FOSİL YAKIT ENDEKS FİYATLARININ YENİLENEBİLİR ENERJİ HİSSE ENDEKS FİYATLARI ÜZERİNDEKİ ETKİSİ: ERIX ÖRNEĞİ

Yıl 2024, , 115 - 138, 16.10.2024

Şifa Kırhasanoğlu , Murat Özdemir

https://doi.org/10.25095/mufad.1464037

Öz

Sürdürülebilir enerjiye doğru devam eden küresel değişimde, geleneksel fosil yakıtlar ile yeni ortaya çıkan yenilenebilir enerji kaynakları arasındaki ilişki yoğun ilgi gören bir konudur. Küresel enerji ortamı, geleneksel fosil yakıt kaynakları ile gelişen yenilenebilir enerji alternatifleri arasındaki etkileşimin sadece ekonomik dinamikleri değil aynı zamanda çevresel sürdürülebilirliği de şekillendirdiği kritik bir kavşakta durmaktadır. Bu dinamik ortamda finansal piyasalar, fosil yakıt ve yenilenebilir enerji sektörleri arasındaki karmaşık ilişkiyi yansıtan bir barometre görevi görmektedir. Bu çalışma, geleneksel enerji piyasasının sağlığının önemli bir göstergesi olan fosil yakıt endeks fiyatlarındaki dalgalanmaların yenilenebilir enerji hisse senedi endekslerinin performansını nasıl etkilediğini araştırmaktadır. Bu bağlamda çalışmada Avrupa Yenilenebilir Enerji Endeksi (ERIX) ile Fosil Yakıt Endeks Fiyatları arasında bir ilişki olup olmadığının tespit edilmesi amaçlanmıştır. 2018-2023 yılları arası günlük verilerin kullanıldığı çalışmada analiz yöntemi olarak VAR modeli kullanılmıştır. Çalışma sonucunda ERIX üzerinde sadece Rotterdam Kömür (ARA) endeksinin etkili olduğu, diğer endekslerin ise bir etkisinin olmadığı tespit edilmiştir.

Anahtar Kelimeler

Sürdürülebilir Enerji, ERIX, Fosil Yakıtlar, VAR

Etik Beyan

Çalışmada ikincil veriler kullanılmış olup çalışmanın etik kurul izni gerektirmeyen çalışmalar arasında yer aldığını beyan ederiz.

