AI Summary & Key Takeaways
AI InsightAccording to the research results, implementation of non-linear methods for such econometric relationships is required.
📌 3 Key Takeaways
Abstract
Purpose - The aim of this study is to analyze the impact of the OPEC oil price shock on the performance of the BIST 100 index, which is regarded as a major indicator of the Turkish stock market. With regard to the energy dependence of Türkiye and the role of oil in economic activities, any changes in oil prices can greatly affect the performance of the Turkish stock market index. Therefore, this research attempts to investigate whether positive and negative OPEC oil price shocks have an asymmetric impact on the performance of the BIST 100 index. Methodology - The NARDL model is utilized for analyzing the asymmetric impact of OPEC oil price shocks on the BIST 100 index in the short- and long-term periods. In particular, monthly time series data from January 2010 to March 2026 is used for the investigation. Besides oil price changes, the following variables are taken into consideration: USD/TRY exchange rates, Türkiye's 5-year sovereign credit default swap premium, and the U.S. Effective Federal Funds Rate (EFFR). Findings - The results reveal an asymmetric relationship between OPEC oil price shocks and the BIST 100 index. In the long run, only negative oil price shocks significantly and positively influence the BIST 100 index. The positive oil price shocks have a weak positive lagged effect in the short run, while the negative oil price shocks have a significant negative lagged effect in the short run, confirming asymmetric responses of the BIST 100 market. Conclusion - The findings confirm that the Turkish stock market responds asymmetrically to OPEC oil price shocks in both the long and short run. According to the research results, implementation of non-linear methods for such econometric relationships is required.