Türkiye'de petrol fiyatlarının hisse senedi getirileri üzerindeki zamanla değişen etkisi

Öz

Bu çalışmada, 2001:01-2023:12 dönemleri arasında Türkiye’de petrol fiyatları şokunun BİST100 Endeks getirisi üzerindeki etkisi, stokastik volatiliteye sahip zamanla değişen parametreli vektör otoregresif (TVP-VAR-SV) model tahmin edilerek araştırılmıştır. Çalışmanın ampirik bulgularında, petrol fiyatlarının BİST100 endeks getirisi üzerindeki etkisinin önemli ölçüde zaman değişkenliği gösterdiği ve petrol fiyatlarının BİST100 endeks getirilerini uzun dönemde istatistiksel olarak anlamlı ve negatif etkilediği gözlenmiştir. Bu durum, politika yapıcıların petrol fiyatlarını yerli varlıkların fiyatlarını kontrol etmek için bir politika aracı olarak takip edebileceklerine işaret etmektedir. Ayrıca TVP-VAR-SV tahminleri, yerel ve küresel krizlerin petrol fiyat şoklarının hisse senedi getirileri üzerindeki etkisini arttırabileceğini, sert düşüş ve yükselişin gerçekleşebileceğini göstermektedir. Sonuç olarak, politika yapıcılar, varlık fiyatlarının ve ekonomi istikrarının üzerinde potansiyel bir tehdit oluşturabileceği için petrol fiyatlarındaki dalgalanmaları dikkate almalıdır.

Anahtar Kelimeler

• petrol fiyatları
• hisse senedi getirisi
• TVP-VAR-SV

Time-varying effects of the oil prices to the stock returns in Türkiye

Öz

In this study, the effect of the shock in oil prices on BIST100 index return in Türkiye between the periods of 2001:01-2023:12 is investigated by estimating a time-varying parameter vector autoregressive model with stochastic volatility (TVP-VAR-SV). In the empirical findings of the study, it was observed that the effect of oil prices on BIST100 index returns is significantly time-varying, and oil prices have a statistically significant and negative effect on BIST100 index returns in the long run. This suggests that policymakers may use oil prices as a policy instrument to control the prices of domestic assets. Furthermore, the TVP-VAR-SV estimations suggest that local and global crises may increase the effect of oil price shocks on stock returns and that sharp falls and rises may occur. Consequently, policymakers should also take fluctuations in oil prices into account as they could pose a potential threat to asset prices and economic stability.

Anahtar Kelimeler

• Oil Prices
• Stock Return
• TVP-VAR-SV

Kaynakça

1. Abdioğlu, Z. ve Değirmenci, N. (2016). Petrol fiyatı şoklarının hisse senedi getirileri üzerindeki etkileri. Tisk Akademi (II).
2. Ajala, K., Sakanko, M. A. ve Adeniji, S. O. (2021). The asymmetric effect of oil price on the exchange rate and stock price in Nigeria. International Journal of Energy Economics and Policy, 11(4), 202–208.
3. Al-Fayoumi N.A. (2009). Oil prices and stock market returns in oil importing countries: the case of Turkey, Tunisia and Jordan. European Journal of Economics, Finance and Administrative Sciences (16), 86-101.
4. Aydogan, B. ve Berk, I. (2015). Crude oil price shocks and stock returns: evidence from Turkish stock market under global liquidity conditions. International Journal of Energy Economics and Policy 5(1), 54–68.
5. Cepni, O., Gul, S., Lucey, B. ve Yılmaz, M. H. (2021). The impact of oil price shocks on Turkish sovereign yield curve. Central Bank of the Republic of Turkey, Working Paper 21 (04).
6. Cevik, N. K., Cevik, E. I. ve Dibooglu, S. (2020). Oil prices, stock market returns and volatility spillovers: evidence from Turkey. Journal of Policy Modeling, 42(3), 597-614, ISSN 0161-8938, Doi: https://doi.org/10.1016/j.jpolmod.2020.01.006
7. Çıtak, F. ve Kendirli, S. (2019). Petrol fiyatlarının döviz kuru ve hisse senedi getirileri üzerindeki asimetrik etkisi: Türkiye örneği. Finans Ekonomi ve Sosyal Araştırmalar Dergisi, 4(4), 643-658, Doi: https://doi.org/10.29106/fesa.658845
8. Demeh D., Josanco, F. ve Stefano, M. (2021). Oil price shocks and stock markets in oil importing countries: evidence from Egypt, Morocco, and Jordan. Scientific Annals of Economics and Business 68 (2), 233-247, Doi: https://doi.org/10.47743/saeb-2021-0013

