ENERJİ FİYATLARI İLE BORSA İSTANBUL ENDEKSLERİ ARASINDAKİ İLİŞKİLERİN TEST EDİLMESİ

Yıl 2021, Cilt: 8 Sayı: 1, 370 - 398, 26.03.2021

Faruk Temel , Mehmet Eryiğit

https://doi.org/10.30798/makuiibf.821611

Cited By: 3

Öz

Enerji kaynakları arasında en çok kullanılan petrol ve doğal gaz birçok alanda ham madde olarak tüketilmektedir. Teknolojinin gelişmesi ve artan nüfus, bu enerji kaynaklarını finansal piyasalar ve genel ekonomi için önemli kılmaktadır. Enerji ithal eden ve gelişmekte olan bir ülke olarak Türkiye enerji fiyatlarındaki değişmelerden aşırı derecede etkilenebilir. Bu çalışmada, 01.01.2007-31.10.2017 tarihleri arasındaki günlük veriler kullanılarak enerji fiyatları ile Borsa İstanbul endeksleri arasındaki uzun ve kısa vadeli ilişkiler, Johansen eşbütünleşme, vektör otoregresyon (VAR), Granger nedensellik testleri ve etki-tepki fonksiyonları ile incelenmiştir. Enerji fiyatları ile Borsa İstanbul endeksleri arasında uzun vadeli ilişki bulunamamıştır. Diğer taraftan, kısa vadede enerji fiyatlarının Borsa İstanbul endekslerini pozitif yönde etkilediği sonucuna varılmıştır. Ayrıca petrol fiyatlarının doğal gaz, Gıda İçecek endeksi ve Kimya Petrol Plastik endeksinin Granger nedeni olduğu tespit edilmiştir.

Anahtar Kelimeler

Enerji Fiyatları, Borsa İstanbul, Sektör Endeksleri

TESTING THE RELATIONSHIPS BETWEEN ENERGY PRICES AND THE BORSA ISTANBUL INDICES

Öz

Oil and natural gas which are the most used energy sources are consumed as raw materials in many fields. The development of technology and population increase makes these energy sources important for financial markets and the overall economy. Turkey, energy importing and developing country, may be influenced intensely by changes in energy prices. In this study, long-term and short-term relationships between energy prices and Borsa Istanbul indices using daily data between 01.01.2007-31.10.2017 were examined by Johansen cointegration, vector autoregression (VAR), Granger causality tests, and impulse-response functions. The long-term relationship between energy prices and Borsa Istanbul indices was not found. On the other hand, it was concluded that energy prices had positive impacts on Borsa Istanbul indices in the short-term. Furthermore, oil prices Granger cause natural gas prices, Food Beverage, and Chemical Petrol Plastic indices.

