Çoklu Yapısal Kırılmalar Altında Petrol Fiyatlarının Türk Hisse Senedi Piyasaları Üzerindeki Etkisinin İncelenmesi

Öz

Bu çalışmada yapısal  kırılmalar altında  petrol  fiyatlarının Türk hisse senedi piyasaları üzerindeki etkisi incelenmiştir. Hisse senedi  endeksleri  olarak  BIST100, BIST Mali, BIST Sınai ve BIST Hizmet endeksleri, petrol fiyatlarını temsilen ise Brent petrol fiyatları kullanılmıştır. Serilerde yapısal bir değişim olup olmadığı  Peron ve Yabu (2009) testi ile modellerde bir rejim değişimi olup olmadığı ise Bai ve Perron (1998, 2003) testi ile incelenmiştir. Serilerin durağanlığının tespitinde Carrion-i Silvestre vd. (2009) yapısal kırılmalı birim kök testinden, değişkenler  arasındaki uzun dönemli ilişkisinin tespitinde ise rejim değişimine izin veren Gregory ve Hansen (1996) ile Hatemi-J (2008) koentegrasyon testlerinden  yararlanılmıştır. Nedensellik analizinde ise rejim değişim dönemleri dikkate alınarak Toda-Yamamoto (1995) testi kullanılmıştır.  Çalışma  bulguları  tüm dönem dikkate alındığında petrol  fiyatları ile Türk hisse senedi piyasaları  arasında uzun dönemli ve pozitif  bir ilişki olduğuna işaret etmektedir.  Rejim değişimleri dikkate alındığında ise petrol fiyatlarında sert fiyat hareketlerinin yaşandığı dönemlerde  petrol fiyatlarının Türk hisse senedi piyasalarını negatif yönde etkilediği ve değişkenler arasındaki nedensellik ilişkisinin ise giderek zayıfladığı   belirlenmiştir.

Anahtar Kelimeler

• Petrol fiyatı,Hisse senedi piyasası,Yapısal kırılmalar

Kaynakça

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