Türkiye'de Petrol Fiyatları ile Hisse Senedi Fiyatları Arasındaki İlişki Üzerine Bir İnceleme: Fourier Yaklaşımından Yeni Kanıtlar

Yıl 2021, , 101 - 111, 30.04.2021

Mehmet Songur

https://doi.org/10.30784/epfad.809222

Öz

Petrol, üretim ve tüketim süreçleri içerisinde en önemli enerji kaynaklarından birisidir. Bu nedenle petrol fiyatlarında meydana gelen şoklar birçok makro ekonomik değişkeni etkileyebilmektedir. Söz konusu makro ekonomik değişkenlerden birisi de hisse senedi fiyatları olup, iki değişken arasındaki uzun dönemli ilişkiyi araştırmak önem arz etmektedir. Bu çalışmanın amacı, 02/01/2002 - 02/07/2019 tarihleri arasında günlük olarak toplanan verilerden yararlanarak Türkiye'de petrol fiyatları ile BIST100 endeksi arasındaki ilişkinin uzun vadede varlığını test etmektir. Bu bağlamda, çalışmada hem keskin hem de aşamalı / yumuşak yapısal kırılmaları hesaba kattıkları için Fourier durağanlık ve Fourier eşbütünleşme testleri kullanılmıştır. Analizin bulguları, hem keskin hem de aşamalı / yumuşak yapısal kırılmalar altında petrol fiyatları ile hisse senedi fiyatları arasında uzun vadeli bir eşbütünleşme ilişkisi olmadığını göstermektedir. Bu bağlamda bulgulara bakıldığında, petrol fiyatlarındaki değişimlerin Türkiye'deki hisse senedi fiyatları üzerinde etkili olmadığı söylenebilir.

Anahtar Kelimeler

Petrol Fiyatları, Hisse Senedi Fiyatları, Fourier Analizi

A Review on The Relationship between Oil Prices and Stock Prices in Turkey: New Evidences from Fourier Approach

Öz

Oil is one of the most important energy resources in production and consumption processes. Therefore, shocks from oil prices can affect many macroeconomic variables. One of these macroeconomic variables is stock prices, and it is important to investigate the long-term relationship between the two variables. The purpose of this study is to test the long-term existence of a relationship between oil prices and BIST100 index in Turkey by making use of data collected on daily basis between a period of 02/01/2002 and 02/07/2019. Within this context, Fourier stationarity and Fourier cointegration tests were utilized since they take into account both sharp and gradual/smooth structural breaks. Findings of the analysis indicate that there is not a long-term cointegration relationship between oil prices and stock prices under both sharp and gradual/smooth structural breaks. Regarding the findings in this context, it can be inferred that changes in oil prices are not to be effective on the share prices in Turkey.

