PETROL FİYATLARI, ALTIN FİYATLARI VE HİSSE SENEDİ GETİRİSİ İLİŞKİSİ

Yıl 2016, 2016 Özel Sayı, 13 - 26, 01.12.2016

Hasan Ayaydın Abdulkadir Barut

Öz

Bu çalışmanın amacı, 1997M1-2016M5 döneminde petrol fiyatları ve altın fiyatlarının hisse senedi getirisine etkisinin incelenmesidir. Çalışmada Johansen-Juselius Eş Bütünleşme Analizi, Etki-Tepki Fonksiyonları, Varyans Ayrıştırması ve Granger Nedensellik analizi kullanılmıştır. Analizler sonucunda ise brent petrol fiyatlarında meydana gelen bir birimlik artışın BİST100 hisse senedi getirisinde 1.516 birimlik bir azalış meydana getirdiği, diğer yandan altın fiyatlarında meydana gelen bir birimlik artışın ise BİST100 hisse senedi getirisinde 0.455 birimlik bir artış meydana getirdiği tespit edilmiştir. Diğer bir ifade ile BİST100 ile petrol fiyatları arasında negatif, BİST100 ile altın fiyaları arasında pozitif ilişki tespit edilmiştir. Ayrıca yapılan nedensellik analizi sonucunda ise petrol fiyatı ve BİST100 arasında çift yönlü nedensellik tespit edilmiştir. Altın fiyatları ile BİST100 hisse senedi getirileri arasında istatistiki olarak bir nedensellik bulunamamıştır.

Anahtar Kelimeler

Sivil Anayasa, Türk Demokrasi Tarihi, Anayasa Uzlaşma Komisyonu

THE RELATIONSHIP BETWEEN OIL PRICES, GOLD PRICES AND STOCK RETURN

Öz

The aim of this study was to examine the effect of the period 1997M1-2016M5 stock return of oil and gold prices. Johansen-Juselius Cointegration study, Impulse Responses, variance decomposition and Granger causality analysis were used.The analysis results in the of one unit increase in the price of oil has created a decrease of 1,516 units BIST100 stock returns, in other hand of one unit increase in the price of gold has created a increase of 0.455 units BIST100 stock returns. In other words a negative correlation between oil prices and BIST100 , positive relationship between gold prices with BIST100 have been identified. is also a result of the causality analysis were identified two way relationship between oil prices and BIST100. Gold prices are among the statistical BIST100 stock returns that as there was no causation

Anahtar Kelimeler

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Kaynakça

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