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PETROL FİYATLARI İLE HİSSE SENETLERİ FİYATLARI ARASINDAKİ İLİŞKİ: BIST SEKTÖRLERİNE YÖNELİK BİR ANALİZ

Year 2023, Volume: 13 Issue: 25, 196 - 215, 30.05.2023

Mesut Aslan

https://doi.org/10.53092/duiibfd.1213095
Cited By: 1

Abstract

Dünyadaki enerji kaynaklarının en önemlilerinden biri olan petrol ekonomide önemli bir rol oynamaktadır. Günümüzde petrol küresel alanda enerji tüketimi içerisinde %33’lük payı ile en fazla tercih edilen enerji kaynağı olma özelliğine sahiptir. Petrol fiyatları ekonomik aktiviteyi etkilemesinin yanında, genel olarak petrol fiyatlarının hisse senedi fiyatlarından etkilendiği düşünülmektedir. Bu çalışmanın amacı, Borsa İstanbul (BIST) kapsamında bulunan sektörlere ilişkin hissesenedi fiyatları ile petrol fiyatları arasındaki uzun ve kısa dönemli ilişkiyi 2003-2021 dönemi günlük verileri aracılığıyla incelemektir. Çalışmada vektör hata düzeltme modeli ve VAR sistemine dayalı Granger nedensellik testi kullanılmıştır. Yapılan analizler sonucunda petrol fiyatlarından hissesenedi fiyatlarına doğru bir nedensellik ilişkisi olmadığı, fakat hissesenedi fiyatlarından petrol fiyatlarına doğru bir nedensellik ilişkisi olduğu tespit edilmiştir. Bu nedenle petrol piyasasında faaliyette bulunan yatırımcılara hisse senedi fiyatlarında meydana gelen değişiklikleri takip etmeleri gerektiği önerisi sunulmuştur.

Keywords

BIST Hisse Senedi Granger Nedensellik Testi

References

  • Arouri , M. E. H., Bellalah, M., & Nguyen, D. K. (2011). Further evidence on th e responses of stock prices ın gcc countriesto oil price shocks, International journal of business, 16(1), 89-102.
  • Basher, S. A., & Sadorsky, P. (2006). Oil price risk and emerging stock markets, Global finance journal, 17, 224-251.
  • Bittlingmayer, G. (2005). Oil and stocks: Is it war risk?. University of kansas manuscript.
  • Chen, N., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. The journal of business, 59(3), 383-403.
  • Chittedi, K. R. (2012). Do oil prices matters for ındian stock markets? An empirical analysis. Journal of applied economics and business research, 2(1), 2-10.
  • Engle, R.F., & Granger, C.W.J. (1987). Co-Integration and error correction: representation, estimation, and testing. Econometrica, (55), 251-76.
  • Friedrichs, J. (2011). Peak energy and climate change: The double bind of postnormal science. Futures, 43, 469-477.
  • Granger, C.W. J. (1969). Investigating causal relations by econometric models and crossspectral methods. Econometrica, 37, 424–438.
  • Güler, S., Tunç , R., Orçun, & Ç. (2010). Petrol fiyat riski ve hisse senedi fiyatları arasındaki ilişkinin belirlenmesi: Türkiye'de enerji sektörü üzerinde bir uygulama. Journal of Atatürk University faculty of economics and administrative sciences, 24(4), 297-315.
  • Hamilton, J . D. (2003). What ıs an oil shock?. Journal Of Econometrics, 113, 363-398.
  • Huang, R. D., Masulis, R. W., & Stoll, H. R. (1996). Energy shocks and financial markets, Journal of futures markets, 16, 1-27.
  • İşcan, E., (2010). Petrol fiyatının hisse senedi piyasası üzerindeki etkisi. Maliye dergisi, 158, 607-617.
  • Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of economic dynamics and control, 12, 293-300.
  • Johansen, S., & Juselius, K. (1990). Maximum likelihood estimation and ınferences on cointegration with applications to the demand for money. Oxford bulletin of economics and statistics, 52, 169–210.
  • Jones, C.M., & Kaul, F. (1996). Oil and the stock markets. The journal of finance, 51(2) , 463- 491.
  • Kapusuzoğlu, A. (2011). Relationships between oil price and stock market: an empirical analysis from ıstanbul stock exchange (ISE). International journal of economics and finance, 3(6), 99-106.
  • Maghyereh, A., & Al-Kandari, A. (2007). Oil prices and stock markets in gcc countries: New Evidence from nonlinear cointegration analysis. Managerial finance, 33 (7), 449-460.
  • 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.
  • Malik, F., & Hammoudeh, S. (2007). Shock and volatility transmission in the oil, us and gulf equity markets, International review of economics and finance, 16, 357-368.
  • Narayan, P.K., & Narayan, S. (2010). Modelling Th e Impact Of Oil Prices On Vietnam's Stock Prices. Applied Energy, 87, 356-361.
  • Sadorsky, P. (1999). Oil Price Shocks and Stock Market Activity. Energy Economics, 2, 449-469.
  • Şan, F. B. (2014). Hisse senedi piyasasına katılma eğilimlerine etki eden davranışsal faktörler: işletme bölümü öğrencilerine üzerine bir araştırrna. Unpublished master's thesis, Muğla Sıtkı Koçman university ınstitute of social sciences, Muğla.
  • Şener, S., Yılancı, V., & Tıraşoğlu, M. (2013). Petrol fiyatları ile borsa İstanbul'un kapanı fiyatları arasındaki saklı ilişkinin analizi. Selçuk üniversitesi İİBF sosyal ve ekonomik araştırmalar dergisi, 26, 231-248.
  • Takim, A. (2010). Türkiye’de GSYİH ile ihracat arasındaki ilişki: Granger nedensellik testi. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 14(2), 315-330.

THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES: EVIDENCE FROM BIST SECTORS

Year 2023, Volume: 13 Issue: 25, 196 - 215, 30.05.2023

Mesut Aslan

https://doi.org/10.53092/duiibfd.1213095
Cited By: 1

Abstract

One of the most important energy resources in the world oil plays an important role in the economy. Nowadays, oil has the feature of being the most preferred energy source with a share of 33% in energy consumption in the global arena. In addition to the fact that oil prices affect economic activity, it is generally thought that oil prices are affected by stock prices. The aim of this study is to examine the long- and short-term relationship between stock prices and oil prices in the sectors covered by Borsa Istanbul (BIST) through daily data for the 2003-2021 period. Vector error correction model (VECM) and Granger causality test based on Vector Auto-Regressive (VAR) system were used. According to the results, there is no causality relationship from oil prices to stock prices, but there is a causal relationship from stock prices to oil prices. Therefore, it has been suggested that investors operating in the oil market should follow the changes in stock prices.

Keywords

BIST Stock Granger Causality Test

References

  • Arouri , M. E. H., Bellalah, M., & Nguyen, D. K. (2011). Further evidence on th e responses of stock prices ın gcc countriesto oil price shocks, International journal of business, 16(1), 89-102.
  • Basher, S. A., & Sadorsky, P. (2006). Oil price risk and emerging stock markets, Global finance journal, 17, 224-251.
  • Bittlingmayer, G. (2005). Oil and stocks: Is it war risk?. University of kansas manuscript.
  • Chen, N., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. The journal of business, 59(3), 383-403.
  • Chittedi, K. R. (2012). Do oil prices matters for ındian stock markets? An empirical analysis. Journal of applied economics and business research, 2(1), 2-10.
  • Engle, R.F., & Granger, C.W.J. (1987). Co-Integration and error correction: representation, estimation, and testing. Econometrica, (55), 251-76.
  • Friedrichs, J. (2011). Peak energy and climate change: The double bind of postnormal science. Futures, 43, 469-477.
  • Granger, C.W. J. (1969). Investigating causal relations by econometric models and crossspectral methods. Econometrica, 37, 424–438.
  • Güler, S., Tunç , R., Orçun, & Ç. (2010). Petrol fiyat riski ve hisse senedi fiyatları arasındaki ilişkinin belirlenmesi: Türkiye'de enerji sektörü üzerinde bir uygulama. Journal of Atatürk University faculty of economics and administrative sciences, 24(4), 297-315.
  • Hamilton, J . D. (2003). What ıs an oil shock?. Journal Of Econometrics, 113, 363-398.
  • Huang, R. D., Masulis, R. W., & Stoll, H. R. (1996). Energy shocks and financial markets, Journal of futures markets, 16, 1-27.
  • İşcan, E., (2010). Petrol fiyatının hisse senedi piyasası üzerindeki etkisi. Maliye dergisi, 158, 607-617.
  • Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of economic dynamics and control, 12, 293-300.
  • Johansen, S., & Juselius, K. (1990). Maximum likelihood estimation and ınferences on cointegration with applications to the demand for money. Oxford bulletin of economics and statistics, 52, 169–210.
  • Jones, C.M., & Kaul, F. (1996). Oil and the stock markets. The journal of finance, 51(2) , 463- 491.
  • Kapusuzoğlu, A. (2011). Relationships between oil price and stock market: an empirical analysis from ıstanbul stock exchange (ISE). International journal of economics and finance, 3(6), 99-106.