Anahtar Kelimeler

Oil Prices, Stock Prices, Fourier Analysis

Kaynakça

• Ababsa, M. (2005). Development frontiers in Syria: Adapting the Ba`athist project to the dominant tribal logics in the Al-Jazira pioneer front. A contrario, 2(2), 11-25. doi:10.3917/aco.032.25
• Ababsa, M. (2013a). Fifty years of state land distribution in the Syrian Jazira. Agrarian reform, agrarian counter-reform and the Arab belt policy (1958-2008). In H. Ayeb and R. Saad (Eds.), Agrarian Transformation in the Arab World (pp. 33-63). Cairo, The American University in Cairo Press.
• Ababsa, M. (2013b). Crise agraire, crise foncière et sécheresse en Syrie (2000-2011). Maghreb-Machrek, (1), 101-122. doi:10.3917/machr.215.0101
• Abu-Ismail, K., Abdel-Gadir, A. and El-Laithy, H. (2011). Poverty and inequality in Syria (1997–2007). Retrieved from https://www.undp.org/content/dam/rbas/doc/poverty/BG_15_Poverty%20and%20 Inequality%20in%20Syria_FeB.pdf
• Akram-Lodhi, A. H. and Kay, C. (2010). Surveying the agrarian question (part 1): unearthing foundations, exploring diversity. The Journal of Peasant Studies, 37(2), 255-284. doi:10.1080/03066150903498838
• Al Khouri, R. (2004). Arab migration in globalized world. In International Organization for Migration (Ed.), Arab migration patterns: the mashreq (pp. 21-33). Geneva: Switzerland.
• Aw-Hassan, A., Rida, F., Telleria, R. and Bruggeman, A. (2014). The impact of food and agricultural policies on groundwater use in Syria. Journal of hydrology, 513, 204-215. doi:10.1016/j.jhydrol.2014.03.043
• Batatu, H. (1999). Syria's peasantry, the descendants of its lesser rural notables, and their politics. USA Princeton University Press.
• Bernstein, H. (2006). Is there an agrarian question in the 21st century?. Canadian Journal of Development Studies/Revue canadienne d'études du développement, 27(4), 449-460. doi:10.1080/02255189.2006.9669166
• Chalcraft, J. (2009). The invisible cage: Syrian migrant workers in Lebanon. USA: Stanford University Press.
• Chang, H. J. (1993). The political economy of industrial policy in Korea. Cambridge Journal of Economics, 17(2), 131-157. Retrieved from https://www.jstor.org/
• Chang, H. J. (2006). The worst business proposition in human history: The appropriate role of state-owned enterprises in developing countries. Cuaderno de Economía, (2), 139-144. Retrieved from https://core.ac.uk/
• Dahi, O. S. and Munif, Y. (2012). Revolts in Syria: Tracking the convergence between authoritarianism and neoliberalism. Journal of Asian and African studies, 47(4), 323-332. doi:10.1177/0021909611431682
• De Châtel, F. (2014a). The role of drought and climate change in the Syrian uprising-Untangling the triggers of the revolution. Middle Eastern Studies, 50(4), 521-535. doi:10.1080/00263206.2013.850076
• De Châtel, F. (2014b). Leaving the land: the impact of long-term water mismanagement in Syria. In F. De Châtel, G. Holst-Warharft and T. Steenhuis (Eds.), Water scarcity, security and democracy: a Mediterranean mosaic (pp. 86-96). Athens: Global Water Partnership Mediterranean, Cornell University and the Atkinson Center for a Sustainable Future.
• Evans, P. B. (1995). Embedded autonomy: States and industrial transformation. Princeton: Princeton University Press.
• Fröhlich, C. J. (2016). Climate migrants as protestors? Dispelling misconceptions about global environmental change in pre-revolutionary Syria. Contemporary levant, 1(1), 38-50. doi:10.1080/20581831.2016.1149355
• George, A. (2003). Syria: neither bread nor freedom. London: Zed Books.
• Ghosh, S., Aw-Hassan, A. and Pellett, P. L. (2004). Growth status of children in North West Syria: A comparison of three rural livelihood groups. Ecology of food and nutrition, 43(1-2), 107-148. doi:10.1080/03670240490280267
• Griffin, K., Khan, A. R. and Ickowitz, A. (2002). Poverty and the Distribution of Land. Journal of Agrarian change, 2(3), 279-330. doi: 10.1111/1471-0366.00036
