The Effect of Oil Prices on Return of Shares and Revenue on Equity: The Example of XKMYA

Year 2021, Volume: 28 Issue: 3, 617 - 629, 27.09.2021

Toprak Ferdi Karakuş , Seda Turnacıgil , Ecem Özhan

https://doi.org/10.18657/yonveek.836955

Abstract

Oil which is used as a production input, plays an important role in the economy of the country, as well as taking place in the financial markets in the economy. In economies where oil is used as an input, costs and cash flows of companies change as a result of oil price changes and thus the profitability of companies can be affected. In this context, oil has the power to affect financial markets. In this study, the causality relationship between the equity profitability (revenue on equity – ROE), stock returns and crude oil prices (Western Texas Intermediate-WTI) of companies operating in the petrochemical industry (XKMYA) in Borsa Istanbul (BIST) is examined. In the study, quarterly stock returns and ROE data of 16 companies traded in XKMYA index between 2010 and 2019 are used as dependent variables and crude oil barrel price is used as independent variable. According to the research findings, oil prices have a 5% significance level effect on the stock returns of companies in the XKMYA index. In addition, a significant and positive relationship was found between oil prices and companies' ROE values. In addition; while the effect of oil prices on stock returns was positive after the first lag according to the research findings, a significant and positive relationship was found between oil prices and ROE values of companies in the 3rd and 4th lag periods.
Key Words: Borsa Istanbul (BIST), Petrochemical Industry, Crude Oil Price, Return on Equity (ROE)
JEL Classification: G11, G12

Keywords

Borsa Istanbul (BIST), Petrochemical Industry, Crude Oil Price, Crude Oil Price, Return on Equity (ROE)

Petrol Fiyatlarının Hisse Senedi Getirisi ve Özsermaye Karlılığı Üzerine Etkisi: XKMYA Örneği

Abstract

Ekonomide finansal piyasalarda yer almasının yanı sıra üretim girdisi olarak kullanılan petrol, ülke ekonomilerinde önemli rol oynamaktadır. Petrolün girdi olarak yer aldığı ekonomilerde, petrol fiyatı değişiklikleri sonucunda şirketlerin maliyetleri ve nakit akışları değişmekte ve dolayısıyla şirketlerin karlılıkları etkilenebilmektedir. Bu bağlamda petrol, finansal piyasaları etkileyebilme gücüne sahiptir. Bu çalışmada, Borsa İstanbul’da (BIST) petrokimya endüstrisinde (XKMYA) faaliyet gösteren şirketlerin özsermaye karlılıkları (Revenue on Equity – ROE), hisse getirileri ve ham petrol fiyatları arasındaki nedensellik ilişkisi incelenmiştir. Çalışmada bağımlı değişken olarak XKMYA endeksinde işlem gören 16 adet şirketin 2010-2019 yılları arasındaki çeyrek dönemlik hisse senedi getirisi ve ROE verileri, bağımsız değişken olarak ise ham petrol varil fiyatı (WTI) kullanılmıştır. Araştırma bulgularına göre, petrol fiyatlarının XKMYA endeksinde yer alan şirketlerin hisse senedi getirilerine %5 anlamlılık düzeyinde etkisi bulunmuştur. Ayrıca petrol fiyatları ile şirketlerin ROE değerleri arasında anlamlı ve pozitif bir ilişki saptanmıştır. Ek olarak; petrol fiyatlarının hisse senedi getirilerine etkisi birinci gecikmeden sonra pozitif olurken araştırma bulgularına göre petrol fiyatları ile şirketlerin ROE değerleri arasında 3. ve 4. gecikme dönemlerinde anlamlı ve pozitif bir ilişki bulunmuştur.
Anahtar Kelimeler: Borsa İstanbul (BİST), Petrokimya Endüstrisi, Ham Petrol Fiyatı, Özsermaye Karlılığı (ROE)
JEL Sınıflandırması: G11, G12

