THE RELATIONSHIP BETWEEN COMMODITY PRICES AND STOCK PRICES: EVIDENCE FROM TURKEY

Yıl 2015, Cilt: 7 Sayı: 2, 17 - 26, 01.12.2015

Erhan Iscan

Öz

Many studies have found strong relationship between stock market and economic growth. Because of this strong relationship, we need to examine many factors that have impact on the stock market more closely. Despite the high importance of commodity prices, only few studies have emphasized the impact on stock prices. For this reason, in this study, by using time-series analysis, the relationship between and the impact of commodity prices on stock market will be examined. The long-run relationship and causality will examined with an econometric model. The results obtained from the examination of relationship between commodity prices and stock market would provide to discussions about drivers of stock prices. Due to importance of such impact, findings obtained from the case of Turkey will be interpreted. These findings will help in the decision making process of the investors. In addition, the findings of this study are important for policy-makers to strengthen the stock markets to promote economic growth

Anahtar Kelimeler

Stock Market, Stock Prices, Commodity Prices, Cointerration

Kaynakça

• Büyükşahin, B., Haigh, M. S., , Robe, M. A. (2008). Commodities and Equities:‘A
• Market of One’? Washington, DC: US Commodity Futures Trading Commission. Chan, K. F., Treepongkaruna, S., Brooks, R., & Gray, S. (2011) “Asset Market
• Linkages: Evidence from Financial, Commodity and Real Estate Assets” Journal of Banking & Finance, 35(6), pp. 1415-1426.
• Creti, A., Joëts, M.,, Mignon, V. (2013). “On the Links Between Stock and Commodity Markets' Volatility”, Energy Economics, 37, pp. 16-28.
• Delatte, A.-L., Lopez, C. (2013) “Commodity and Equity markets: Some Stylized
• Facts from a Copula Approach”, Journal of Banking & Finance, 37(12), pp. 5356.
• Gorton, G.,, Rouwenhorst, K. G. (2004), Facts and Fantasies about Commodity
• Futures: National Bureau of Economic Research. Kang, J.-S., Hu, J.-L., Chen, C.-W. (2013). “Linkage Between International Food
• Commodity Prices and the Chinese Stock Markets”, International Journal of Economics and Finance, 5(10) Kilian, L. (2009), “Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market”, American Economic Review, 99(3), pp. 1053-1069.
• Lombardi, M. J., Ravazzolo, F. (2013) “On the Correlation between Commodity and Equity Returns: Implications for Portfolio Allocation” (July 2013). BIS
• Working Paper No. 420. Available at SSRN:http://ssrn.com/abstract=2384446
• Nazlioglu, S., Erdem, C., Soytas, U. (2013). “Volatility Spillover Between Oil and Agricultural Commodity Markets. Energy Economics” 36, pp.658-665
• Olson, E., J. Vivian, A., Wohar, M. E. (2014). “The Relationship between Energy and Equity Markets: Evidence from Volatility Impulse Response Functions” Energy Economics, 43, pp. 297-305.
• Rossi, B. (2012). The changing relationship between commodity prices and prices of other assets with global market integration” Paper presented at the a seminar organized by http://www.imf.org/external/np/seminars/eng/2011/tur/pdf/rossi. pdf. Accessed Sept. the IMF.
• Saadi Sedik, T., Cevik, S. (2011). “A Barrel of Oil or a Bottle of Wine: How Do
• Global Growth Dynamics Affect Commodity Prices?” : International Monetary Fund. Sadorsky, P. (1999). “Oil Price Shocks and Stock Market Activity”, Energy Economics, 21(5), pp. 449-469.
• Soenen, L., Johnson, R. (2009), “Commodity Prices and Stock Market Behavior in South American Countries in the Short Run”, Emerging Markets Finance and Trade, 45(4), pp. 69-82.
• Tang, K., Xiong, W. (2010). Index Investment and Financialization of
• Commodities, National Bureau of Economic Research. Thuraisamy, K. S., Sharma, S. S., Ali Ahmed, H. J. (2013). “The Relationship between Asian Equity and Commodity Futures Markets” Journal of Asian Economics, 28, pp. 67-75.