The Effect of Crude Oil on Developing Countries’ Stock Markets: Variance Casuality Analysis

Öz

Due to the free movement of capital and advancing technology, the interaction between markets increase day by day. While analysing markets; the interaction direct to companies, individual and institutional investors and policymakers to considering different markets as well as domestic news. One of the most important among these markets is the oil market. The oil market has significant impacts on macroeconomic indicators (inflation, interest rates and unemployment, etc.) and production costs, sales revenues and cash flows of firms. According to this, the aim of the study is to reveal the relationship between emerging stock markets and oil market. For this purpose, WTI crude oil price and MSCI Emerging Market Index were analysed by Moon and Yu (2010) approach in the period span from 2012 to 2018. As a result of the analysis; there is a return spill over from crude oil markets to emerging stock markets. In case of opposite direction, volatility spill over was determined. The findings will contribute to the decision-making process of investors, policymaker and researchers for the analysed period.

Anahtar Kelimeler

• MSCI Emerging Market Index,WTI Crude Oil Market,Return Spill over,Volatility Spill over

Gelişmekte Olan Ülkelerin Borsaları Üzerinde Ham Petrolün Etkisi: Varyans Nedensellik Analizi

Öz

Küreselleşme süreci ile birlikte artan finansal liberalizasyon ve gelişen teknolojiler, piyasalar arasındaki etkileşimi arttırmaktadır. Artan etkileşimler de piyasaları bir yandan daha dalgalı ve kırılgan hale getirmektedir. Bu nedenler; şirketleri, bireysel ve kurumsal yatırımcıları ve politika yapıcıları volatilite kavramını analize yönlendirmektedir. Çalışmanın amacı, volatilitenin artan öneminden hareketle petrol piyasasının belirsizliğinin gelişmekte olan ülkelerin borsa endekslerinin belirsizliği üzerindeki etkisini varyans nedensellik analizi ile gerçekleştirmektir. 2012-2018 dönemi günlük verilerinin analiz edildiği çalışmada, Moon ve Yu (2010) tarafından ileri sürülen varyans nedensellik yaklaşımı kullanılmıştır. Yapılan analiz sonucunda petrol piyasasından MSCI Gelişmekte Olan Ülkeler Endeksi’ne doğru volatilite yayılımı belirlenememiştir. Elde edilen bulguların yatırımcıların, şirketlerin ve politika yapıcıların ilgili döneme ilişkin karar süreçlerine katkıda bulunacağı düşünülmektedir.

Anahtar Kelimeler

• MSCI Gelişmekte Olan Piyasalar Endeksi,WTI Ham Petrol Piyasası,Varyans Nedenselik Analizi,Oynaklık Etkileşimi

Kaynakça

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