Relationship Between Oil Prices And Stock Market Index Value: A Case Of Middle East Countries

Year 2019, Volume: 13 Issue: 19, 1620 - 1649, 30.09.2019

Erkan Alsu

https://doi.org/10.26466/opus.598831

Cited By: 3

Abstract

The aim of this study is to investigate the
long-term and short-term causality relationship between oil prices and stock
market index values. In this context, crude oil prices with Turkey, Saudi
Arabia, Jordan, United Arab Emirates, Bahrain, the data belonging to Middle
Eastern countries such as Qatar and Kuwait stock exchange index is used. In
this study, monthly price data for the period between April 2004 and March 2019
are discussed. In this study,The reason why the Middle Eastern countries were
selected is that these countries produced about one third of the world's oil
production. These data were analyzed with the help of Hatemi J and Maki
cointegration tests and then Toda-Yamamoto and Fourier Toda Yamamoto causality
tests in order to reveal the causality relationship. As a result of this study,
it was found that the indices of the countries other than Saudi Arabia have a
cointegrated relationship with the oil prices in the long run and there is a
causal relationship from the oil prices to the UAE, Bahrain, Qatar and Kuwait
indices in the short run. In addition, it is determined that there is a
causality relationship from the stock market indexes of UAE and Kuwait
countries to oil prices in the short term.

Keywords

Oil prices, Stock Market Index Value, Hatemi J, Maki Cointegration

Petrol Fiyatları ve Borsa Endeks Değeri Arasındaki İlişki : Ortadoğu Ülkeleri Örneği

Abstract

Bu çalışmanın amacı
petrol fiyatları ile borsa endeks değerleri arasında uzun dönem ve kısa dönem
nedensellik ilişkisinin incelenmesidir. 
Bu kapsamda ham petrol fiyatları ile Türkiye, Suudi Arabistan, Ürdün,
Birleşik Arap Emirlikleri, Bahreyn, Katar ve Kuveyt gibi Ortadoğu ülkelerinin
borsa endekslerine ait veriler kullanılmıştır. Bu çalışmada, Nisan 2004 ile
Mart 2019 yılları arasındaki döneme ilişkin aylık fiyat verileri ele
alınmıştır.  Bu çalışmada, Ortadoğu
ülkelerinin seçilmiş olması bu ülkelerin dünya petrol üretiminin yaklaşık üçte
birini üretmiş olmasıdır. Çalışmada, nedensellik ilişkisinin ortaya konulması
amacıyla, Hatemi J ve Maki eşbütünleşme testleri ve sonrasında ise
Toda-Yamamoto ve Fourier Toda Yamamoto nedensellik testleri yardımı ile analiz
edilmiştir. Çalışmanın sonucunda Suudi Arabistan dışındaki diğer ülkelerin
endekslerinin uzun dönemde petrol fiyatları ile eşbütünleşik ilişkiye sahip
oldukları ve kısa dönemde petrol fiyatlarından BAE, Bahreyn, Katar ve Kuveyt
endekslerine doğru bir nedensellik ilişkisinin var olduğu tespit edilmiştir.
Ayrıca, kısa dönemde BAE ve Kuveyt ülkelerine ait borsa endekslerden, petrol
fiyatlarına doğru bir nedensellik ilişkisinin olduğu belirlenmiştir.

Keywords

Petrol fiyatları, Borsa Endeks Değeri, hatemi j, Maki Eşbütünleşme

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