ASYMMETRIC RELATIONS BETWEEN GLOBAL COMMODITY INDEX AND BIST SECTORAL STOCK MARKET INDEXES: IMPLICATIONS FOR LOCAL AND INTERNATIONAL INVESTORS

Öz

Commodities have crucial importance economically and financially as both a cost input and an investment tool. It is a known fact that commodity prices become a determining factor in stock prices by affecting the production costs of companies directly. In addition, market participants consider commodities both an investment alternative and a safe haven asset in turbulent market conditions. Therefore, commodity price movements have become an indicator followed by both managers and investors in terms of their impact on the general economy and financial markets. This study investigates the short and long-term asymmetric relations between the global commodity price index and BIST sector index prices. The NARDL model was adopted as the research methodology. According to the empirical findings, a long-term nonlinear cointegration relationship was found between the sector indices and the commodity price index. The short- and long-term effects of commodity price increases and decreases differ by sector and exhibit asymmetrical characteristics. Findings indicate that the sectoral effects of commodity prices are heterogeneous, and that the BIST stock market has become integrated with the global commodity markets. Therefore, the results obtained in this study support the phenomenon of financialization of commodity markets. The findings will help investors evaluate the effects of commodity prices on asset allocation and risk management decisions.

Anahtar Kelimeler

• Commodity Prices
• Industry Indices
• Financialization of Commodity Markets
• Nonlinear ARDL Model

GLOBAL EMTİA ENDEKSİ İLE BIST SEKTÖR ENDEKSLERİ ARASINDAKİ ASİMETRİK İLİŞKİLER: YEREL VE ULUSLARARASI YATIRIMCILAR İÇİN ÇIKARIMLAR

Öz

Emtialar hem bir maliyet girdisi hem de bir yatırım aracı olarak ekonomik ve finansal açıdan önem arz etmektedir. Emtia fiyatlarının firmaların üretim maliyetlerini etkileyerek hisse senedi performansında belirleyici bir unsur haline geldiği bilinen bir olgudur. Ayrıca, piyasa katılımcıları emtiaları hem bir yatırım alternatifi hem de çalkantılı dönemlerde güvenli varlık olarak değerlendirmektedir. Dolayısıyla genel ekonomiye ve finansal piyasalara etkisi bakımından emtia fiyat hareketleri hem firmalar hem de yatırımcılar tarafından takip edilen bir gösterge haline gelmiştir. Bu çalışmada global emtia fiyat endeksiyle BIST sektör endeksleri fiyatı arasındaki kısa ve uzun dönem asimetrik ilişkiler incelenmektedir. Araştırma metodolojisi olarak NARDL modeli benimsenmiştir. Ampirik bulgulara göre, sektör endeksleri ile emtia fiyat endeksi arasında uzun dönemde nonlineer eşbütünleşme ilişkisi tespit edilmiştir. Emtia fiyat artış ve azalışlarının kısa ve uzun dönem etkileri sektör bazında farklılaşmakta ve asimetrik özellik göstermektedir. Ulaşılan bulgular emtia fiyatlarının sektörel etkilerinin heterojen olduğunu ve aynı zamanda BIST hisse senedi piyasasının global emtia piyasaları ile entegre hale geldiğini ifade etmektedir. Dolayısıyla bu çalışmada ulaşılan sonuçlar emtia piyasalarının finansallaşması olgusunu desteklemektedir. Elde edilen bulgular yatırımcıların varlık dağılımı ve risk yönetimi kararlarında emtia fiyatlarının etkilerini doğru değerlendirmelerine yardımcı olacaktır.

Anahtar Kelimeler

• Emtia Fiyatları
• Sektör Endeksleri
• Emtia Piyasalarının Finansallaşması
• Nonlineer ARDL Modeli

Kaynakça

1. Akkoc, U. & Civcir, I. (2019). Dynamic linkages between strategic commodities and stock market in Turkey: Evidence from SVAR-DCC-GARCH model. Resources Policy, 62, 231-239.
2. Ali, S., Bouri, E., Czudaj, R. L. & Shahzad, S. J. (2020). Revisiting the valuable roles of commodities for international stock markets. Resources Policy, 66, 1-20.
3. Azar, S. A. & Chopurian, N. A. (2018). Commodity indexes and the stock markets of the GCC countries. Arab Economic and Business Journal, 13, 134-142.
4. Bahloul, S. & Khemakhem, I. (2021). Dynamic return and volatility connectedness between commodities and Islamic stock market indices. Resources Policy, 71, 1-16.
5. Baur, D. G. & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds, and gold. Financial Review, 45(2), 217–229.
6. Baur, D. G. & McDermott, T. K. (2010). Is gold a safe haven? International evidence. Journal of Banking and Finance, 34(8), 1886–1898.
7. Boako, D., Alagidede, I. P., Sjo, B. & Uddin, G. S. (2020). Commodities price cycles and their interdependence with equity markets. Energy Economics, 91, 1-26.
8. Commodity Futures Trading Commission (CFTC). (2008). Staff report on commodity swap dealers & index traders with commission recommendations, September 2008. CFTF Press Rel. # 5542-08, Sep. 11. http://www.cftc.gov/PressRoom/PressReleases/pr5542-08, (Erişim Tarihi: 05.05.2022).

