significant. The spread coefficients for BIST100 and BISTM are 0.887 and 0.966, respectively. In contrast, a more limited spillover effect has been observed in BISTH and BISTS. On the other hand, permanent shocks originating from BRENT are relatively limited in BIST100 and BISTM. However, findings have been obtained indicating that permanent shocks originating from BRENT are more pronounced in BISTH and especially in BISTS. These results indicate that developing policies to reduce the vulnerability caused by energy price risk on financial markets is important for achieving sustainable development goals.

Keywords

• Energy Price
• Financial Markets
• Oil Price Markets
• BIST100

Enerji Fiyat Riski, Finansal İstikrar ve Sürdürülebilir Kalkınma: BRENT Şoklarının BIST100 ve Alt Endeksleri Üzerindeki Etkileri

Abstract

Bu çalışma, Ocak 1997 ile Temmuz 2024 arasındaki dönemde BRENT ham petrol fiyat şoklarının BIST100 ve alt endeksleri üzerindeki yayılma etkilerini incelemektedir. Bu amaçla, serilerin durağanlık özelliklerini ve BRENT ham petrol fiyatları ile ilgili hisse senedi endeksleri arasındaki oynaklık yayılma etkilerini incelemek üzere NP (2010) birim kök testi ve VECH-GARCH modeli kullanılmıştır. Bulgular, BRENT şoklarının endeksler üzerindeki etkilerinin istatistiksel olarak anlamlı olduğunu göstermektedir. BIST100 ve BISTM için yayılma katsayıları sırasıyla 0.887 ve 0.966'dır. Buna karşın, BISTH ve BISTS'de daha sınırlı bir yayılma etkisi gözlemlenmiştir. Öte yandan, BRENT kaynaklı kalıcı şoklar BIST100 ve BISTM'de nispeten sınırlıdır. Ancak, BRENT kaynaklı kalıcı şokların BISTH'de ve özellikle BISTS'de daha belirgin olduğuna işaret eden bulgular elde edilmiştir. Bu sonuçlar, finansal piyasalarda enerji fiyat riskinin neden olduğu kırılganlığı azaltmaya yönelik politikalar geliştirmenin, sürdürülebilir kalkınma hedeflerine ulaşmak için önemli olduğunu göstermektedir.

Keywords

• Enerji Fiyatları
• Finansal Piyasalar
• Petrol Fiyat Şokları
• BIST100

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