Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL

Halil Altıntaş; Yacouba Kassourı

doi:10.25287/ohuiibf.877384

TR EN

Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL

Öz

Türkiye’de petrol fiyatları, para arzı ve reel döviz kurunun hisse senedi fiyatları üzerindeki asimetrik etkisini inceleyen az sayıda çalışmanın olması şaşırtıcıdır. Çalışmada Türkiye’de 2002-20018 dönemi aylık verilerle petrol fiyatı arz şokları, para arzı ve reel döviz kurunun hisse senedi fiyatları üzerindeki asimetrik etkileri, Shin, Yu, vd. (2014) tarafından geliştirilen asimetrik ARDL (NARDL- Nonlinear Autoregressive Distributed Lag) yöntemi kullanılarak incelenmektedir. Ampirik analizlerde incelenen değişkenler arasında anlamlı kısa ve uzun dönemde asimetrik etkilerin var olduğu tespit edilmiştir. NARDL modelleri sonuçlarında, petrol fiyatı arz şoku ve reel döviz kurundaki artışların hisse senedi fiyatlarını azalttığı, bu değişkenlerdeki azalmanın ise hisse senetleri fiyatları üzerinde artıcı etkiye etkili olduğu görülmüştür. Ayrıca para arzındaki pozitif artışların hisse senedi fiyatları üzerinde pozitif etkiye sahip olduğu, negatif azalmaların ise hisse senedi fiyatlarını etkilemediği sonucuna ulaşılmıştır. Türkiye’de uluslararası petrol fiyatları, reel döviz kuru ve parasal şokların şokların hisse senedi fiyatlarını etkilediğini göstermektedir. Bu nedenle politika yapıcılar ve sermaye piyasalarında yer alan tüm katılımcıların incelenen değişkenler arasındaki ilişkinin doğrusal olmadığı ve asimetrik etkiye sahip olabileceğini dikkate almalıdır. Hisse senedi fiyatlarında etkileyen bu değişkenlerin oluşturabileceği risk ve dalgalanmalara karşı politika yapıcıları etkin politikalar geliştirmeli, yatırımcıların da etkin koruma stratejilere sahip olması gerekmektedir.

Anahtar Kelimeler

Hisse Senedi Fiyatları, Petrol Fiyatları, Para Arzı, NARDL

Proje Numarası

SHD-2020-10393

The asymmetric effects of oil prices, monetary and real exchange rates shocks on stock prices: A NARDL model for Turkey

Öz

Although many empirical studies have examined the relationship between oil prices and economic activity, it is surprising that little research has been conducted on the asymmetric relationship between oil supply shocks, real exchange rates, and stock prices in Turkey. Therefore, the key objective of this study is to fill this gap by examining the asymmetric effects of oil prices and money supply on stock market prices in Turkey. For this purpose, we use monthly data over the period from 2002 to 2018. The analyses in the paper are carried out using the NARDL bounds testing approach of co-integration developed by Shin, Yu, & Greenwood-Nimmo (2014). Empirical findings show that there is an asymmetric co-integration between the variables being examined. Our estimation results show that in the long-run, positive changes in oil supply shocks and real exchange rates have significant and negative effects on the stock prices, whereas negative changes in oil supply shocks and real exchange rates have a significant positive effect on the stock market prices. However, only positive money supply shocks have a significant and positive effect on stock prices. The empirical results indicate that oil supply shocks, real exchange rates, and money supply shocks have significant effects on stock prices. For this reason, policymakers should develop effective policies to mitigate the adverse effects of these variables on stock prices.

Anahtar Kelimeler

Stock-market prices, Oil prices, Money supply.

Destekleyen Kurum

Erciyes Üniversitesi BAP Koordinasyon Birimi

Proje Numarası

SHD-2020-10393

Kaynakça

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Ayrıntılar

Birincil Dil

Türkçe

Konular

-

Bölüm

Araştırma Makalesi

Yazarlar

Halil Altıntaş ^*
0000-0002-8565-4294
Türkiye

Yacouba Kassourı Bu kişi benim
0000-0002-5423-8263
Türkiye

Yayımlanma Tarihi

13 Ekim 2021

Gönderilme Tarihi

9 Şubat 2021

Kabul Tarihi

15 Mayıs 2021

Yayımlandığı Sayı

Yıl 2021 Cilt: 14 Sayı: 4

DOI

https://doi.org/10.25287/ohuiibf.877384

IZ

https://izlik.org/JA25TE58KN

APA

Altıntaş, H., & Kassourı, Y. (2021). Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 14(4), 1388-1410. https://doi.org/10.25287/ohuiibf.877384

AMA

1.Altıntaş H, Kassourı Y. Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL. ÖHÜİİBFD. 2021;14(4):1388-1410. doi:10.25287/ohuiibf.877384

Chicago

Altıntaş, Halil, ve Yacouba Kassourı. 2021. “Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL”. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 14 (4): 1388-1410. https://doi.org/10.25287/ohuiibf.877384.

EndNote

Altıntaş H, Kassourı Y (01 Ekim 2021) Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 14 4 1388–1410.

IEEE

[1]H. Altıntaş ve Y. Kassourı, “Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL”, ÖHÜİİBFD, c. 14, sy 4, ss. 1388–1410, Eki. 2021, doi: 10.25287/ohuiibf.877384.

ISNAD

Altıntaş, Halil - Kassourı, Yacouba. “Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL”. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 14/4 (01 Ekim 2021): 1388-1410. https://doi.org/10.25287/ohuiibf.877384.

JAMA

1.Altıntaş H, Kassourı Y. Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL. ÖHÜİİBFD. 2021;14:1388–1410.

MLA

Altıntaş, Halil, ve Yacouba Kassourı. “Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL”. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, c. 14, sy 4, Ekim 2021, ss. 1388-10, doi:10.25287/ohuiibf.877384.

Vancouver

1.Halil Altıntaş, Yacouba Kassourı. Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL. ÖHÜİİBFD. 01 Ekim 2021;14(4):1388-410. doi:10.25287/ohuiibf.877384

The asymmetric response of Borsa Istanbul (BIST 100) to ınflation, ınterest rate, and exchange rate shocks: an analysis using the NARDL model

SN Business & Economics

https://doi.org/10.1007/s43546-025-00880-1

Asymmetric Effects of Oil Price Shocks on Stock Markets: A NARDL Analysis for Türkiye and Kazakhstan

Economies

https://doi.org/10.3390/economies14040125

Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Creative Commons Atıf-GayriTicari-AynıLisanslaPaylaş 4.0 Uluslararası Lisansı ile lisanslanmıştır.

Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL

Petrol fiyatları, parasal ve döviz kuru şoklarının hisse senedi fiyatlarına asimetrik etkisi: Türkiye için NARDL

Öz

Anahtar Kelimeler

Proje Numarası

The asymmetric effects of oil prices, monetary and real exchange rates shocks on stock prices: A NARDL model for Turkey

Öz

Anahtar Kelimeler

Destekleyen Kurum

Proje Numarası

Kaynakça

Ayrıntılar

Birincil Dil

Konular

Bölüm

Yazarlar

Yayımlanma Tarihi

Gönderilme Tarihi

Kabul Tarihi

Yayımlandığı Sayı

DOI

IZ

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