Keywords

Borsa İstanbul, Petrokimya Endüstrisi, Ham Petrol Fiyatı, Özsermaye Karlılığı

References

• Alper, D., Aydoğan, E., Özkan, N. ve Kara, E. (2016). Petrol Fiyatlarının Firma Karlılığına Etkisi: Borsa İstanbul’da Bir Uygulama. Muhasebe ve Finansman Dergisi, (72): 151-162.
• Alui, C., Jammazi, R. (2012). Crude Oil Price Forecasting: Experimental Evidence From Wavelet Decomposition and Neural Network Modeling. Energy Economics, 34(3): 828-841.
• Basher, S., Sadorsky, P. (2006). Oil Price Risk and Emerging Stock Markets. Global Finance Journal, 17(2): 224-251.
• Bernanke, B. (2017). Monetary Policy in a New Era. Brookings Institution.
• Campbell, R. H. (1995), “The Risk Exposure of Emerging Equity Markets”, WorldBank Economic Review, 9(1), 19-50.
• Chen, F., Roll, R., Ross, S. (1986). Economic Forces and the Stock Market. Journal of Business, (59): 383–403.
• Dayanandan, A., Donker, H. (2011). Oil Prices and Accounting Profits of Oil and Gas Companies. International Review of Financial Analysis, 20(5), 252-257.
• Doğukanlı, H. (2018). Portföy Yönetimi. Karahan Kitabevi, Adana, Birinci Baskı.
• Faff, R., Brailsford, T. (1999). Oil Price Risk and the Australian Stock Market. Journal of Energy Finance & Development, 4(1): 69-87.
• Güriş, S. (2015). Stata ile Panel Veri Modelleri. Der Yayınevi.
• Henriquesi I., Sadorsky, P. (2008). Oil Prices and the Stock Prices Of Alternative Energy Companies. Energy Economics, 30(3): 998-1010.
• Huang, R., Masulis, R. ve Stoll, H. (1996). Energy Shocks and Financial Markets. Journal of Futures Markets, 16(1): 1-27.
• İşcan, E. (2010). Petrol Fiyatının Hisse Senedi Piyasası Üzerindeki Etkisi. Maliye Dergisi, (158): 607-617.
• Jones, C., Kaul, G. (1996). Oil and the Stock Markets. The Journal of Finance, 51(2): 463-491.
• Jungwook, P., Ronald, R. (2008). Oil Price Shocks and Stock Markets in the U.S. and 13 European Countries. Energy Economics, 30(5), 2587-2608.
• Kaneko T, Lee BS (1995). Relative Importance of Economic Factors in the U.S. and Japanese Stock Markets. Journal of the Japanese and International Economies, 9(3): 290-307.
• Lardic, S., Mignon, L. (2006). The Impact of Oil Prices on GDP-in European Countries: an Empirical Investigation Based on Asymmetric Cointegration. Energy Policy, 34(18): 3910-3915.
• Love, I., Zicchino, L. (2006). Financial Development and Dynamic Investment Behavior: Evidence From Panel VAR. The Quarterly Review of Economics and Finance, 46(2): 190-210.
• Magazzino, C. (2014). A Panel VAR Approach of The Relationship Among Economic Growth, CO2 Emissions, and Energy Use in the ASEAN-6 Countries. International Journal of Energy Economics and Policy, 546-553.
• Narayan, P., Sharma, S. (2011). New Evidence on Oil Price and Firm Returns. Journal of Banking & Finance, 35(12), 3253-3262.
• Ousseini, A. M., Hu, X., & Aboubacar, B. (2017). WAEMU trade and current account balance deficit analysis: a panel VAR approach. Theoretical Economics Letters, 7(4), 834-861.
• Sadorsky, P. (1999). Oil Price Shocks and Stock Market Activity. Energy Economics, 21(5): 449-469.
• Shao, L., Zhang, L. ve Yu, X. (2017). Empirical Study of Dynamic Chinese Corporate Governance Based on Chinese-Listed Firms with a Panel VAR Approach. International Journal of Industrial Distribution & Business,5-13.
• https://www.investaz.com.tr, Erişim Tarihi: 24.11.2020