Kaynakça

• Acaravcı, S. K. - Reynaoğlu, İ. (2013). “Enerji fiyatları ve hisse senedi getirileri: Türkiye ekonomisi için bir uygulama”. Nevşehir Hacı Bektaş Veli Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 3, 94-110.
• Acaroğlu H. - Güllü M. (2022). “Climate change caused by renewable and non-renewable energy consumption and economic growth: a time series ARDL analysis for Turkey”. Renewable Energy, 193, 234–447.
• Anand, B. - Paul, S. (2021). “Oil shocks and stock market: Revisiting the Dynamics”. Energy Economics, 96, 105-111.
• Bagchi, B. - Paul, B. (2023). “Effects of crude oil price shocks on stock markets and currency exchange rates in the context of Russia-Ukraine conflict: Evidence from G7 countries”. Journal of Risk and Financial Management, 16(2), 64.
• Belaïd, F. - Al-Sarihi, A. - Al-Mestneer, R. (2023). “Balancing climate mitigation and energy security goals amid converging global energy crises: The role of green investments”. Renewable Energy, 205, 534-542.
• Ben-Salha, O. - Hakimi, A. - Zaghdoudi, T. - Soltani, H. - Nsaibi, M. (2022). “Assessing the impact of fossil fuel prices on renewable energy in China using the novel dynamic ARDL simulations approach”. Sustainability, 14(16), 10439.
• BloombergNEF. (2023). New Energy Outlook 2023. Bloomberg Finance BP (2023). Statistical review of world energy 2023. https://www.bp.com/en/global/corporate/energy-economics.html (Erişim Tarihi: 16.03.2024)
• Brooks, C. (2008), Introductory econometrics for finance. New York: Cambridge University Press.
• Caporale, G. M. - Spagnolo, N. - Almajali, A. (2023). “Connectedness between fossil and renewable energy stock indices: The impact of the COP policies”. Economic Modelling, 123, 106-273.
• Chen, C. - Pinar, M. - Stengos, T. (2022). “Renewable energy and CO2 emissions: New evidence with the panel threshold model”. Renewable Energy, 194, 117-128.
• Colgan, J. D. - Gard-Murray, A. S. - Hinthorn, M. (2023). “Quantifying the value of energy security: How Russia's invasion of Ukraine exploded Europe's fossil fuel costs”. Energy Research & Social Science, 103, 103-201.
• Demirer, R. - Ferrer, R. - Shahzad, S. J. H. (2020). “Oil price shocks, global financial markets and their connectedness”. Energy Economics, 88, 104-771.
• Dickey, D. A. -Fuller, W. A. (1979). “Distribution of the estimators for autoregressive time series with a unit root”. Journal of the American Statistical Association, 74(366a), 427-431.
• Dutta, A. (2017). “Oil price uncertainty and clean energy stock returns : new evidence from crude oil volatility index”. Journal of Cleaner Production 164, 1157–1166.
• Fu, Z. - Chen, Z. - Sharif, A. - Razi, U. (2022). “The role of financial stress, oil, gold and natural gas prices on clean energy stocks: Global evidence from extreme quantile approach”. Resources Policy, 78, 102-860.
• Fuller, W. A. (1976). Introduction to statistical time series. New York: John Wiley & Sons.
• Geng, J. B. - Liu, C. - Ji, Q. - Zhang, D. (2021). “Do oil price changes really matter for clean energy returns?”. Renewable and Sustainable Energy Reviews, 150, 111-429.
• Granger, C.W.J. (1980). "Testing for causality: A personal viewpoint". Journal of Economic Dynamics and Control. 2: 329–352.
• He, L. - Chen, Y. - Li, J. (2018). “A three-level framework for balancing the tradeoffs among the energy, water, and air-emission implications within the life-cycle shale gas supply chains”. Resources, Conservation and Recycling, 133, 206-228.
• Herranz-Surralles, A. (2024). “The EU Energy Transition in a Geopoliticizing World”. Geopolitics, 1-31.
• Horky, F. - Mutascu, M. - Fidrmuc, J. (2023). “Oil and renewable energy returns during pandemic”. Environmental Science and Pollution Research, 30(10), 25836-25850.
• Huppmann, D. - Egging, R. (2014). “Market power, fuel substitution and infrastructure–a large- scale equilibrium model of global energy markets”. Energy 75:483–500
• Igeland, P. - Schroeder, L. - Yahya, M. - Okhrin, Y. - Uddin, G. S. (2024). “The energy transition: The behavior of renewable energy stock during the times of energy security uncertainty”. Renewable Energy, 221, 119-746.
• International Energy Agency (IEA). (2023). World energy outlook 2023. https://www.iea.org/reports/world-energy-outlook-2023 (Erişim Tarihi: 10.03.2024).
• International Energy Agency (IEA). (2021). World energy outlook 2021. https://www.iea.org/reports/world-energy-outlook-2021 (Erişim Tarihi: 11.03.2024).
• IRENA (2023). World Energy Transitions Outlook 2023: 1.5°C Pathway, International Renewable Energy Agency: Abu Dhabi
• IRENA (2023). Statistics Time Series: Latest trends in renewable energy https://www.irena.org/Data/View-data-by-topic/Capacity-and-Generation/Statistics-Time-Series (Erişim Tarihi : 03.03.2024).
• Ji, Q. - Zhang, D. (2019). “China’s crude oil futures: Introduction and some stylized facts”. Finance Research Letters, 28, 376–380.
• Jiang, Y. - Wang, J. - Lie, J. - Mo, B. (2021). “Dynamic dependence nexus and causality of the renewable energy stock markets on the fossil energy markets”. Energy, 233, 121191.
• Kearney C, Monadjemi M (1990). “Fiscal policy and current account performance: international evidence on the twin deficits.” J Macroecon 12(2):197–219
• Khan, K. - Su C. W. - Khurshid, A. - Qin, M. (2023). “Does energy security improve renewable energy? a geopolitical perspective”. Energy, 282, 128824.
