Determining the Relationship Between Oil Prices and Turkish Banking Sector Returns: PMG-ARDL Technique

Yıl 2021, Cilt: 23 Sayı: 40, 23 - 36, 29.06.2021

Hikmet Akyol

Öz

In this study, the relationship between stock returns and oil prices of banks operating in Turkey was empirically examined. For this purpose, the period between 2006-2019 was analyzed using the PMG-ARDL method. At the same time, selected macroeconomic and market variables were included in the model, which is estimated as a control variable. Thus, the effect of these variables on the relationship between oil prices and stock returns was tried to be determined. The results showed that oil prices had a positive and strong impact on banks ' stock returns. Accordingly, increasing demand and its positive effect on the production level have positively affected both demand for oil and the level of return of banks. This finding is significant because it shows the strong interaction between oil prices, the Turkish financial system and economic activity.

Anahtar Kelimeler

Oil prices, Stock Returns, Turkish Banking Sector, PMG-ARDL Method, Macroeconomics

Petrol Fiyatları ve Türk Bankacılık Sektörü Getirileri Arasındaki İlişkinin Tespiti: PMG-ARDL Tekniği

Öz

Bu araştırmada Türkiye’de faaliyet gösteren bankaların hisse senedi getirileri ve petrol fiyatları arasındaki ilişki ampirik olarak incelenmiştir. Bu amaç doğrultusunda 2006-2019 arasındaki dönem PMG-ARDL yöntemi kullanılarak analiz edilmiştir. Araştırmada, aynı zamanda seçili makroekonomik ve piyasa değişkenleri, kontrol değişkeni olarak tahmin edilen modele dahil edilmiştir. Böylece, petrol fiyatları ve hisse senedi getirileri arasındaki ilişkide bu değişkenlerin etkisi tespit edilmeye çalışılmıştır. Sonuçlar, petrol fiyatlarının bankaların hisse senedi getirileri üzerinde pozitif yönlü ve güçlü bir etkiye sahip olduğunu göstermiştir. Buna göre, artan talep ve bunun üretim düzeyi üzerindeki olumlu etkisi hem petrole olan talebi hem de bankaların getiri düzeylerini pozitif yönlü etkilemiştir. Bu bulgu, petrol fiyatları, Türk Finans Sistemi ve ekonomik aktivite arasındaki güçlü etkileşimi göstermesi bakımından son derece önemlidir. 

Anahtar Kelimeler

Petrol Fiyatları, Hisse Senedi Getirileri, Türk Bankacılık Sektörü, PMG-ARDL Yöntemi, Makroekonomi

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