The Causality Relationship Between World Oil Price, Coal Price and Natural Gas Price and BIST Electricity Index, and Volatility Spillover

Yıl 2022, Cilt: 6 Sayı: 1, 1587 - 1603, 31.01.2022

Tuncay Gümüş , Çiğdem Kurt Cihangir

https://doi.org/10.29023/alanyaakademik.887155

Cited By: 4

Öz

This study aims to investigate the effect of changes in world oil, coal and natural gas prices on the return of the unadjusted and market interest rate adjusted BIST electricity index for the period of 17th May, 2010 – 29th May, 2020. The causality relationship between the variables is examined with the Granger Causality test, and the volatility spillover is examined using the GARCH (1,1) ADC and BEKK methods. According to the analysis findings, return of BIST 100 index and changes in world oil and coal prices have a strong volatility spillover effect on the adjusted BIST electricity index return. Conversely, no effect of the changes in world natural gas prices in terms of both causality and volatility spillover has been detected on the BIST electricity index return.

Anahtar Kelimeler

BIST Electricity Index, Oil Price, Coal Price, Natural Gas Price

Dünya Petrol, Kömür ve Doğal Gaz Fiyatları ile BİST Elektrik Endeksi Arasındaki Nedensellik İlişkisi ve Oynaklık Yayılımı

Öz

Bu çalışmanın amacı, dünya petrol, kömür ve doğal gaz fiyatlarındaki değişikliklerin düzeltilmemiş ve piyasa faiz oranına göre düzeltilmiş BIST elektrik endeksinin getirisine etkisinin 17 Mayıs 2010 – 29 Mayıs 2020 dönemi için araştırılmasıdır. Değişkenler arasındaki nedensellik ilişkisi Granger Nedensellik testi ile, oynaklık yayılımı ise GARCH (1,1) ADC ve BEKK yöntemleri ile incelenmiştir. Analiz bulgularına göre, BIST 100 endeksi getirisi ile dünya petrol ve kömür fiyatlarındaki değişikliklerin düzeltilmiş BIST elektrik endeksi getirisi üzerinde güçlü bir oynaklık yayılma etkisi vardır. Buna karşın, dünya doğal gaz fiyatlarındaki değişikliklerin BIST elektrik endeksi getirisi üzerinde gerek nedensellik gerekse oynaklık yayılımı açısından bir etki tespit edilmemiştir.

Anahtar Kelimeler

BİST Elektrik Endeksi, Petrol Fiyatları, Kömür Fiyatları, Doğal Gaz Fiyatları

Kaynakça

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