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SHORT- AND LONG-RUN ASYMMETRIC EFFECT OF OIL PRICE SHOCKS ON BIST100 RETURN INDEX: EVIDENCE FROM NARDL ANALYSIS

Yıl 2022, Sayı: 62, 25 - 55, 30.08.2022
https://doi.org/10.18070/erciyesiibd.1067906

Öz

This paper investigates the nonlinear effects of three types of oil price shocks proposed by Ready (2018), namely supply, demand, and risk shocks, on the BIST100 return using a recently developed nonlinear autoregressive distributed lags (NARDL) model on monthly data from January 2003 to January 2019. Our results indicate that there is a nonlinear cointegration relationship between oil price shocks and BIST100 return, and that the effects of positive and negative changes in oil price shocks on stock market returns vary significantly in the short and long-run. The long-run coefficients of positive and negative oil demand shocks, respectively, are positive and negative but the positive demand shock is greater economic impact of the negative demand shock. This means that stock returns are more affected by global demand growth in Turkey. Furthermore, positive oil supply and positive risk shocks resulted in a decrease in stock return, while negative supply and negative risk shocks resulted in an increase in stock return. In terms of total impact, both positive oil supply and positive oil risk shocks have a greater impact on lowering stock returns during this period.

Kaynakça

  • Aksoy, B. Ş. (2020). Petrol fiyat şoklarının makroekonomik etkileri, İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 423-448.
  • Alamgir, F. ve Amin, S. (2021). The nexus between oil price and stock market: Evidence from South Asia. Energy Reports 7:693-703.
  • Al-Fayoumi, N.A. (2009). “Oil prices and stock market returns in oil ımporting countries: the case of Turkey, Tunisia and Jordan”, European Journal of Economics, Finance and Administrative Sciences, 16, 84-98.
  • Altınkesici, B., & Çevik, E. İ. (2019). Petrol fiyat şoklarının hisse senedi piyasası üzerine etkisi: Türkiye örneği, Iğdır Üniversitesi Sosyay Bilimler Dergisi, 165-179.
  • Altıntaş, H. Ve Kassouri, Y. (2021). Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL modeli, Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi,: 14(4), 1388-1410
  • Arouri, M., Lahiani, A., ve Nguyen, D. (2011). Return and volatility transmission between world oil prices and stock markets of the GCC countries,. Economic Modelling, 28, 1815-1825.
  • Asteriou, D., Augustinos, D., ve Lendewig, A. (2013). The ınfluence of oil prices on stock market returns: empirical evidence from oil exporting and oil ımporting countries. International Journal of Business and Management; 8(18), 101-120
  • Azhari A., Aziz, M. I. A., Cheah, Y. K. ve Shahiri H. (2021). Oil Price Shocks and Energy Stock Returns of ASEAN-5 Countries: Evidence from Ready’s (2018) Decomposition Technique in a Markov Regime Switching Framework, Sains Malaysiana, 50(4): 1143-1156.
  • Banerjee, A., J. Dolado ve R. Mestre (1998). Error ‐correction mechanism tests for cointegration in a single ‐equation framework, Journal of Time Series Analysis 19(3): 267 -283.
  • Banerjee, P.S., Doran, J.S., Peterson, D.R., (2007). Implied volatility and future portfolio returns, Journal of Banking and Finance, 31 (10), 3183–3199.
  • Basher, S., ve Sadorsky, P. (2006). Oil price risk and emerging stock markets, Global Finance Journal, 17, 224-251.
  • Basher, S.A., Haug, A.A., Sadorsky, P., (2012). Oil prices, exchange rates and emerging stock markets. Energy Economics. 34 (1), 227–240.
  • Basher, S.A., Haug, A.A., Sadorsky, P., (2018). The impact of oil-market shocks on stock returns in major oil-exporting countries. Journal of International Money and Finance, 86, 264–280.
  • Baumeister, C., Kilian, L., 2016. Lower oil prices and the U.S. economy: is this time different? Brookings Papers on Economic Activity. 287–336.
