Çoklu Yapısal Kırılmalar Altında Petrol Fiyatlarının Türk Hisse Senedi Piyasaları Üzerindeki Etkisinin İncelenmesi

Year 2017, Volume: 1 Issue: 3, 15 - 32, 06.09.2017

Önder Büberkökü

Abstract

Bu çalışmada yapısal  kırılmalar altında  petrol  fiyatlarının Türk hisse senedi piyasaları
üzerindeki etkisi incelenmiştir. Hisse senedi  endeksleri  olarak  BIST100,
BIST Mali, BIST Sınai ve BIST Hizmet endeksleri, petrol fiyatlarını temsilen ise
Brent petrol fiyatları kullanılmıştır. Serilerde yapısal bir değişim olup
olmadığı  Peron ve Yabu (2009) testi ile
modellerde bir rejim değişimi olup olmadığı ise Bai ve Perron (1998, 2003)
testi ile incelenmiştir. Serilerin durağanlığının tespitinde Carrion-i Silvestre
vd. (2009) yapısal kırılmalı birim kök testinden, değişkenler  arasındaki uzun dönemli ilişkisinin tespitinde
ise rejim değişimine izin veren Gregory ve Hansen (1996) ile Hatemi-J (2008) koentegrasyon
testlerinden  yararlanılmıştır. Nedensellik
analizinde ise rejim değişim dönemleri dikkate alınarak Toda-Yamamoto (1995)
testi kullanılmıştır.  Çalışma  bulguları 
tüm dönem dikkate alındığında petrol  fiyatları ile Türk hisse senedi piyasaları  arasında uzun dönemli ve pozitif  bir ilişki olduğuna işaret etmektedir.  Rejim değişimleri dikkate alındığında ise petrol
fiyatlarında sert fiyat hareketlerinin yaşandığı dönemlerde  petrol fiyatlarının Türk hisse senedi
piyasalarını negatif yönde etkilediği ve değişkenler arasındaki nedensellik ilişkisinin
ise giderek zayıfladığı   belirlenmiştir.

Keywords

Petrol fiyatı, Hisse senedi piyasası, Yapısal kırılmalar

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