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Analysis of the Asymmetrical Effect of Oil Prices on Service Sector Stock Prices in Turkey

Yıl 2021, Cilt: 35 Sayı: 2, 649 - 665, 18.04.2021
https://doi.org/10.16951/atauniiibd.833449

Öz

In this paper, the asymmetric volatility spillover effect of oil prices on the Turkish service sectors’ stock prices is investigated. For this purpose, a bivariate VAR-EGARCH model is employed for the daily return data. Results indicate that there is asymmetric volatility spillover from oil returns to all service sub-sectors except for the construction sector. These results confirm that the negative oil price shocks affect the service sector more than positive shocks. According to the results, the sector with the greatest asymmetric effect is the tourism sector, while the sector with the smallest was the service sector.

Kaynakça

  • AROURI, M. E. H., ve NGUYEN, D. K. (2010). Oil prices, stock markets and portfolio investment: evidence from sector analysis in Europe over the last decade. Energy Policy, 38.8, 4528-4539.
  • BOLLERSLEV, T., ve WOOLDRIDGE, J. M. (1992). Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Econometric Reviews, 11.2, 143-172.
  • CHATZIANTONIOU, I. vd. (2013), "Oil prices, tourism income and economic growth: A structural VAR approach for European Mediterranean countries.", Tourism Management, 36, 331-341.
  • CHEN, N., RICHARD, R., ve STEPHEN, A. R. (1986). Economic forces and the stock market. Journal of Business, 59.3, 383-403.
  • DAVIDSON, R., ve MACKINNON, J. G. (2004), Econometric Theory and Methods, 1. Baskı, New York: Oxford University Press.
  • GENCER, H. G., ve DEMİRALAY, S. (2014). Shock and Volatility Spillovers between Oil Prices and Turkish Sectors Returns. International Journal of Economics and Finance, 6.2, 174-180.
  • HAMILTON, J. D. (1994). Time Series Analysis, (1. Title). New Jersey: Princeton University Press, (Chapter 21). http://virtualpanic.com/anonymousftplistings/ebooks/ECONOMICS/Time-Series%20Analysis%20By%20Hamilton%20(Econometrics).pdf Accessed 25 January 2016.
  • HENRIQUES, I., & SADORSKY, P. (2008). Oil prices and the stock prices of alternative energy companies. Energy Economics, 30.3, 998-1010.
  • KANAS, A. (1998). Volatility spillovers across equity markets: European evidence. Applied Financial Economics, 8, 245-256.
  • KANG, W. vd. (2015), "The impact of oil price shocks on the stock market return and volatility relationship.", Journal of International Financial Markets, Institutions and Money, 34, 41-54.
  • Kamuyu Aydınlatma Platformu (KAP), https://www.kap.org.tr/tr/Endeksler (30.10.2018).
  • KOUTMOS, G., ve BOOTH, G. G. (1995). Asymmetric volatility transmission in international stock markets. Journal of International Money and Finance, 14.6, 747-762.
  • LINN, J. (2009). Why do oil shocks matter? The importance of interindustry linkages in US manufacturing. Economic Inquiry, 47.3, 549-567.
  • MACKINNON, J. G. (1990). Critical Values for Cointegration Tests. Quenn’s Economics Department Working Paper, 1227, 1-17.
  • NANDHA, M., ve BROOKS, R. (2009), "Oil prices and transport sector returns: an international analysis.", Review of Quantitative Finance and Accounting, 33 (4), 393-409.
  • NAZLIOĞLU, Ş. vd. (2012), “Volatility Spillover Between Oil and Agricultural Commodity Markets”, Energy Economics, 36, 658-665.
  • NELSON, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59.2, 347-370.
  • NEWEY, W. K., ve WEST, K. D. (1994). Automatic Lag Selection in Covariance Matrix Estimation. Review of Economic Studies, 61, 631-653.
  • ÖZTÜRK, M. B. vd. (2013), "Petrol ve Doğalgaz Fiyatları ile İmalat ve Kimya-Petrol-Plastik Sektörlerinin Endeksleri arasındaki İlişki.", Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 6 (2), 64-74.
  • PHILLIPS, P., ve PERRON, P. (1988). Testing for a Unit Root in Time Series Regressions. Biometrika, 75.2, 335-346.
  • SADORSKY, P. (1999). Oil price shocks and stock market activity. Energy Economics, 21.5, 449-469.
  • SATTARY, A., TEMURLENK, M. S., BİLGİÇ, A. ve ÇELİK, A. K. (2014). Volatility Spillovers between World Oil Market and Sectors of BIST. Asian Social Science, 10.8, 156-164.
  • SCHMITZ, A. (2009). Effect of Oil Prices on Returns to Alternative Energy Investments, Master Thesis, Georgia Institute of Technology. https://smartech.gatech.edu/bitstream/handle/1853/31843/schmitz_anthony_e_200912_mast.pdf Accessed 26 March 2017.
  • SEYİDOĞLU, H. (2011). İktisat Biliminin Temelleri. (2nd edition). İstanbul: Kurtiş, (Chapter 24).
  • YANG, S. Y., ve DOONG, S. C. (2004). Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries. International Journal of Business and Economics, 3.2, 139-153.
  • ZORTUK, M., ve BAYRAK, S. (2016), “Ham Petrol Fiyat Şokları - Hisse Senedi Piyasası İlişkisi: ARDL Eşik Değerli Ko-entegrasyon Testi”, Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 11 (1), 7-22.