  • Bernanke, B., 2016. The relationship between stocks and oil prices. Brookings https://www.brookings.edu/blog/ben-bernanke/2016/02/19/the-relationship-betweenstocks-and-oil-prices/.
  • Bernanke, B., Gertler, M., ve Watson, M. (1997). Systematic Monetary Policy and the Effects of Oil Price Shocks. Brookings Papers on Economic Activity, 91-142.
  • Brock, W. A., Dechert, W. D., Scheinkman, J. A. ve LeBaron, B.. (1996). A test for independence based on the correlation dimension. Econometric Reviews 15: 197–235. https://doi.org/10.1080/07474939608800353.
  • Chen, , N., Roll, R., & Ross, S. (1986). Economic forces and the stock market. Journal of Business, 59 (3), 383-403.
  • Clements, A., Shield, C., Thiele, S., (2019). Which oil shocks really matter in equity markets?, Energy Economics. 81, 134–141.
  • Cuñado , J., & Gracia , F. (2003). Do oil price shocks matter? Evidence for some European countries, Energy Economics 25 .
  • Cuñado, J., Pérez de Gracia, F., (2014). Oil price shocks and stock market returns: evidence from some European countries, Energy Economics, 42, 365–377.
  • Das, D. ve Kannadhasan, M. (2020). The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach, International Review of Economics and Finance, 69 ss. 563–581.
  • Demirer R., Ferrer R. ve Shahzad, S. J. H. (2020). Oil price shocks, global financial markets and their connectedness, Energy Economics, 88, https://doi.org/10.1016/j.eneco.2020.104771
  • Engle, R. ve Granger, C. (1987) Cointegration and Error Correction: Representation, Estimation and Testing, Econometrica, 55, 251-276. http://dx.doi.org/10.2307/1913236
  • Filis, G., (2010). Macro economy, stock market and oil prices: do meaningful relationships exist among their cyclical fluctuations?, Energy Economics. 32 (4), 877–886.
  • Granger, C. W. J. (1981). Some Properties of Time series data and their use in econometric model specification,. Journal of Econometrics, 16,121-130. https://doi.org/10.1016/0304-4076(81)90079-8
  • Granger, C.W.J. ve Lee, T.-H. (1989) Investigation of production, sales and ınventory relationships using multicointegration and non-symmetric error correction models, Journal of Applied Econometrics, 4, 145-159. https://doi.org/10.1002/jae.3950040508
  • Gupta, R. ve Modise, M.P., (2013). Does the source of oil price shocks matter for South African stock returns? A Structural VAR Approach, Energy Economics, 40, 825–831. Hamilton, J. (1983). Oil and the macroeconomy since World War II, The Journal of Political Economy, 91, 228-248.
  • Hamilton, J. (1996). This is what happened to the oil price-macroeconomy relationship, Journal of Monetary Economics 38, 215-220. Hamilton, J. (2003). What is an oil shock? Journal of Econometrics, 11 , 363-398.
  • Hamilton, J.. (2008). Oil and the Macroeconomy. In: Durlauf, S. and Blume, L., Eds., The New Palgrave Dictionary of Economics, Palgrave MacMillan. http://dx.doi.org/10.1057/9780230226203.1215
  • Hamilton, J. (2009). Understanding crude oil prices. The Energy Journal, 30(2), 179-206. Hatipoğlu M. ve Uçkun N. (2016). Gelişmekte olan ülke borsalarında doğrusal olmayan bağımlılık: öncü testlerden örnekler. ÇKÜ Sosyal Bilimler Enstitüsü Dergisi, 7(2), 268-280.
  • Huang, R. D., Masulis, R. W., ve Stoll, H. R. (1996). Energy shocks and financial markets. Journal of Futures Markets, 16(1), 1-27.
  • Hwang I. ve Kim J. (2021). Oil price shocks and the US stock market: A nonlinear approach. Journal of Empirical Finance, 64,23-36, https://doi.org/10.1016/j.jempfin.2021.08.004
  • Jacquinot, P., Kuismanen, M., Mestre, R., ve Spitzer, M. (2009). An assessment of the ınflationary impact of oil shocks in the Euro Area. The Energy Journal, 30(1), 49-84.
  • Johansen, S. (1988). Statistical analysis of cointegrating vectors. Journal of Economic Dynamics and Control, 12, 231-254.
  • Jones, C.ve Kaul, G. (1996). Oil and stock markets, Journal of Finance, 51, 463-491.
  • Kassouri, Y. ve Altıntaş, H. (2021) The quantile dependence of the stock returns of “clean” and “dirty” firms on oil demand and supply shocks, Journal of Commodity Markets. https://doi.org/10.1016/j.jcomm.2021.100238.