Anahtar Kelimeler

Energy Prices, Borsa Istanbul, Sector Indices

Kaynakça

• Abdioğlu, Z., & Değirmenci, N. (2016). Petrol Fiyatı Şoklarının Hisse Senedi Getirileri Üzerindeki Etkileri. TISK Academy/TISK Akademi, 11(22), 330-351.
• Acaravcı, S. K., & Reyhanoğlu, İ. (2013). Enerji fiyatlari ve hisse senedi getirileri: Türkiye ekonomisi için bir uygulama. Nevşehir Haci Bektaş Veli Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 3, 94-110.
• Apergis, N., & Miller, S. M. (2009). Do structural oil-market shocks affect stock prices? Energy Economics, 31(4), 569-575.
• Bagirov, M., & Mateus, C. (2019). Oil prices, stock markets and firm performance: Evidence from Europe. International Review of Economics & Finance, 61, 270-288.
• Basher, S. A., & Sadorsky, P. (2006). Oil price risk and emerging stock markets. Global Finance Journal, 17(2), 224-251.
• Bastianin, A., Conti, F., & Manera, M. (2016). The impacts of oil price shocks on stock market volatility: Evidence from the G7 countries. Energy Policy, 98, 160-169.
• Bayraç, H. N. (2005). Uluslararasi petrol piyasasinin ekonomik analizi. Osmangazi Üniversitesi, 67.
• Brown, S. P. A., Yucel, M. K., & Thompson, J. (2003). Business cycles: The role of energy prices. Federal Reserve Bank of Dallas, Research Department.
• Cevik, N. K., Cevik, E. I., & Dibooglu, S. (2020). Oil prices, stock market returns and volatility spillovers: Evidence from Turkey. Journal of Policy Modeling 42, 597-614.
• Chortareas, G., & Noikokyris, E. (2014). Oil shocks, stock market prices, and the US dividend yield decomposition. International Review of Economics & Finance, 29, 639-649.
• Cong, R. G., Wei, Y. M., Jiao, J. L., & Fan, Y. (2008). Relationships between oil price shocks and stock market: An empirical analysis from China. Energy Policy, 36(9), 3544-3553.
• Çelik, T., & Çetin, A. (2007). Petrol fiyatlarının makroekonomik etkileri: Türkiye ekonomisi için ampirik bir uygulama. Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksek Okulu Dergisi, 10(1-2), 97-116.
• Doroodian, K., & Boyd, R. (2003). The linkage between oil price shocks and economic growth with inflation in the presence of technological advances: a CGE model. Energy Policy, 31(10), 989-1006.
• Eryiğit, M. (2009). Effects of Oil price changes on the sector indices of Istanbul stock exchange‖. International Research Journal of Finance and Economics, 25(2), 209-216.
• Eyüboğlu, K., & Eyüboğlu, S. (2016). Doğal gaz ve petrol fiyatları ile BIST Sanayi Sektörü endeksleri arasındaki ilişkinin incelenmesi. Journal of Yasar University, 11(42).
• Faff, R. W., & Brailsford, T. J. (1999). Oil price risk and the Australian stock market. Journal of Energy Finance & Development, 4(1), 69-87.
• Firuzan, E. (2010). Türkiye petrol fiyatları oynaklığının modellenmesi. Ekonometri ve İstatistik e-Dergisi, (12), 1-17.
• Güler, S., Tunç, R., & Orçun, Ç. (2010). Petrol fiyat riski ve hisse senedi fiyatlari arasindaki ilişkinin belirlenmesi: Türkiye’de enerji sektörü üzerinde bir uygulama. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(4), 297-315.
• Hamdi, B., Aloui, M., Alqahtani, F., & Tiwari, A. (2019). Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis. Energy Economics, 80, 536-552.
• Hamilton, J. D. (2003). What is an oil shock? Journal of Econometrics, 113(2), 363-398.
• Henriques, I., & Sadorsky, P. (2008). Oil prices and the stock prices of alternative energy companies. Energy Economics, 30(3), 998-1010.
• Hu, C., Liu, X., Pan, B., Chen, B., & Xia, X. (2018). Asymmetric impact of oil price shock on stock market in China: A combination analysis based on SVAR model and NARDL model. Emerging Markets Finance and Trade, 54(8), 1693-1705.
• Huang, B. N., Hwang, M. J., & Peng, H. P. (2005). The asymmetry of the impact of oil price shocks on economic activities: an application of the multivariate threshold model. Energy Economics, 27(3), 455-476.
• Huang, R. D., Masulis, R. W., & Stoll, H. R. (1996). Energy shocks and financial markets. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 16(1), 1-27.