• Haddad, B. (2012). Business networks in Syria: The political economy of authoritarian resilience. Stanford, California: Stanford University Press.
• Haddad, B. S. (2002). The economic price of regime security: mistrust, state-business networks, and economic stagnation in Syria, 1986-2000 (Doctoral dissertation). Georgetown University, USA.
• Handelman, H. (1981). The Politics of agrarian change in Asia and Latin America. Bloomington: Indiana University Press.
• Hanna, A. (1975). Al-Qadiya al-zira’iya wa al-harakat al-fallahiya fi Suriya wa Lubnan, 1820-1920 (The Agricultural Problem and the Peasant Movements in Syria and Lebanon 1820-1920). Beirut: Dar al-Farabi.
• Hanna, A. (1978). Al-Qadiya al-zira’iya wa al-harakat al-fallahiya fi Suriya wa Lubnan, 1920–1945 (The Agricultural Problem and the Peasant Movements in Syria and Lebanon 1920-1945). Beirut: Dar al-Farabi.
• Hanna, A. (2003). al-Fallāḥūn wa-mullāk al-arḍ fī Sūrīyah al-qarn al-ʻishrīn (Peasants and the landlords in Syria in the twnithieth century). Beirut: Dar al-Talia.
• Hinnebusch, R. A. (1989). Peasant and bureaucracy in Ba'thist Syria: the political economy of rural development. USA: Westview Press Inc.
• Hinnebusch, R. A. (1990). Authoritarian Power and State Formation in Baʻthist Syria: Army, Party, and Peasant. USA: Westview Press.
• Hinnebusch, R., El-Hindi, A., Khaddam, M. and Ababsa, M. (2011). Agriculture and reform in Syria. University of St Andrews Centre for Syrian Studies. Retrieved from ojs.st-andrews.ac.uk/index.php/syria/article/download/716/620
• Hole, F. (2009). Drivers of unsustainable land use in the semi‐arid Khabur River Basin, Syria. Geographical Research, 47(1), 4-14. doi:10.1111/j.1745-5871.2008.00550.x
• Howard, P. N., Duffy, A., Freelon, D., Hussain, M., Mari, W. and Mazaid, M. (2011). Opening closed regimes: What was the role of social media during the Arab Spring?. Retrieved from https://deepblue.lib.umich.edu/
• International Monetary Fund. (2005). Syrian Arab Republic: 2005 Article IV consultation: staff report, public information notice on the Executive Board discussion. Retrieved from https://www.imf.org/en/Publications/CR/Issues/2016/12/31 /Syrian-Arab-Republic-2005-Article-IV-Consultation-Staff-Report-and-Public-Information-Notice -18601
• International Monetary Fund. (2007). Syrian Arab Republic: 2007 article IV consultation: staff report: staff statement: public information notice on the Executive Board discussion: and statement by the Executive Director for the Syrian Arab Republic. Retrieved from https://www.imf.org/en/Publications/CR/Issues/2016/12/31/Syrian-Arab-Republic-2007-Article-IV-Consultation-Staff-Report-and-Public-Information-Notice-21272
• International Monetary Fund. (2009). Syrian Arab Republic: 2008 article IV consultation: staff report: staff statement: public information notice on the Executive Board discussion: and statement by the Executive Director for the Syrian Arab Republic. Retrieved from https://www.imf.org/en/Publications/CR/Issues/2016/12/31/Syrian-Arab-Republic-2008-Article-IV-Consultation-Staff-Report-Staff-Statement-Public-22702
• Khalaf, S. N. (1981). Family, village and the political party: articulation of social change in contemporary rural Syria (Unpublished Doctoral dissertation). University of California, Los Angeles.
• Khalaf, S. N. (1997). Shaykhs, Peasants, and Party Comrades: Political Change in Northern Syria. In M. Mundy and B. Musallam (Eds.), The transformation of nomadic society in the Arab east (pp. 110-122). Cambridge, UK: Cambridge University Press.
• Laham, F. (2011, May). The Syrian industry in the light of the partnership agreement and Trade Liberalization. Paper presented at the twenty fourth tuesday forum economic and social development in Damascus, Syria. Retrieved from https://secoss.org/2019/07/14/%d8%a7 %d9%84%d8%b5%d9%86%d8%a7%d8%b9%d8%a9-%d8%a7%d9%84%88%d8%a1-%d8%a7 %d8%aa%d9%81%d8%a7%d9%82%d9%8a%d8%a7%d8%aa-%d8%a7%d9%84%d8%b4%d8% b1%d8%a7/