• Kim, S. K. - Park, S. (2023). “Impacts of renewable energy on climate vulnerability: A global perspective for energy transition in a climate adaptation framework”. Science of The Total Environment, 859, 160175.
• Kinal T, Ratner JB (1982). “Regional forecasting models with vector autoregression: the case of New York State”, discussion paper, 155, Department of Economics, State University of New York at Albany
• Koçoğlu, Ş. (2024). “Avrupa yenilenebilir enerji stoklarının volatilite karakteri: ERIX endeksi üzerine bir araştırma”. Fiscaoeconomia, 8(1), 75-92.
• Kuang, W. (2021). “Are clean energy assets a safe haven for international equity markets?”. Journal of Cleaner Production, 302, 127006.
• Kyritsis, E. - Serletis, A. (2019). “Oil prices and the renewable energy sector”. The Energy Journal, 40, 337-364.
• Liu, T. - Hamori, S. (2020). “Spillovers to renewable energy stocks in the US and Europe: are they different?”. Energies, 13(12), 3162.
• Liu, T. - Nakajima, T. - Hamori, S. (2021). “The impact of economic uncertainty caused by COVID-19 on renewable energy stocks”. Empirical Economics, 1-21.
• Mohammed, K. S. - Usman, M. - Ahmad, P. - Bulgamaa, U. (2023). “Do all renewable energy stocks react to the war in Ukraine? Russo-Ukrainian conflict perspective”. Environmental Science and Pollution Research, 30(13), 36782-36793.
• Mohamad Taghvaee, V. - Nodehi, M. - Assari Arani, A. - Rishehri, M. - Nodehi, S. E. - Khodaparast Shirazi, J. (2023). “Fossil fuel price policy and sustainability: energy, environment, health and economy”. International Journal of Energy Sector Management, 17(2), 371-409.
• Nasreen, S. - Tiwari, A. K. - Eizaguirre, J. C. - Wohar, M. E. (2020). “Dynamic connectedness between oil prices and stock returns of clean energy and technology companies”. Journal of Cleaner Production, 260, 121015.
• Özer, N. - Aksoy, Z. T. (2021). “Enerji fiyatlarının borsa ile etkileşimi”. Iğdır Üniversitesi Sosyal Bilimler Dergisi, 192-212.
• New Energy Outlook 2022, BloombergNEF, Bloomberg Finance LP. (2023, May 22). https://about.bnef.com/new-energy-outlook/ (Erişim Tarihi: 22.03.2024).
• Rezec, M. - Scholtens, B. (2017). “Financing energy transformation: the role ofrenewable energy equity indices”. International Journal of Green Energy 14, 368-378.
• Reboredo, J. C. - Rivera-Castro, M. A., - Ugolini, A. (2017). “Wavelet-based test of co-movement and causality between oil and renewable energy stock prices.” Energy Economics, 61, 241-252.
• Sarıkovanlık, V. - Koy, A. - Akkaya, M. - Yıldırım, H. H. - Kantar, L. (2020). Finans biliminde ekonometri uygulamaları. Ankara: Seçkin Yayıncılık.
• Sevüktekin, M. - Çınar, M. (2017). Ekonometrik zaman serileri analizi: EViews uygulamalı. Bursa: Dora Yayıncılık.
• Shao, L. - Zhang, H. - Chen, J. - Zhu, X. (2021). “Effect of oil price uncertainty on clean energy metal stocks in China: Evidence from a nonparametric causality-in-quantiles approach”. International Review of Economics & Finance, 73, 407-419.
• Sims, C. A. (1980). “Macroeconomics and reality”. Econometrica: Journal of the Econometric Society, 1-48.
• Smales, L. A. (2021). “Geopolitical risk and volatility spillovers in oil and stock markets”. The Quarterly Review of Economics and Finance, 80, 358-366.
• Song, Y.- Ji, Q.- Du, Y. J.- Geng, J. B. (2019). “The dynamic dependence of fossil energy, investor sentiment and renewable energy stock markets.” Energy Economics, 84, 104564.
• Sun, C. - Ding, D. - Fang, X. - Zhang, H. - Li, J. (2019). “How do fossil energy prices affect the stock prices of new energy companies? Evidence from Divisia energy price index in China's market”. Energy, 169, 637-645.
• Sun, Y. - Gao, P. - Raza, S. A. - Shah, N. - Sharif, A. (2023). “The asymmetric effects of oil price shocks on the world food prices: Fresh evidence from quantile-on-quantile regression approach” Energy, 270, 126812.
• Tolliver, C. - Keeley, A.R. - Managi, S. (2020). “Drivers of green bond market growth: the importance of nationally determined contributions to the paris agreement and implications for sustainability”. Journal of Cleaner Production 244, 118643.
• Ullah, A. - Zhao, X. - Amin, A. - Syed, A. A. - Riaz, A. (2023). “Impact of COVID-19 and economic policy uncertainty on China’s stock market returns: Evidence from quantile-on-quantile and causality-in-quantiles approaches”. Environmental Science and Pollution Research, 30(5), 12596-12607.
• United Nations Environment Programme (2024). UNEP 2023 Annual Report. https://www.unep.org/resources/annual-report-2023 (Erişim Tarihi: 08.03.2024).
• United Nations Environment Programme (2015). Paris Agreement. https://wedocs.unep.org/20.500.11822/20830 (Erişim Tarihi: 08.03.2024).
• Xia, T.- Ji, Q.- Zhang, D.- Han, J. (2019). “Asymmetric and extreme influence of energy price changes on renewable energy stock performance.” Journal of Cleaner Production, 241, 118338.
• Zhang, J. - Chen, X. - Wei, Y. - Bai, L. (2023). “Does the connectedness among fossil energy returns matter for renewable energy stock returns? Fresh insights from the Cross-Quantilogram analysis”. International Review of Financial Analysis, 88, 102659.
• Zhang, Y., & Umair, M. (2023). Examining the interconnectedness of green finance: an analysis of dynamic spillover effects among green bonds, renewable energy, and carbon markets. Environmental Science and Pollution Research, 30(31), 77605-77621.