  • Kilian, L. (2009) Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market. American. Economic. Review, 99, 1053-1069.
  • Kilian, L., & Park , C. (2009). The Impact of Oil Price Shocks on The U.S. Stock Market. International Economic, 50(4), 1267- 1287
  • Killian, L., & Barsky, R. (2002). Do we really know that oil caused the great stagflation? a monetary alternative. Unıversıty of Mıchigan and NBER; and Unıversıty Of Mıchıgan, European Central Bank, And Cepr 2002.
  • Kling, J. (1985). Oil price shocks and stock-market behavior. The Journal of Portfolio Management,, 12 (1) 34-39.
  • Le, T. H., ve Chang, Y. (2011). The impact of oil price fluctuations on stock markets in developed and emerging economies. Munich Personal RePEc Archive.
  • Liu, R. Chen, Ja, ve Wen F. (2021). The nonlinear effect of oil price shocks on financial stress: Evidence from China. North American Journal of Economics and Finance, 55, https://doi.org/10.1016/j.najef.2020.101317.
  • Lu, X., Ma, F., Wang, J., & Zhu, B. (2021). Oil shocks and stock market volatility: New evidence. Energy Economics, 103, https://doi.org/10.1016/j.eneco.2021.105567
  • Masih , R., Peters, S., ve Mello, L. (2011). Oil price volatility and stock price fluctuations in an emerging market: evidence from South Korea. Energy Economics, 33, 975-986.
  • Miller, J.I. ve Ratti, R.A., (2009). Crude oil and stock markets: stability, instability, and bubbles. Energy Economics. 31 (4), 559–568.
  • Narayan, P.K., Narayan, S., (2010). Modelling the impact of oil prices on Vietnam’s stock prices. Applied. Energy, 87 (1), 356–361.
  • Park , J., & Ratti, R. (2008). Oil price shocks and stock markets in the U.S. and 13 European countries. Energy Economics, 30(5):2587-2608.
  • Ready, R. (2018). Oil prices and the stock market. Review of Finance, 22(1), 155-176.
  • Sadorsky, P. (1999). Oil price shocks and stock market activity. Energy Economics, 449-469.
  • Sadorsky, P. (2004). Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat. Energy Economics 43, 72-81.
  • Sadorsky, P., (1999). Oil price shocks and stock market activity, Energy Economics, 21(5), 449–469.
  • Sadorsky, P., (2001). Risk factors in stock returns of Canadian oil and gas companies. Energy Economics. 23 (1), 17–28.
  • Sağlam, Y., & Güreşçi, G. (2018). Petrol şoklarının makroekonomik göstergeler üzerine etkileri: OPEC için yapısal Var analizi. Finans Politik & Ekonomik Yorumlar, 640, 27-47.
  • Salisu, A.A., Isah, K.O., (2017). Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach, Economic Modelling. 66, 258-271.
  • Sevim, C. (2010). Enerji rezervlerinin zirve noktasının enerji güvenliği açısından büyük enerji pazarları (ABD, AB, Çin, ve Hindistan) üzerine etkileri. Güvenlik Stratejileri Dergisi,11, 53-72.
  • Shin, Y., Yu, B. ve Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in an ardl framework. İçinde: Horrace, W.C., Sickles, R.C. (Eds.)., Festschrift in Honor of Peter Schmidt:Econometric Methods and Applications. Springer Science & Business Media, New York(NY).
  • Tang, W., Wu, L., & Zhang, Z. (2010). Oil price shocks and their short- and long-term effects on the chinese economy. Energy Economics, 32, 3-14.
  • Ullah, A., Zhao X., Kamal, M. A. ve Zheng J. (2020). Modeling the relationship between military spending and stock market development (a) symmetrically in China: An empirical analysis via the NARDL approach. Physica A: Statistical Mechanics and its Applications ,554(C), https://doi.org/10.1016/j.physa.2019.124106
  • Umar Z, Jare˜no F. ve Escribano A. (2021) Agricultural commodity markets and oil prices: An analysis of the dynamic return and volatility connectedness. Resources Policy 73, https://doi.org/10.1016/j.resourpol.2021.102147
  • Wang, X., & Zhang, C. (2014). The impacts of global oil price shocks on China’s fundamental industries. Energy Policy, 68,394-402.