9. Dickey, D. A. ve Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 1057-1072.
10. Eryiğit, M. (2012). The dynamic relationship between oil price shocks and selected macroeconomic variables in Turkey. Economic Research Ekonomska Istraživanja, 25(2), 263-276.
11. Gayaker, S. (2021). Türkiye'de para politikasının etkisinin incelenmesi: Stokastik oynaklığa sahip TVP-VAR modeli (Yayınlanmamış doktora tezi). Ankara Hacı Bayram Veli Üniversitesi, Lisansüstü Eğitim Enstitüsü, Ankara.
12. Hamilton, J. D. (1983). Oil and the macroeconomy since World War II. Journal of Political Economy, 91, 228 - 248.
13. Hamilton, J. D. (2003). What is an oil shock?. Journal of Econometrics, 113(2), 363-398.
14. Huang, R. D., Masulis, R. W. ve Stoll, H. R. (1996). Energy shocks and financial markets. J. Futures Mark, 16, 1–27.
15. Jones, M. ve Kaul, G. (1996). Oil and the stock markets. J. Finance, 51, 463–491.
16. Kang, W., Ratti, R. A. ve Yoon, K. H. (2015). Time-varying effect of oil market shocks on the stock market. J. Bank. Financ., 61, 150–163.
17. Kilian, L. ve Park, C. (2009). The impact of oil price shocks on the U.S. stock market. International Economic Review, 50(4).
18. Kilian, L. (2014). Oil price shocks: causes and consequences. Annual Review of Resource Economics, 6,133-154, Doi: https://doi.org/10.1146/annurev-resource-083013-114701
19. Nakajima, J., Kasuya, M. ve Watanabe, T. (2011). Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy. Journal of the Japanese and International Economies, 25(3), 225–245, Doi: https://doi.org/10.1016/j.jjie.2011.07.004 Naser, H. ve Rashid, A. (2018). Oil price shocks and stock market performance in the BRICS: some evidence using FAVAR models. Economics Issues, 23(2), 85-108.
20. Nasir, M. A., Razvi, S. ve Rossi, M. (2017). A treatise on oil price shocks and their implications for the UK financial sector: analysis based on time-varying structural VAR model. The Manchester School, 86(5), 586-621, Doi: https://doi.org/10.1111/manc.12206
21. Park, J. ve Ratti, R. (2008). Oil price shocks and stock markets in the U.S. and 13 European countries. Energy Econ., 30, 2587–2608.
22. Pasricha, G.K. (2006). Kalman filter and its economic applications. MPRA Paper, 22734.
23. Phillips, P. C. ve Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
24. Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. The Review of Economic Studies 72(3), 821–852, Doi: https://doi.org/10.1111/j.1467-937X.2005.00353.x
25. Sadorsky, P. (1999). Oil price shocks and stock market activity. Energy Econ., 21, 449–469.
26. Toparlı, E. A., Catik, A. N. ve Balcilar, M. (2019). The impact of oil prices on the stock returns in Turkey: a TVP-VAR approach. Physica A: Statistical Mechanics and its Applications, 535(122392), ISSN 0378-4371, Doi: https://doi.org/10.1016/j.physa.2019.122392
27. Wang, Y., Wu, C. ve Yang, L. (2013). Oil price shocks and stock market activities: evidence from oil-importing and oil-exporting countries. Journal of Comparative Economics, 41, 1220-1239, Doi: http://dx.doi.org/10.1016/j.jce.2012.12.004