9. Chiarella, C., Kang, B., Nikitopoulos, C. S. & Tô, T. (2016). The return–volatility relation in commodity futures markets. Journal of Futures Markets, 36,127–152.
10. Creti, A., Joëts, M. & Mignon, V. (2013). On the links between stock and commodity markets’ volatility. Energy Economics, 37, 16–28.
11. Diaz, E. M., Molero, J. C. & Perez de Gracia, F. (2016). Oil price volatility and stock returns in the G7 economies. Energy Economics, 54, 417–430.
12. Diebold, F. X. & Yilmaz, K. (2014). On the network topology of variance decompositions: measuring the connectedness of financial firms. Journal of Econometrics, 182, 119-134.
13. Dogan, E., Majeed, M. T. & Luni, T. (2022). Analyzing the nexus of COVID-19 and natural resources and commodities: Evidence from time-varying causality. Resources Policy, 77, 1-14.
14. Drechsel, T. & Tenreyro, S. (2018). Commodity booms and busts in emerging economies. Journal of International Economics, 112, 200–218.
15. Fousekis, P., Katrakilidis, C. & Trachanas, E. (2016). Vertical price transmission in the US beef sector: Evidence from the nonlinear ARDL model. Economic Modelling, 52, 499-506.
16. Johnson, R. & Soenen, L. (2009). Commodity prices and stock market behavior in South American countries in the short run. Emerging Markets Finance and Trade, 45, 69–82.
17. Kang, W., Ratti, R. A. & Vespignani, J. L. (2020). Impact of global uncertainty on the global economy and large developed and developing economies. Applied Economics, 52, 2392–2407.
18. Kumar, S. (2017). On the nonlinear relation between crude oil and gold. Resources Policy, 51, 219–224.
19. McElroy, M. B. & Burmeister, E. (1988). Arbitrage pricing theory as a restricted nonlinear multivariate regression model iterated nonlinear seemingly unrelated regression estimates. Journal of Business and Economic Statistics, 6(1), 29–42.
20. Mensi, W., Hammoudeh, S., Reboredo, J. C. & Nguyen, D. K. (2014). Do global factors impact BRICS stock markets? A quantile regression approach. Emerging Markets Review, 19, 1–17.
21. Ornelas, J. R. H. & Mauad, R. B. (2019). Volatility risk premia and future commodity returns. Journal of International Money and Finance, 96, 341–360.
22. Öztek, M. F. & Öcal, N. (2017). Financial crises and the nature of correlation between commodity and stock markets. International Review of Economics and Finance, 48, 56-68.
23. Patel, S. A. (2013). Causal relationship between stock market indices and gold price: Evidence from India. The IUP Journal of Applied Finance, 19(1), 99–109.
24. Pesaran, M. H., Shin, Y. & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326.
25. Shin, Y., Yu, B. & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications, (281-314). Springer, New York, NY.
26. Soucek, M. & Todorova, N. (2013). Economic significance of oil price changes on Russian and Chinese stock markets. Applied Financial Economics, 23, 561–571.
27. St. Louis FED. FRED Economic Data. https://fred.stlouisfed.org/, (Erişim Tarihi: 22.05.2022).
28. Stuermer, M. (2017). Industrialization and the demand for mineral commodities. Journal of International Money and Finance, 76, 16–27.
29. Tradingview. Historical Data. https://tr.tradingview.com/, (Erişim Tarihi: 20.05.2022).
30. Wei, C. (2003). Energy, the stock market, and the Putty-Clay investment model. The American Economic Review, 93, 311–323.
31. Wen, D. & Wang, Y. (2021). Volatility linkages between stock and commodity markets revisited: Industry perspective and portfolio implications. Resources Policy, 74, 1-18.
32. Xu, B. (2015). Oil prices and UK industry-level stock returns. Applied Economics, 47, 2608–2627.