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Petrol Fiyatlarındaki Şokların BIST100 Endeksi Üzerine Etkisi

Yıl 2020, Cilt: 2 Sayı: 2, 156 - 172, 30.12.2020

Öz

Petrol fiyatlarındaki ani değişimlerin hisse senedi piyasasını etkilediği hatta borsanın petrol fiyatlarına bağlı bir şekilde hareket ettiği düşüncesi var olmasına rağmen bu iki değişken arasındaki ilişkiyi inceleyen çalışmalar ortak bir sonuca varabilmiş değillerdir. Bu çalışmanın temel amacı petrol fiyatlarındaki ani şoklar ile hisse senedi fiyatları arasındaki ilişkiyi araştırmaktır. Çalışmada 04/2003- 11/2017 tarihleri arası günlük BİST 100 endeksi ve Brent Petrol fiyatları kullanılmış olup Dummy Değişkenli Kukla Regresyon modeli ile analiz edilmiştir. Analiz sonuçlarına göre petrol fiyatları ile hisse senedi fiyatları arasında ters yönlü bir ilişki bulunmaktadır. Ancak bu ilişki petrol fiyatlarındaki şok artışlarda daha güçlü bir negatif asimetrik ilişki iken, şok düşüşlerde aynı güçlü etki görülmemiştir.

Kaynakça

  • Anoruo, E. and Mustafa, M. (2007). An Empirical Investigation into the Relation of Oil to Stock Markets Prices. North American Journal of Finance and Banking Research, 1(1): 22-36.
  • Asteriou, D., Dimitras, A. and Lendewig, A. (2013). The Influence of Oil Prices on Stock Market Returns: Empirical Evidence from Oil Exporting and Oil Importing Countries. International Journal of Business and Management, 8(18): 101- 120.
  • Ayaydın, H. ve Dağlı, H.(2012). Gelişen Piyasalarda Hisse Senedi Getirisini Etkileyen Makroekonomik Değişkenler Üzerine Bir İnceleme: Panel Veri Analizi. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 26(3-4): 45-65.
  • Aydın, L. (2014). Enerji Ekonomisi ve Politikaları (1.Baskı). Ankara: Seçkin Yayınları.
  • Basher, S.A. and Sadorsky, P. (2006). Oil Price Risk and Emerging Stock Markets. Global Finance Journal, 17: 224–251.
  • Bayraktutan, Y., Arslan, İ. and Sayar, G. (2012). Industrial Sector Energy Consumption in Turkey The Relationship between Economic Growth (1970-2010). Journal of Economics and International Finance. 4(2): 30-35.
  • Fattouh, B. (2011). An Anatomy of the Crude Oil Pricing System (The Oxford Institute for Energy Studies WPM 40). Retrieved from https://www.oxfordenergy.org/wpcms/wp-content/uploads/2011/03/WPM40-AnAnatomyoftheCrudeOilPricingSystem-BassamFattou h-2011.pdf
  • Grotenhuis, M. and Thijs, P. (2015). Dummy Variables and Their Interactions in Regression Analysis: Examples from Research on Body Mass Index. Mens & Maatschappij, 90(4), 405-433.
  • Hardy, M. (1993). Regression with Dummy Variables. Los Angeles: Sage Publications, Inc.
  • Kapusuzoğlu, A. (2011). Relationships between Oil Price and Stock Market: An Empirical Analysis from Istanbul Stock Exchange (ISE). International Journal of Economics and Finance, 3(6): 99-106.
  • Le, T.H. and Chang, Y. (2011). The Impact of Oil Price Fluctuations on Stock Markets in Developed and Emerging Economies (EGG Working Paper No: 2011/03). Retrieved from: http://egc.hss.ntu.edu.sg/research/workingpp/Pages/2011.aspx
  • Nandha M. and Faff, R. (2008). Does Oil Move Equity Prices? A Global View. Energy Economics, 30(3): 986-997.
  • Özer, A. (2017). Petrol Fiyatları ile Hisse Senedi Getirileri Arasında Volatilitelenin Yayılma Etkisi: Gelişmiş ve Gelişmekte Olan Ülkeler Örneği. Bülent Ecevit Üniversitesi Uluslararası Yönetim İktisat ve İşletme Dergisi, 17: 654-662.
  • Park, J.W. and Ratti, R.A. (2008). Oil Price Shocks and Stock Markets in the U.S. and 13 European Countries. Energy Economics, 30: 2587–2608.
  • Platts. (2015). 'Crude Oil', Methodology and Specifications Guide. England: Profile.
  • Uddin, R., Rahman, Z. and Hossain, R. (2013). Determinants of Stock Prices in Financial Sector Companies in Bangladesh: A study on Dhaka Stock Exchange (DSE). Interdisciplinary Journal of Contemporary Research in Business, 5(3), 471-480.
  • Ünlü, U. and Topçu, M. (2012). Do Oil Prices Directly Affect Stock Markets: Evidence from Istanbul Stock Exchange. İktisat, İşletme ve Finans, 27(319): 75-88.

