PETROL FİYATLARI VE BIST100 HİSSE SENEDİ GETİRİSİ İLİŞKİSİ

Yıl 2017, Cilt: 17 Sayı: 52, 57 - 68, 01.10.2017

Mehmet Emin Karabayır Abdulkadir Barut

Öz

Bu çalışma, 1986: 01 - 2016: 02 döneminde petrol fiyatları ile BIST100 Endeksi hisse senedi getirileri arasındakiilişkinin incelenmesi amacı ile yapılmıştır. Çalışmada zaman serileri kullanılmıştır. Analizler sonucunda petrolfiyatları ile BIST100 hisse senedi getirileri arasında negatif ilişki olduğu tespit edilmiştir. Yani petrol fiyatlarıarttıkça, hisse senedi getirileri azalmaktadır. Ayrıca yapılan nedensellik analizi sonucunda hisse senedi getirisinden petrol fiyatlarına doğru tek yönlü nedensellik tespit edilirken, petrol fiyatlarından hisse senedi getirisinedoğru nedensellik tespit edilememiştir

Anahtar Kelimeler

Petrol Fiyatları, BIST100 Hisse Senedi Getirisi, Eş-Bütünleşme

THE RELATIONSHIP BETWEEN OIL PRICES AND BIST100 STOCK RETURNS

Öz

This study was conducted with the aim of examining the relationship between oil prices and BIST100 Indexstock returns during 1986: 01 - 2016: 02 period. Time series were used in the study. As a result of the analyses,it was determined that there is a negative relationship between oil prices and BIST100 stock returns. That is, asoil prices increase, stock returns decrease. In addition, as a result of the causality analysis, causality from oilprices to stock returns was not determined while one-way causality from stock returns to oil prices was determined

