The Effect of Crude Oil on Developing Countries’ Stock Markets: Variance Casuality Analysis

Year 2019, Issue: 61, 66 - 83, 23.07.2019

Ahmet Galip Gençyürek , Erhan Demireli

Abstract

Due to the free movement of capital and advancing technology, the
interaction between markets increase day by day. While analysing markets; the
interaction direct to companies, individual and institutional investors and
policymakers to considering different markets as well as domestic news. One of
the most important among these markets is the oil market. The oil market has
significant impacts on macroeconomic indicators (inflation, interest rates and
unemployment, etc.) and production costs, sales revenues and cash flows of
firms. According to this, the aim of the study is to reveal the relationship
between emerging stock markets and oil market. For this purpose, WTI crude oil
price and MSCI Emerging Market Index were analysed by Moon and Yu (2010)
approach in the period span from 2012 to 2018. As a result of the analysis; there
is a return spill over from crude oil markets to emerging stock markets. In
case of opposite direction, volatility spill over was determined. The findings
will contribute to the decision-making process of investors, policymaker and
researchers for the analysed period.

Keywords

MSCI Emerging Market Index, WTI Crude Oil Market, Return Spill over, Volatility Spill over

Gelişmekte Olan Ülkelerin Borsaları Üzerinde Ham Petrolün Etkisi: Varyans Nedensellik Analizi

Abstract

Küreselleşme süreci ile birlikte
artan finansal liberalizasyon ve gelişen teknolojiler, piyasalar arasındaki
etkileşimi arttırmaktadır. Artan etkileşimler de piyasaları bir yandan daha
dalgalı ve kırılgan hale getirmektedir. Bu nedenler; şirketleri, bireysel ve
kurumsal yatırımcıları ve politika yapıcıları volatilite kavramını analize
yönlendirmektedir. Çalışmanın amacı, volatilitenin artan öneminden hareketle
petrol piyasasının belirsizliğinin gelişmekte olan ülkelerin borsa
endekslerinin belirsizliği üzerindeki etkisini varyans nedensellik analizi ile
gerçekleştirmektir. 2012-2018 dönemi günlük verilerinin analiz edildiği
çalışmada, Moon ve Yu (2010) tarafından ileri sürülen varyans nedensellik
yaklaşımı kullanılmıştır. Yapılan analiz sonucunda petrol piyasasından MSCI
Gelişmekte Olan Ülkeler Endeksi’ne doğru volatilite yayılımı belirlenememiştir.
Elde edilen bulguların yatırımcıların, şirketlerin ve politika yapıcıların
ilgili döneme ilişkin karar süreçlerine katkıda bulunacağı düşünülmektedir.

Keywords

MSCI Gelişmekte Olan Piyasalar Endeksi, WTI Ham Petrol Piyasası, Varyans Nedenselik Analizi, Oynaklık Etkileşimi

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