PETROL FİYATI ŞOKLARININ BİST100 GETİRİ ENDEKSİ ÜZERİNE KISA VE UZUN DÖNEM ASİMETRİK ETKİSİ: NARDL YAKLAŞIMINDAN KANITLAR

Yıl 2022, Sayı: 62, 25 - 55, 30.08.2022
https://doi.org/10.18070/erciyesiibd.1067906

Öz

Bu çalışma, Türkiye’de 2003 Ocak-2019 Ocak dönemi arasında Ready (2018) tarafından önerilen üç farklı petrol fiyatı şokunun (talep, arz ve risk) BIST100 getirisi üzerindeki doğrusal olmayan etkisini NARDL modeli yaklaşımı ile incelemektedir. Elde ettiğimiz sonuçlarda petrol fiyatı şoklarıyla BIST100 getirisi arasında doğrusal olmayan eşbütünleşme ilişkisinin varlığına ve petrol fiyatı şoklarındaki pozitif ve negatif değişmelerin kısa ve uzun dönemde önemli ölçüde değiştiği sonucuna rastlanmıştır. Pozitif ve negatif petrol talep şokları katsayıları sırasıyla, pozitif ve negatiftir ve pozitif petrol talep şokunun negatif petrol talep şokundan daha büyük ekonomik etkiye sahiptir. Bu sonuç global talep artışından hisse getirilerinin daha fazla etkilendiği anlamına gelmektedir. Toplam etkiler değerlendirildiğinde hem pozitif petrol arz şokunun hem de pozitif petrol talep risk şokunun incelenen dönemde hisse senedi getirilerinin azalmasında daha büyük etkiye sahip olduğu sonucuna ulaşılmıştır.