• Leenders, R. and Heydemann, S. (2012). Popular mobilization in Syria: opportunity and threat, and the social networks of the early risers. Mediterranean Politics, 17(2), 139-159. doi:10.1080/13629395.2012.694041
• Lister, C. R. (2016). The Syrian Jihad: Al-Qaeda, the Islamic state and the evolution of an insurgency. UK: Oxford University Press.
• Matar, L. (2016). The political economy of investment in Syria. Palgrave Macmillan, London.
• McAdam, D., Tarrow, S. and Tilly, C. (2001). Dynamics of Contention. UK: Cambridge University Press.
• Moore, B. (1966). Social origins of dictatorship and democracy: Lord and peasant in the making of the modern world. Boston: Beacon Press.
• Perthes, V. (1995). The political economy of Syria under Asad. London: I.B. Tauris.
• Phillips, C. (2015). Sectarianism and conflict in Syria. Third World Quarterly, 36(2), 357-376. doi:10.1080/01436597.2015.1015788
• Pierre, T. (2018). Brothers in alms: Salafi financiers and the Syrian insurgency, carnegie endowment for international peace. Retrieved from https://carnegieendowment.org/2018/05/18/brothers-in-alms-salafi-financiers-and-syrian-insurgency-pub-76390
• Pierret, T. (2013). Religion and State in Syria: The Sunni Ulama from Coup to Revolution (Vol. 41). UK: Cambridge University Press.
• Rabo, A. (1985). Great expectations: perceptions on development in Northeast Syria. Ethnos, 49(3-4), 211-225. doi:10.1080/00141844.1985.9981282
• Rabo, A. (1986). Change on the Euphrates: Villagers, townsmen and employees in northeast Syria (Unpublished doctoral dissertation). Stockholm University, Sweden.
• Sarris, A. (2001). Agricultural development strategy for Syria, background reference paper (Project GCP/SYR/006/ITA, Damascus, FAO.) Retrieved from http://www.napcsyr.gov.sy/dwnld-files/policy_studies/en/16a_strategy_background_paper_en.pdf
• Sarris, A. and Corsi, A. (2003). The Syrian agricultural producers: structural and distributional features. Chapter 11. Retrieved from https://agris.fao.org/agris-search/search.do?recordID=XF2004405987
• Seale, P. (1989). Asad of Syria: The struggle for the Middle East. Berkeley: University of California Press.
• Seifan, S. (2010). Syria on the path to economic reform. St. Andrews: University of St. Andrews Centre for Syrian Studies.
• Selby, J., Dahi, O. S., Fröhlich, C. and Hulme, M. (2017). Climate change and the Syrian civil war revisited. Political Geography, 60, 232-244. doi: 10.1016/j.polgeo.2017.05.007 United Nations Development Program. (2004). Macroeconomic policies for poverty reduction: The case of Syria. Damascus: United Nations Development Programme.
• UN-OCHA. (2010). Syria drought response plan 2009, mid-term review. Retrieved from https://reliefweb.int/sites/reliefweb.int/files/resources/20E00ADAF9F3C153852576D20068E86B-Full_Report.pdf
• Van Dam, N. (1979). The struggle for power in Syria: sectarianism, regionalism and tribalism in politics, 1961-1978. UK: Croom Helm.
• Wattenbach, H. (2006). Farming Systems of the Syrian Arab Republic (FAO Project GCP/SYR/006/ITA, the National Agricultural Policy Center (NAPC), Damascus). Retrieved from http://www.fao.org/3/ag418e/ag418e00.htm
• Werrell, C. E., Femia, F. and Sternberg, T. (2015). Did we see it coming?: State fragility, climate vulnerability, and the uprisings in Syria and Egypt. SAIS review of international affairs, 35(1), 29-46. doi:10.1353/sais.2015.0002
• World Bank. (2008). Agriculture in Syria: Towards the social market. Retrieved from https://openknowledge.worldbank.org/handle/10986/16099 Yasin, B. (1979). Hikayat al-ard wa-al-fallah al-Suri, 1858-1979 (Story of the land and the Syrian peasant, 1858-1979). Beirut: Dar al-Haqa'iq.