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Journals / Finansal Araştırmalar ve Çalışmalar Dergisi / 2014 / Cilt: 5 - Sayı: 10

Examining the relationship between the global commodıty prices and stock returns: An application to Kardemir and izdemir

Küresel emtia fiyatları ile hisse senedi getirileri arasındaki ilişkinin incelenmesi: Kardemir ve izdemir üzerine bir uygulama

Muhammet BELEN
Murat YILDIRIM
Yasin KÜTÜK
Pages
107–138
Publication Date
2022-10-18
DOI
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AI Summary & Key Takeaways

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

As a result of thisstudy it has been determined that there is a long-term cointegration relationship between ironand steel prices and stock returns, but found there is no causality relationship between them.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The relationship between global commodity prices and stock markets has been examinedby a number of studies in the literature.
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Key Findings & Data:For this purpose, steel price changes andstock prices of companies in BIST basic metals indices were analyzed with cointegration, vectorerror correction and causality tests in the period of 1999:01-2012:06.
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Conclusion & Impact:As a result of thisstudy it has been determined that there is a long-term cointegration relationship between ironand steel prices and stock returns, but found there is no causality relationship between them.
🔬Design:Research Article
📍Scope:2012 Verileri
⚙️Variables:Domain Parameters

Abstract

The relationship between global commodity prices and stock markets has been examinedby a number of studies in the literature. The purpose of this study is to test the efects of the volatility of global commodity prices on the stock returns. For this purpose, steel price changes andstock prices of companies in BIST basic metals indices were analyzed with cointegration, vectorerror correction and causality tests in the period of 1999:01-2012:06. In the study with rebar andwire rod prices Kardemir(D) and İzdemir(B) stock return indices are used. As a result of thisstudy it has been determined that there is a long-term cointegration relationship between ironand steel prices and stock returns, but found there is no causality relationship between them.

Özet

Küresel emtia fiyatlarıyla hisse senedi piyasaları arasındaki ilişki literatürde çok sayıda çalışma tarafından ele alınmıştır. Bu çalışmanın amacı, küresel emtia fiyatlarında yaşanan volatilitenin şirketlerin hisse senedi getirileri üzerindeki etkilerini test etmektir. Bu amaçla çalışmada1999:01-2012:06 zaman aralığında uluslararası demir çelik fiyat değişimleri ile BISTde işlem gören ana metal sanayi şirketlerinin hisse senedi fiyatlarının eşbütünleşim, hata düzeltme modellerive nedensellik testleri ile analizi gerçekleştirilmiştir. Çalışmada inşaat demiri ve filmaşin fiyatlarıile Kardemir(D) ve İzdemir(B) hisse senetlerine ait getiri endeksleri kullanılmıştır. Çalışmanınsonucunda demir çelik fiyatlarıyla hisse senedi getirileri arasında uzun dönem eşbütünleşim ilişkisinin olduğu fakat aralarında bir nedensellik ilişkisi olmadığı tespit edilmiştir.

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Cite This Article

BELEN, M., YILDIRIM, M., KÜTÜK, Y. (2022). Examining the relationship between the global commodıty prices and stock returns: An application to Kardemir and izdemir. Finansal Araştırmalar ve Çalışmalar Dergisi, Cilt: 5 - Sayı: 10, 107–138. https://ajindex.com/articles/516451

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