Anahtar Kelimeler

Oil Prices, BIST100 Stock Returns, Cointegration

Kaynakça

• Abdioğlu, Z. & Değirmenci, N. (2014). Petrol Fiyatları - Hisse Senedi Fiyatları İlişkisi: BIST Sektörel
• Analiz. Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5(8), 01-24. Abhyankar, A., Xu, B. & Wang, J. (2013). Oil Price Shocks and the Stock Market: Evidence from Japan. The Energy Journal, 3(2), 199-222.
• Adaramola, A. O. (2012). Oil Price Shocks and Stock Market Behavior: The Nigerian Experience. Journal of Economics, 3(1), 19-24.
• Akgün, A., Şahin, D. E. & Yilmaz, B. (2013). The Effect of Variations in Gold and Oil Prices on BIST 100 Index.
• Mediterranean Journal of Social Sciences, 4(10), 726-730. 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, 84-98. Arouri, M. E. H., Jouini, J. & Nguyen, D. K. (2011). Volatility Spillovers between Oil Prices and Stock Sector
• Returns: Implications for Portfolio Management. Journal of International Money and Finance,  30(7), 1387
• Bittlingmayer, G. (2005). Oil And Stocks: Is It War Risk? University Of Kansas Working Paper Series.
• Chen, S. S. & Hsu, K. W. (2012). Reverse Globalization: Does High Oil Price Volatility Discourage International
• Trade? Energy Economics, 34(5), 1634–1643.
• Chittedi, R.K. (2012).Do Oil Prices Matters for Indian Stock Markets? An Empirical Analysis. Journal of
• Applied Economics and Business Research, 2(1), 2-10. Çetinkaya, A.T. & Türk, E. (2014). Tasarruf ve Yatırımların Ekonomik Büyümeye Etkisi: Türkiye Örneği (1975- ). Kara Harp Okulu Bilim Dergisi, 24(2), 45-60.
• Darby, M. R. (1982). The Price of Oil and World Inflation and Recession. American Economic Review, 72, 738
• Gjerde, O. & Saettem, F. (1999). Causal Relations among Stock Returns and Macroeconomic Variables in a Small
• Open Economy. Journal of International Financial Markets, Institutions and Money, 9, 61-74. Granger, C. W. J. & Newbold, P. (1986). Forecasting Economic Time Series, Academic Press Inc., New York.
• Güler, S., Tunç, R. & Orçun, Ç. (2010). Petrol Fiyat Riski ve Hisse Senedi Fiyatları Arasındaki İlişkinin
• Belirlenmesi: Türkiye’de Enerji Sektörü Üzerinde bir Uygulama. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(4), 297-315. Hammes, D. & Wills, D. (2003). Black Gold: The End of Bretton Woods and the Oil Price Shocks of the 1970s.
• Working Paper, University Of Hawaii Hilo. Hooker, M. (1999). Are Oil Shocks Inflationary? Asymmetric and Nonlinear Specifications versus Changes in
• Regime. Working Paper, Federal Reserve Board of Governors. Huang, R. D., Masulis, R. W. & H. R. Stoll, H. R. (1996). Energy Shocks and Financial Markets. 27. The Journal of Future Markets, 16, 1-25.
• İşcan, E. (2010). Petrol Fiyatının Hisse Senedi Piyasası Üzerindeki Etkisi. Maliye Dergisi, 158, 607-617.
• Johansen, S. & Juselius, K. (1990). Maximum Likelihood Estimation and Inference on Cointegration with
• Applications to the Demand for Money. Oxford Bulletin of Economics and Statistics, 52, 169-210. Jones, C. M. & Kaul, G. (1992). Oil and Stock Markets. Working Paper, University Of Michigan.
• Jones, C.M. & Kaul, G. (1996). Oil and Stock Markets, Journal of Finance, 51 (2), 463-491.
• Jones, D. W. & Leiby, P. (1996). The Macroeconomic Impacts of Oil Price Shocks: A Review of the Literature and Issues, Working Paper, Oak Ridge National Laboratory.
• Kaneko T. & Lee B.S. (1995). Relative Importance of Economic Factors in the U.S. And Japanese Stock Markets.
• Journal of the Japanese and International Economies, 9, 290-307. Kapusuzoğlu, A. (2011). Relationship between Oil Price and Stock Market: An Empirical Analysis from Istanbul
• Stock Exchange (ISE). International Journal of Economics and Finance, 3(6), 99-106. Kılıç, C., Bayar, Y. & Özcan, B. (2014), “Petrol Fiyatlarının Borsa İstanbul Sanayi Fiyat Endeksi Üzerindeki Etkisi”, Kamu-İş, 13(3), 125-141.
• Le, T.H. Ve Chang, Y. (2011). The Impact of Oil Price Fluctuations on Stock Markets in Developed and Emerging
• Economies. Economic Growth Centre Working Paper Series. Leigh, A., Wolfers, J. & E. Zitzewitz, E. (2003). What Do Financial Markets Think About The War Of Iraq?
• Working Paper, Stanford Graduate School of Business. Maghyereh, A. (2004). Oil Price Shocks and Emerging Stock Markets: A Generalized VAR Approach.
• International Journal of Applied Econometrics and Quantitative Studies, 1(2), 27-40
• Nandha M. & Faff, R. (2008). Does Oil Move Equity Prices? A Global View. Energy Economics, 30, 986-997.
• Narayan K. P. & Narayan S. (2010). Modeling The Impact of Oil Prices on Vietnam’s Stock Prices. Applied Energy, 87, 356-361.
• Odusami, B.O. (2009). Crude Oil Shocks and Stock Market Returns. Applied Financial Economics, 19(4), 291
• Ono, S. (2011). Oil Price Shocks and Stock Markets in BRICS. The European Journal of Comparative Economics, (1), 29-45.
• Pierce J. L. & J. E. Jared, J.E. (1974). The Effects of External Inflationary Shocks. Brooking Papers on Economic Activity, 1, 13-61.
• Rasche, R. H., & Tatom, J.A. (1977).The Effect of the New Energy Regime on Economic Capacity, Production and Prices. Economic Review, 59, 2-12.
• Sadorsky, P. (1999). Oil Price Shocks and Stock Market Activity. Energy Economics, 21, 449-469.
• Sevüktekin, M. & Çınar, M. (2016). Ekonometrik Zaman Serileri Analizi (Eviews Uygulamalı), Dora Yayıncılık, th Ed.
• Şener, S., Yılancı, V. & Tıraşoğlu, M. (2013). Petrol Fiyatları Ile Borsa İstanbul’un Kapanış Fiyatları Arasındaki
• Saklı İlişkinin Analizi. Selçuk Üniversitesi IIBF Sosyal ve Ekonomik Araştırmalar Dergisi, 26, 231-248. Ünlü, U. & Topçu, M. (2012). Do Oil Prices Directly Affect Stock Markets: Evidence From Istanbul Stock
• Exchange. İktisat, İşletme ve Finans, 27(319), 75-88. Yıldırtan, Ç. D. (2011). Eviews Uygulamalı Temel Ekonometri (Makro Ekonomik Verilerle), Türkmen Yayınevi, İstanbul.
• Zortuk, M., & Bayrak, S. (2016). Ham Petrol Fiyat Şokları-Hisse Senedi Piyasası İlişkisi: ADL Eşik Değerli Ko- entegrasyon Testi, Eskişehir Osmangazi Üniversitesi İ.İ.B.F. Dergisi, 11(1), 7-22.