Kaynakça

  • Aksoy, B. Ş. (2020). Petrol fiyat şoklarının makroekonomik etkileri, İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 423-448.
  • Alamgir, F. ve Amin, S. (2021). The nexus between oil price and stock market: Evidence from South Asia. Energy Reports 7:693-703.
  • Al-Fayoumi, N.A. (2009). “Oil prices and stock market returns in oil ımporting countries: the case of Turkey, Tunisia and Jordan”, European Journal of Economics, Finance and Administrative Sciences, 16, 84-98.
  • Altınkesici, B., & Çevik, E. İ. (2019). Petrol fiyat şoklarının hisse senedi piyasası üzerine etkisi: Türkiye örneği, Iğdır Üniversitesi Sosyay Bilimler Dergisi, 165-179.
  • Altıntaş, H. Ve Kassouri, Y. (2021). Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL modeli, Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi,: 14(4), 1388-1410
  • Arouri, M., Lahiani, A., ve Nguyen, D. (2011). Return and volatility transmission between world oil prices and stock markets of the GCC countries,. Economic Modelling, 28, 1815-1825.
  • Asteriou, D., Augustinos, D., ve Lendewig, A. (2013). The ınfluence of oil prices on stock market returns: empirical evidence from oil exporting and oil ımporting countries. International Journal of Business and Management; 8(18), 101-120
  • Azhari A., Aziz, M. I. A., Cheah, Y. K. ve Shahiri H. (2021). Oil Price Shocks and Energy Stock Returns of ASEAN-5 Countries: Evidence from Ready’s (2018) Decomposition Technique in a Markov Regime Switching Framework, Sains Malaysiana, 50(4): 1143-1156.
  • Banerjee, A., J. Dolado ve R. Mestre (1998). Error ‐correction mechanism tests for cointegration in a single ‐equation framework, Journal of Time Series Analysis 19(3): 267 -283.
  • Banerjee, P.S., Doran, J.S., Peterson, D.R., (2007). Implied volatility and future portfolio returns, Journal of Banking and Finance, 31 (10), 3183–3199.
  • Basher, S., ve Sadorsky, P. (2006). Oil price risk and emerging stock markets, Global Finance Journal, 17, 224-251.
  • Basher, S.A., Haug, A.A., Sadorsky, P., (2012). Oil prices, exchange rates and emerging stock markets. Energy Economics. 34 (1), 227–240.
  • Basher, S.A., Haug, A.A., Sadorsky, P., (2018). The impact of oil-market shocks on stock returns in major oil-exporting countries. Journal of International Money and Finance, 86, 264–280.
  • Baumeister, C., Kilian, L., 2016. Lower oil prices and the U.S. economy: is this time different? Brookings Papers on Economic Activity. 287–336.
  • Bernanke, B., 2016. The relationship between stocks and oil prices. Brookings https://www.brookings.edu/blog/ben-bernanke/2016/02/19/the-relationship-betweenstocks-and-oil-prices/.
  • Bernanke, B., Gertler, M., ve Watson, M. (1997). Systematic Monetary Policy and the Effects of Oil Price Shocks. Brookings Papers on Economic Activity, 91-142.
  • Brock, W. A., Dechert, W. D., Scheinkman, J. A. ve LeBaron, B.. (1996). A test for independence based on the correlation dimension. Econometric Reviews 15: 197–235. https://doi.org/10.1080/07474939608800353.
  • Chen, , N., Roll, R., & Ross, S. (1986). Economic forces and the stock market. Journal of Business, 59 (3), 383-403.
  • Clements, A., Shield, C., Thiele, S., (2019). Which oil shocks really matter in equity markets?, Energy Economics. 81, 134–141.
  • Cuñado , J., & Gracia , F. (2003). Do oil price shocks matter? Evidence for some European countries, Energy Economics 25 .
  • Cuñado, J., Pérez de Gracia, F., (2014). Oil price shocks and stock market returns: evidence from some European countries, Energy Economics, 42, 365–377.
  • Das, D. ve Kannadhasan, M. (2020). The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach, International Review of Economics and Finance, 69 ss. 563–581.