• Jammazi, R., Ferrer, R., Jareño, F., & Shahzad, S. J. H. (2017). Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective? International Review of Economics & Finance, 49, 453-483.
• Jones, D. W., Leiby, P. N., & Paik, I. K. (2004). Oil price shocks and the macroeconomy: What has been learned since 1996. The Energy Journal, 25(2).
• Kilian, L., & Park, C. (2009). The impact of oil price shocks on the US stock market. International Economic Review, 50(4), 1267-1287.
• Lee, K., & Ni, S. (2002). On the dynamic effects of oil price shocks: A study using industry level data. Journal of Monetary Economics, 49(4), 823-852.
• Maghyereh, A. (2006). Oil price shocks and emerging stock markets: A generalized VAR approach. Global Stock Markets and Portfolio Management (pp. 55-68). Palgrave Macmillan, London.
• Malik, F., & Ewing, B. T. (2009). Volatility transmission between oil prices and equity sector returns. International Review of Financial Analysis, 3(18), 95-100.
• Nandha, M., & Faff, R. (2008). Does oil move equity prices? A global view. Energy Economics, 30(3), 986-997.
• Narayan, P. K., & Narayan, S. (2010). Modelling the impact of oil prices on Vietnam’s stock prices. Applied Energy, 87(1), 356-361.
• Narayan, P. K., & Sharma, S. S. (2011). New evidence on oil price and firm returns. Journal of Banking & Finance, 35(12), 3253-3262.
• Ono, S. (2011). Oil price shocks and stock markets in BRICs. The European Journal of Comparative Economics, 8(1), 29-45.
• Ordu-Akkaya, B. M., & Soytas, U. (2020). Unconventional monetary policy and financialization of commodities. The North American Journal of Economics and Finance, 51, 100902.
• Öztürk, M. B., Gümüş, G. K., Taşkın, F. D., & Çağlı, E. Ç. (2013). Petrol ve Doğalgaz Fiyatları ile İmalat ve Kimya-Petrol-Plastik Sektörlerinin Endeksleri Arasındaki İlişki. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 6(2), 64.
• Polat, O. (2020). Time-varying propagations between oil market shocks and a stock market: Evidence from Turkey. Borsa Istanbul Review, 20(3), 236-243.
• Ratti, R. A., & Hasan, M. Z. (2013). Oil price shocks and volatility in Australian stock returns. Economic Record, 89, 67-83.
• Sakaki, H. (2019). Oil price shocks and the equity market: Evidence for the S&P 500 sectoral indices. Research in International Business and Finance, 49, 137-155.
• Şener, S., Yılancı, V., & Tıraşoğlu, M. (2013). Petrol Fiyatlari İle Borsa İstanbul’un Kapaniş Fiyatlari Arasindaki Sakli İlişkinin Analizi. Sosyal Ekonomik Araştırmalar Dergisi, (26), 231-248.
• Thorbecke, W. (2019). Oil prices and the US economy: Evidence from the stock market. Journal of Macroeconomics, 61, 103137.
• Tiwari, A. K., Jena, S. K., Mitra, A., & Yoon, S. M. (2018). Impact of oil price risk on sectoral equity markets: implications on portfolio management. Energy Economics, 72, 120-134.
• Toraman, C., Basarir, C., & Bayramoglu, M. F. (2011). Effects of crude oil price changes on sector indices of Istanbul stock exchange. European Journal of Economic and Political Studies, 4(2), 109-124.
• Ünlü, U., & Topçu, M. (2012). Do oil prices directly affect stock markets: Evidence from Istanbul Stock Exchange. Iktisat Isletme ve Finans, 27(319), 75-88.
• Vardar, G., Kurt-Gumus, G., & Delice, M. E. (2018). The impact of oil price shocks on sector indices: Evidence from Borsa İstanbul. Business and Economics Research Journal, 9(2), 271-289.
• Waheed, R., Wei, C., Sarwar, S., & Lv, Y. (2018). Impact of oil prices on firm stock return: industry-wise analysis. Empirical Economics, 55(2), 765-780.
• Yıldırım, D. Ç., Erdoğan, S., & Çevik, E. İ. (2018). Regime-dependent effect of crude oil price on BRICS stock markets. Emerging Markets Finance and Trade, 54(8), 1706-1719.
• Yıldırım, E. (2016). Enerji fiyat şoklarının hisse senedi piyasasına etkisi: BİST örneğinde asimetrik nedensellik ve etki-tepki analizi kanıtları. Uluslararası Yönetim İktisat ve İşletme Dergisi, 30, 187-200.
• Yıldırım, M., Bayar, Y., & Kaya, A. (2014). Enerji fiyatlarının sanayi sektörü hisse senedi fiyatları üzerindeki etkisi: Borsa İstanbul sanayi sektörü şirketleri. Muhasebe ve Finansman Dergisi, (62), 93-108.