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Journals / Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2022 / Cilt: - Sayı: 62

SHORT- AND LONG-RUN ASYMMETRIC EFFECT OF OIL PRICE SHOCKS ON BIST100 RETURN INDEX: EVIDENCE FROM NARDL ANALYSIS

PETROL FİYATI ŞOKLARININ BİST100 GETİRİ ENDEKSİ ÜZERİNE KISA VE UZUN DÖNEM ASİMETRİK ETKİSİ: NARDL YAKLAŞIMINDAN KANITLAR

Halil ALTINTAŞ
Pages
25–55
Publication Date
2022-10-18
DOI
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AI Summary & Key Takeaways

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

Our results indicate that there is a nonlinear cointegration relationship between oil price shocks and BIST100 return, and that the effects of positive and negative changes in oil price shocks on stock market returns vary significantly in the short and long-run.

📌 3 Key Takeaways

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Objective & Hypothesis:This paper investigates the nonlinear effects of three types of oil price shocks proposed by Ready (2018), namely supply, demand, and risk shocks, on the BIST100 return using a recently developed nonlinear autoregressive distributed lags (NARDL) model on monthly data from January 2003 to January 2019.
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Key Findings & Data:Our results indicate that there is a nonlinear cointegration relationship between oil price shocks and BIST100 return, and that the effects of positive and negative changes in oil price shocks on stock market returns vary significantly in the short and long-run.
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Conclusion & Impact:In terms of total impact, both positive oil supply and positive oil risk shocks have a greater impact on lowering stock returns during this period.
🔬Design:Modeling & Simulation
📍Scope:2018 Verileri
⚙️Variables:Asimetri · Petrol Fiyatı Şokları · Hisse Senedi Fiyatı

Abstract

This paper investigates the nonlinear effects of three types of oil price shocks proposed by Ready (2018), namely supply, demand, and risk shocks, on the BIST100 return using a recently developed nonlinear autoregressive distributed lags (NARDL) model on monthly data from January 2003 to January 2019. Our results indicate that there is a nonlinear cointegration relationship between oil price shocks and BIST100 return, and that the effects of positive and negative changes in oil price shocks on stock market returns vary significantly in the short and long-run. The long-run coefficients of positive and negative oil demand shocks, respectively, are positive and negative but the positive demand shock is greater economic impact of the negative demand shock. This means that stock returns are more affected by global demand growth in Turkey. Furthermore, positive oil supply and positive risk shocks resulted in a decrease in stock return, while negative supply and negative risk shocks resulted in an increase in stock return. In terms of total impact, both positive oil supply and positive oil risk shocks have a greater impact on lowering stock returns during this period.

Özet

Bu çalışma, Türkiye’de 2003 Ocak-2019 Ocak dönemi arasında Ready (2018) tarafından önerilen üç farklı petrol fiyatı şokunun (talep, arz ve risk) BIST100 getirisi üzerindeki doğrusal olmayan etkisini NARDL modeli yaklaşımı ile incelemektedir. Elde ettiğimiz sonuçlarda petrol fiyatı şoklarıyla BIST100 getirisi arasında doğrusal olmayan eşbütünleşme ilişkisinin varlığına ve petrol fiyatı şoklarındaki pozitif ve negatif değişmelerin kısa ve uzun dönemde önemli ölçüde değiştiği sonucuna rastlanmıştır. Pozitif ve negatif petrol talep şokları katsayıları sırasıyla, pozitif ve negatiftir ve pozitif petrol talep şokunun negatif petrol talep şokundan daha büyük ekonomik etkiye sahiptir. Bu sonuç global talep artışından hisse getirilerinin daha fazla etkilendiği anlamına gelmektedir. Toplam etkiler değerlendirildiğinde hem pozitif petrol arz şokunun hem de pozitif petrol talep risk şokunun incelenen dönemde hisse senedi getirilerinin azalmasında daha büyük etkiye sahip olduğu sonucuna ulaşılmıştır.

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Cite This Article

ALTINTAŞ, H. (2022). SHORT- AND LONG-RUN ASYMMETRIC EFFECT OF OIL PRICE SHOCKS ON BIST100 RETURN INDEX: EVIDENCE FROM NARDL ANALYSIS. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt: - Sayı: 62, 25–55. https://ajindex.com/articles/503339

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