  • Demirer R., Ferrer R. ve Shahzad, S. J. H. (2020). Oil price shocks, global financial markets and their connectedness, Energy Economics, 88, https://doi.org/10.1016/j.eneco.2020.104771
  • Engle, R. ve Granger, C. (1987) Cointegration and Error Correction: Representation, Estimation and Testing, Econometrica, 55, 251-276. http://dx.doi.org/10.2307/1913236
  • Filis, G., (2010). Macro economy, stock market and oil prices: do meaningful relationships exist among their cyclical fluctuations?, Energy Economics. 32 (4), 877–886.
  • Granger, C. W. J. (1981). Some Properties of Time series data and their use in econometric model specification,. Journal of Econometrics, 16,121-130. https://doi.org/10.1016/0304-4076(81)90079-8
  • Granger, C.W.J. ve Lee, T.-H. (1989) Investigation of production, sales and ınventory relationships using multicointegration and non-symmetric error correction models, Journal of Applied Econometrics, 4, 145-159. https://doi.org/10.1002/jae.3950040508
  • Gupta, R. ve Modise, M.P., (2013). Does the source of oil price shocks matter for South African stock returns? A Structural VAR Approach, Energy Economics, 40, 825–831. Hamilton, J. (1983). Oil and the macroeconomy since World War II, The Journal of Political Economy, 91, 228-248.
  • Hamilton, J. (1996). This is what happened to the oil price-macroeconomy relationship, Journal of Monetary Economics 38, 215-220. Hamilton, J. (2003). What is an oil shock? Journal of Econometrics, 11 , 363-398.
  • Hamilton, J.. (2008). Oil and the Macroeconomy. In: Durlauf, S. and Blume, L., Eds., The New Palgrave Dictionary of Economics, Palgrave MacMillan. http://dx.doi.org/10.1057/9780230226203.1215
  • Hamilton, J. (2009). Understanding crude oil prices. The Energy Journal, 30(2), 179-206. Hatipoğlu M. ve Uçkun N. (2016). Gelişmekte olan ülke borsalarında doğrusal olmayan bağımlılık: öncü testlerden örnekler. ÇKÜ Sosyal Bilimler Enstitüsü Dergisi, 7(2), 268-280.
  • Huang, R. D., Masulis, R. W., ve Stoll, H. R. (1996). Energy shocks and financial markets. Journal of Futures Markets, 16(1), 1-27.
  • Hwang I. ve Kim J. (2021). Oil price shocks and the US stock market: A nonlinear approach. Journal of Empirical Finance, 64,23-36, https://doi.org/10.1016/j.jempfin.2021.08.004
  • Jacquinot, P., Kuismanen, M., Mestre, R., ve Spitzer, M. (2009). An assessment of the ınflationary impact of oil shocks in the Euro Area. The Energy Journal, 30(1), 49-84.
  • Johansen, S. (1988). Statistical analysis of cointegrating vectors. Journal of Economic Dynamics and Control, 12, 231-254.
  • Jones, C.ve Kaul, G. (1996). Oil and stock markets, Journal of Finance, 51, 463-491.
  • Kassouri, Y. ve Altıntaş, H. (2021) The quantile dependence of the stock returns of “clean” and “dirty” firms on oil demand and supply shocks, Journal of Commodity Markets. https://doi.org/10.1016/j.jcomm.2021.100238.
  • Kilian, L. (2009) Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market. American. Economic. Review, 99, 1053-1069.
  • Kilian, L., & Park , C. (2009). The Impact of Oil Price Shocks on The U.S. Stock Market. International Economic, 50(4), 1267- 1287
  • Killian, L., & Barsky, R. (2002). Do we really know that oil caused the great stagflation? a monetary alternative. Unıversıty of Mıchigan and NBER; and Unıversıty Of Mıchıgan, European Central Bank, And Cepr 2002.
  • Kling, J. (1985). Oil price shocks and stock-market behavior. The Journal of Portfolio Management,, 12 (1) 34-39.
  • Le, T. H., ve Chang, Y. (2011). The impact of oil price fluctuations on stock markets in developed and emerging economies. Munich Personal RePEc Archive.
