DO NEGATIVE OIL PRICE SHOCKS AFFECT THE INDUSTRIAL SECTOR STOCK PRICES MORE THAN POSITIVE SHOCKS? A BIVARIATE EGARCH ANALYSIS FOR TURKEY.

Öz

This paper investigates the asymmetric volatility spillover from oil prices to Turkish industrial main and sub-sectors’ stock prices and Borsa Istanbul 100 index (BIST 100) as a whole. A bivariate VAR-EGARCH model is employed to the daily return data cover the period between August 03, 2009 and June 30, 2016. Results show that there are asymmetric volatility spillovers from oil returns to all of the industrial sector returns as well as the BIST 100 index returns except mining sector. These findings imply that the negative shocks in the oil returns affect the industrial sector returns more than positive shocks. 

Anahtar Kelimeler

• Oil prices,Turkish industry sector,Asymmetric volatility spillover

NEGATİF PETROL FİYAT ŞOKLARININ SANAYİ SEKTÖRÜ ÜZERİNE ETKİSİ POZİTİF FİYAT ŞOKLARINDAN FAZLA MIDIR? TÜRKİYE ÜZERİNE İKİ DEĞİŞKENLİ EGARCH ANALİZİ.

Öz

    Petrol dünyada en çok takip edilen emtia olma özelliğine sahiptir. Gerek arz ve talebi gerekse bunun sonucu olarak fiyatları bakımından petrol yalnızca makroekonomik göstergeler üzerinde değil aynı zamanda finansal piyasalar üzerinde de etkin bir rol oynayan bir değişkendir. Bu çalışmada da petrol fiyatlarından Türkiye’deki toplam ve alt sektörler bazında Borsa İstanbul’da işlem gören sanayi sektörüne ait hisse senedi fiyatlarına doğru asimetrik oynaklık yayılımının olup olmadığı incelenmiştir. Bu bağlamda, 03.08.2009-30.07.2016 tarihleri arasında günlük olarak derlenen ve getiri serisi haline dönüştürülen veri setine iki değişkenli VAR-EGARCH modeli uygulanmıştır. Elde edilen sonuçlara göre, petrolden madencilik sektörü hariç tüm sektörlere ve BİST 100 endeksine doğru asimetrik bir oynaklık yayılımı vardır. Buna göre petrol fiyatlarında meydana gelen negatif oynaklıkların hisse senetleri üzerinde pozitif olanlara göre daha fazla etkisi olduğu söylenebilir.

Anahtar Kelimeler

• Petrol fiyatları,Türk sanayi sektörü,Asimetrik oynaklık yayılımı

Kaynakça

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