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Journals / TİSK Akademi / 2016 / Cilt: 11 - Sayı: 22

The Effects of Oil Price Shocks on Stock Returns

Petrol Fiyatı Şoklarının Hisse Senedi Getirileri Üzerindeki Etkileri

ZEHRA ABDİOĞLU
NURDAN DEĞİRMENCİ
Pages
330–351
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

According to the results, the causality between the real oil price and the real stock return is bidirectional.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The aim of this study is to investigate the effects of oil price shocks on interest rate, real stock return and economic activity for Turkey.
📊
Key Findings & Data:In this study, the dynamic relationships between series were investigated using vector autoregressive model (VAR) for the period of 1994:01-2013:07.
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Conclusion & Impact:According to the results, the causality between the real oil price and the real stock return is bidirectional.
🔬Design:Modeling & Simulation
📍Scope:2013 Verileri
⚙️Variables:Domain Parameters

Abstract

The aim of this study is to investigate the effects of oil price shocks on interest rate, real stock return and economic activity for Turkey. In this study, the dynamic relationships between series were investigated using vector autoregressive model (VAR) for the period of 1994:01-2013:07. The real oil price volatility series was generated using the GARCH(1,1) model. The dynamic effects of the real oil price and the real oil price volatility on economic activity, interest rate and real stock return were examined using impulse-response, variance decomposition and Granger causality analysis. According to the results, the causality between the real oil price and the real stock return is bidirectional.

Özet

Bu çalışmanın amacı Türkiye için petrol fiyatı şoklarının faiz oranı, reel hisse senedi getirisi ve ekonomik aktivite üzerindeki etkilerinin incelenmesidir. Çalışmada 1994:01-2013:07 dönemi itibariyle seriler arasındaki dinamik ilişkiler VAR analizi kullanılarak araştırılmıştır. Reel petrol fiyat oynaklığı serisi GARCH(1,1) modelinden yararlanılarak elde edilmiştir. Reel petrol fiyatı ile reel petrol fiyat oynaklığının ekonomik aktivite, faiz oranı ve reel hisse senedi getirileri üzerindeki dinamik etkileri etki-tepki, varyans ayrıştırma ve Granger nedensellik analizleri kapsamında incelenmiştir. Elde edilen bulgulara göre, reel petrol fiyatı ile reel hisse senedi getirisi arasında çift yönlü bir nedensellik ilişkisi söz konusudur.

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Cite This Article

ABDİOĞLU, Z., DEĞİRMENCİ, N. (2016). The Effects of Oil Price Shocks on Stock Returns. TİSK Akademi, Cilt: 11 - Sayı: 22, 330–351. https://ajindex.com/articles/364681

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