  • Liu, R. Chen, Ja, ve Wen F. (2021). The nonlinear effect of oil price shocks on financial stress: Evidence from China. North American Journal of Economics and Finance, 55, https://doi.org/10.1016/j.najef.2020.101317.
  • Lu, X., Ma, F., Wang, J., & Zhu, B. (2021). Oil shocks and stock market volatility: New evidence. Energy Economics, 103, https://doi.org/10.1016/j.eneco.2021.105567
  • Masih , R., Peters, S., ve Mello, L. (2011). Oil price volatility and stock price fluctuations in an emerging market: evidence from South Korea. Energy Economics, 33, 975-986.
  • Miller, J.I. ve Ratti, R.A., (2009). Crude oil and stock markets: stability, instability, and bubbles. Energy Economics. 31 (4), 559–568.
  • Narayan, P.K., Narayan, S., (2010). Modelling the impact of oil prices on Vietnam’s stock prices. Applied. Energy, 87 (1), 356–361.
  • Park , J., & Ratti, R. (2008). Oil price shocks and stock markets in the U.S. and 13 European countries. Energy Economics, 30(5):2587-2608.
  • Ready, R. (2018). Oil prices and the stock market. Review of Finance, 22(1), 155-176.
  • Sadorsky, P. (1999). Oil price shocks and stock market activity. Energy Economics, 449-469.
  • Sadorsky, P. (2004). Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat. Energy Economics 43, 72-81.
  • Sadorsky, P., (1999). Oil price shocks and stock market activity, Energy Economics, 21(5), 449–469.
  • Sadorsky, P., (2001). Risk factors in stock returns of Canadian oil and gas companies. Energy Economics. 23 (1), 17–28.
  • Sağlam, Y., & Güreşçi, G. (2018). Petrol şoklarının makroekonomik göstergeler üzerine etkileri: OPEC için yapısal Var analizi. Finans Politik & Ekonomik Yorumlar, 640, 27-47.
  • Salisu, A.A., Isah, K.O., (2017). Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach, Economic Modelling. 66, 258-271.
  • Sevim, C. (2010). Enerji rezervlerinin zirve noktasının enerji güvenliği açısından büyük enerji pazarları (ABD, AB, Çin, ve Hindistan) üzerine etkileri. Güvenlik Stratejileri Dergisi,11, 53-72.
  • Shin, Y., Yu, B. ve Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in an ardl framework. İçinde: Horrace, W.C., Sickles, R.C. (Eds.)., Festschrift in Honor of Peter Schmidt:Econometric Methods and Applications. Springer Science & Business Media, New York(NY).
  • Tang, W., Wu, L., & Zhang, Z. (2010). Oil price shocks and their short- and long-term effects on the chinese economy. Energy Economics, 32, 3-14.
  • Ullah, A., Zhao X., Kamal, M. A. ve Zheng J. (2020). Modeling the relationship between military spending and stock market development (a) symmetrically in China: An empirical analysis via the NARDL approach. Physica A: Statistical Mechanics and its Applications ,554(C), https://doi.org/10.1016/j.physa.2019.124106
  • Umar Z, Jare˜no F. ve Escribano A. (2021) Agricultural commodity markets and oil prices: An analysis of the dynamic return and volatility connectedness. Resources Policy 73, https://doi.org/10.1016/j.resourpol.2021.102147
  • Wang, X., & Zhang, C. (2014). The impacts of global oil price shocks on China’s fundamental industries. Energy Policy, 68,394-402.
Toplam 61 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Halil Altıntaş 0000-0002-8565-4294

Erken Görünüm Tarihi 28 Ağustos 2022
Yayımlanma Tarihi 30 Ağustos 2022
Kabul Tarihi 7 Nisan 2022
Yayımlandığı Sayı Yıl 2022 Sayı: 62

Kaynak Göster

APA Altıntaş, H. (2022). PETROL FİYATI ŞOKLARININ BİST100 GETİRİ ENDEKSİ ÜZERİNE KISA VE UZUN DÖNEM ASİMETRİK ETKİSİ: NARDL YAKLAŞIMINDAN KANITLAR. Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi(62), 25-55. https://doi.org/10.18070/erciyesiibd.1067906

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