  • Maghyereh, A., & Al-Kandari, A. (2007). Oil prices and stock markets in gcc countries: New Evidence from nonlinear cointegration analysis. Managerial finance, 33 (7), 449-460.
  • 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.
  • Malik, F., & Hammoudeh, S. (2007). Shock and volatility transmission in the oil, us and gulf equity markets, International review of economics and finance, 16, 357-368.
  • Narayan, P.K., & Narayan, S. (2010). Modelling Th e Impact Of Oil Prices On Vietnam's Stock Prices. Applied Energy, 87, 356-361.
  • Sadorsky, P. (1999). Oil Price Shocks and Stock Market Activity. Energy Economics, 2, 449-469.
  • Şan, F. B. (2014). Hisse senedi piyasasına katılma eğilimlerine etki eden davranışsal faktörler: işletme bölümü öğrencilerine üzerine bir araştırrna. Unpublished master's thesis, Muğla Sıtkı Koçman university ınstitute of social sciences, Muğla.
  • Şener, S., Yılancı, V., & Tıraşoğlu, M. (2013). Petrol fiyatları ile borsa İstanbul'un kapanı fiyatları arasındaki saklı ilişkinin analizi. Selçuk üniversitesi İİBF sosyal ve ekonomik araştırmalar dergisi, 26, 231-248.
  • Takim, A. (2010). Türkiye’de GSYİH ile ihracat arasındaki ilişki: Granger nedensellik testi. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 14(2), 315-330.
There are 24 citations in total.

Details

Primary Language English
Subjects Economics
Journal Section Research Article
Authors

Mesut Aslan 0000-0003-2338-7474

Early Pub Date May 29, 2023
Publication Date May 30, 2023
Submission Date December 1, 2022
Acceptance Date March 27, 2023
Published in Issue Year 2023 Volume: 13 Issue: 25

Cite

APA Aslan, M. (2023). THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES: EVIDENCE FROM BIST SECTORS. Dicle Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 13(25), 196-215. https://doi.org/10.53092/duiibfd.1213095
AMA Aslan M. THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES: EVIDENCE FROM BIST SECTORS. Dicle Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. May 2023;13(25):196-215. doi:10.53092/duiibfd.1213095
Chicago Aslan, Mesut. “THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES: EVIDENCE FROM BIST SECTORS”. Dicle Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi 13, no. 25 (May 2023): 196-215. https://doi.org/10.53092/duiibfd.1213095.
EndNote Aslan M (May 1, 2023) THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES: EVIDENCE FROM BIST SECTORS. Dicle Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 13 25 196–215.
IEEE M. Aslan, “THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES: EVIDENCE FROM BIST SECTORS”, Dicle Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol. 13, no. 25, pp. 196–215, 2023, doi: 10.53092/duiibfd.1213095.
ISNAD Aslan, Mesut. “THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES: EVIDENCE FROM BIST SECTORS”. Dicle Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 13/25 (May 2023), 196-215. https://doi.org/10.53092/duiibfd.1213095.
JAMA Aslan M. THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES: EVIDENCE FROM BIST SECTORS. Dicle Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2023;13:196–215.
MLA Aslan, Mesut. “THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES: EVIDENCE FROM BIST SECTORS”. Dicle Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, vol. 13, no. 25, 2023, pp. 196-15, doi:10.53092/duiibfd.1213095.
Vancouver Aslan M. THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES: EVIDENCE FROM BIST SECTORS. Dicle Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2023;13(25):196-215.

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