Petrol Fiyatlarının Türkiye’deki Hizmet Sektörü Hisse Senedi Fiyatları Üzerine Asimetrik Etkisinin Analizi

Yıl 2021, Cilt: 35 Sayı: 2, 649 - 665, 18.04.2021
https://doi.org/10.16951/atauniiibd.833449

Öz

Petrol, fiyatındaki dalgalanmanın en çok takip edildiği emtia olarak günümüzde önemli bir yere sahiptir. Arz ve talebi bakımından reel ekonomi üzerine etkisinin yanı sıra finansal piyasalar üzerine etkisi de sıkça incelenen bir konu olagelmiştir. Bu bağlamda petrol fiyatlarındaki değişimin BİST 100 endeksi içerisinde yer alan hizmet sektörü ve alt sektörleri üzerine asimetrik etkisi olup olmadığı oynaklık yayılımı kapsamında incelenmiş ve derlenen günlük getiri serisine iki değişkenli VAR-EGARCH modeli uygulanmıştır. Bulgular, petrol fiyatlarından hizmet sektörü hisse senedi fiyatlarına doğru asimetrik oynaklık geçişkenliği olduğunu işaret etmektedir. Bununla beraber petrol fiyatlarından inşaat sektörü hariç hizmet sektörüne ait bütün alt sektörlere de asimetrik oynaklık geçişkenliği olduğu tespit edilmiştir. Bir başka ifade ile petrol fiyatlarında yaşanan negatif şokların sözü edilen sektörler üzerine etkisi pozitif şoklardan fazladır. Elde edilen sonuçlara göre asimetrik etkinin boyutunun en büyük olduğu sektör turizm sektörü iken en küçük olduğu sektör ise hizmet sektörü olmuştur.