BIST100 Index of Shocks in Oil Price

Yıl 2020, Cilt: 2 Sayı: 2, 156 - 172, 30.12.2020

Öz

The purpose of this study is to examine the effects of selected macroeconomic variables on the stock returns of banks traded in BIST 100 between January 2006 and December 2017, using logistic regression method. There are many empirical studies in the literature that discuss whether macroeconomic variables influence stock returns. In this study unlike other studies, S&P 500 Index and USA interest rates were included in the analysis. In the introduction part of the study, firstly, theoretical information about the stock return relationship of independent variables was mentioned and then the domestic and foreign empirical literature review was made. In the last part of the study, data, method, and analysis results are mentioned. Significant results were obtained between stock returns and macroeconomic variables between the periods examined. Important variables affecting the returns on bank stocks are S & P 500 Index, the exchange rate and the US interest rate.

Kaynakça

  • Anoruo, E. and Mustafa, M. (2007). An Empirical Investigation into the Relation of Oil to Stock Markets Prices. North American Journal of Finance and Banking Research, 1(1): 22-36.
  • Asteriou, D., Dimitras, A. and Lendewig, A. (2013). The Influence of Oil Prices on Stock Market Returns: Empirical Evidence from Oil Exporting and Oil Importing Countries. International Journal of Business and Management, 8(18): 101- 120.
  • Ayaydın, H. ve Dağlı, H.(2012). Gelişen Piyasalarda Hisse Senedi Getirisini Etkileyen Makroekonomik Değişkenler Üzerine Bir İnceleme: Panel Veri Analizi. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 26(3-4): 45-65.
  • Aydın, L. (2014). Enerji Ekonomisi ve Politikaları (1.Baskı). Ankara: Seçkin Yayınları.
  • Basher, S.A. and Sadorsky, P. (2006). Oil Price Risk and Emerging Stock Markets. Global Finance Journal, 17: 224–251.
  • Bayraktutan, Y., Arslan, İ. and Sayar, G. (2012). Industrial Sector Energy Consumption in Turkey The Relationship between Economic Growth (1970-2010). Journal of Economics and International Finance. 4(2): 30-35.
  • Fattouh, B. (2011). An Anatomy of the Crude Oil Pricing System (The Oxford Institute for Energy Studies WPM 40). Retrieved from https://www.oxfordenergy.org/wpcms/wp-content/uploads/2011/03/WPM40-AnAnatomyoftheCrudeOilPricingSystem-BassamFattou h-2011.pdf
  • Grotenhuis, M. and Thijs, P. (2015). Dummy Variables and Their Interactions in Regression Analysis: Examples from Research on Body Mass Index. Mens & Maatschappij, 90(4), 405-433.
  • Hardy, M. (1993). Regression with Dummy Variables. Los Angeles: Sage Publications, Inc.
  • Kapusuzoğlu, A. (2011). Relationships between Oil Price and Stock Market: An Empirical Analysis from Istanbul Stock Exchange (ISE). International Journal of Economics and Finance, 3(6): 99-106.
  • Le, T.H. and Chang, Y. (2011). The Impact of Oil Price Fluctuations on Stock Markets in Developed and Emerging Economies (EGG Working Paper No: 2011/03). Retrieved from: http://egc.hss.ntu.edu.sg/research/workingpp/Pages/2011.aspx
  • Nandha M. and Faff, R. (2008). Does Oil Move Equity Prices? A Global View. Energy Economics, 30(3): 986-997.
  • Özer, A. (2017). Petrol Fiyatları ile Hisse Senedi Getirileri Arasında Volatilitelenin Yayılma Etkisi: Gelişmiş ve Gelişmekte Olan Ülkeler Örneği. Bülent Ecevit Üniversitesi Uluslararası Yönetim İktisat ve İşletme Dergisi, 17: 654-662.
  • Park, J.W. and Ratti, R.A. (2008). Oil Price Shocks and Stock Markets in the U.S. and 13 European Countries. Energy Economics, 30: 2587–2608.
  • Platts. (2015). 'Crude Oil', Methodology and Specifications Guide. England: Profile.
  • Uddin, R., Rahman, Z. and Hossain, R. (2013). Determinants of Stock Prices in Financial Sector Companies in Bangladesh: A study on Dhaka Stock Exchange (DSE). Interdisciplinary Journal of Contemporary Research in Business, 5(3), 471-480.
  • Ünlü, U. and Topçu, M. (2012). Do Oil Prices Directly Affect Stock Markets: Evidence from Istanbul Stock Exchange. İktisat, İşletme ve Finans, 27(319): 75-88.
Toplam 17 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Finans
Bölüm Araştırma Makaleleri
Yazarlar

Asuman Erben Yavuz Bu kişi benim 0000-0002-1934-5055

Abdülkadir Sağlam Bu kişi benim 0000-0002-3484-9358

Yayımlanma Tarihi 30 Aralık 2020
Yayımlandığı Sayı Yıl 2020 Cilt: 2 Sayı: 2

Kaynak Göster

APA Yavuz, A. E., & Sağlam, A. (2020). Petrol Fiyatlarındaki Şokların BIST100 Endeksi Üzerine Etkisi. Ekonomi Ve Finansal Araştırmalar Dergisi, 2(2), 156-172.