Kaynakça

  • AROURI, M. E. H., ve NGUYEN, D. K. (2010). Oil prices, stock markets and portfolio investment: evidence from sector analysis in Europe over the last decade. Energy Policy, 38.8, 4528-4539.
  • BOLLERSLEV, T., ve WOOLDRIDGE, J. M. (1992). Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Econometric Reviews, 11.2, 143-172.
  • CHATZIANTONIOU, I. vd. (2013), "Oil prices, tourism income and economic growth: A structural VAR approach for European Mediterranean countries.", Tourism Management, 36, 331-341.
  • CHEN, N., RICHARD, R., ve STEPHEN, A. R. (1986). Economic forces and the stock market. Journal of Business, 59.3, 383-403.
  • DAVIDSON, R., ve MACKINNON, J. G. (2004), Econometric Theory and Methods, 1. Baskı, New York: Oxford University Press.
  • GENCER, H. G., ve DEMİRALAY, S. (2014). Shock and Volatility Spillovers between Oil Prices and Turkish Sectors Returns. International Journal of Economics and Finance, 6.2, 174-180.
  • HAMILTON, J. D. (1994). Time Series Analysis, (1. Title). New Jersey: Princeton University Press, (Chapter 21). http://virtualpanic.com/anonymousftplistings/ebooks/ECONOMICS/Time-Series%20Analysis%20By%20Hamilton%20(Econometrics).pdf Accessed 25 January 2016.
  • HENRIQUES, I., & SADORSKY, P. (2008). Oil prices and the stock prices of alternative energy companies. Energy Economics, 30.3, 998-1010.
  • KANAS, A. (1998). Volatility spillovers across equity markets: European evidence. Applied Financial Economics, 8, 245-256.
  • KANG, W. vd. (2015), "The impact of oil price shocks on the stock market return and volatility relationship.", Journal of International Financial Markets, Institutions and Money, 34, 41-54.
  • Kamuyu Aydınlatma Platformu (KAP), https://www.kap.org.tr/tr/Endeksler (30.10.2018).
  • KOUTMOS, G., ve BOOTH, G. G. (1995). Asymmetric volatility transmission in international stock markets. Journal of International Money and Finance, 14.6, 747-762.
  • LINN, J. (2009). Why do oil shocks matter? The importance of interindustry linkages in US manufacturing. Economic Inquiry, 47.3, 549-567.
  • MACKINNON, J. G. (1990). Critical Values for Cointegration Tests. Quenn’s Economics Department Working Paper, 1227, 1-17.
  • NANDHA, M., ve BROOKS, R. (2009), "Oil prices and transport sector returns: an international analysis.", Review of Quantitative Finance and Accounting, 33 (4), 393-409.
  • NAZLIOĞLU, Ş. vd. (2012), “Volatility Spillover Between Oil and Agricultural Commodity Markets”, Energy Economics, 36, 658-665.
  • NELSON, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59.2, 347-370.
  • NEWEY, W. K., ve WEST, K. D. (1994). Automatic Lag Selection in Covariance Matrix Estimation. Review of Economic Studies, 61, 631-653.
  • ÖZTÜRK, M. B. vd. (2013), "Petrol ve Doğalgaz Fiyatları ile İmalat ve Kimya-Petrol-Plastik Sektörlerinin Endeksleri arasındaki İlişki.", Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 6 (2), 64-74.
  • PHILLIPS, P., ve PERRON, P. (1988). Testing for a Unit Root in Time Series Regressions. Biometrika, 75.2, 335-346.
  • SADORSKY, P. (1999). Oil price shocks and stock market activity. Energy Economics, 21.5, 449-469.
  • SATTARY, A., TEMURLENK, M. S., BİLGİÇ, A. ve ÇELİK, A. K. (2014). Volatility Spillovers between World Oil Market and Sectors of BIST. Asian Social Science, 10.8, 156-164.
  • SCHMITZ, A. (2009). Effect of Oil Prices on Returns to Alternative Energy Investments, Master Thesis, Georgia Institute of Technology. https://smartech.gatech.edu/bitstream/handle/1853/31843/schmitz_anthony_e_200912_mast.pdf Accessed 26 March 2017.
  • SEYİDOĞLU, H. (2011). İktisat Biliminin Temelleri. (2nd edition). İstanbul: Kurtiş, (Chapter 24).
  • YANG, S. Y., ve DOONG, S. C. (2004). Price and Volatility Spillovers between Stock Prices and Exchange Rates: Empirical Evidence from the G-7 Countries. International Journal of Business and Economics, 3.2, 139-153.
  • ZORTUK, M., ve BAYRAK, S. (2016), “Ham Petrol Fiyat Şokları - Hisse Senedi Piyasası İlişkisi: ARDL Eşik Değerli Ko-entegrasyon Testi”, Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 11 (1), 7-22.
Toplam 26 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Samet Tüzemen 0000-0003-1465-4489

Yayımlanma Tarihi 18 Nisan 2021
Yayımlandığı Sayı Yıl 2021 Cilt: 35 Sayı: 2

Kaynak Göster

APA Tüzemen, S. (2021). Petrol Fiyatlarının Türkiye’deki Hizmet Sektörü Hisse Senedi Fiyatları Üzerine Asimetrik Etkisinin Analizi. Atatürk Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 35(2), 649-665. https://doi.org/10.16951/atauniiibd.833449

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