SavedAdd your journal

Journals / Bandırma Onyedi Eylül Üniversitesi Sosyal Bilimler Araştırmaları Dergisi / 2018 / Cilt: 1 - Sayı: 1

DO NEGATIVE OIL PRICE SHOCKS AFFECT THE INDUSTRIAL SECTOR STOCK PRICES MORE THAN POSITIVE SHOCKS? A BIVARIATE EGARCH ANALYSIS FOR TURKEY.

NEGATİF PETROL FİYAT ŞOKLARININ SANAYİ SEKTÖRÜ ÜZERİNE ETKİSİ POZİTİF FİYAT ŞOKLARINDAN FAZLA MIDIR? TÜRKİYE ÜZERİNE İKİ DEĞİŞKENLİ EGARCH ANALİZİ.

Samet TÜZEMEN
Mustafa KÖSEOĞLU
Pages
1–15
Publication Date
2018-06-30
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

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

Results show that there are asymmetric volatility spillovers from oil returns to all of the industrial sector returns as well as the BIST 100 index returns except mining sector.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This paper investigates the asymmetric volatility spillover from oil prices to Turkish industrial main and sub-sectors’ stock prices and Borsa Istanbul 100 index (BIST 100) as a whole.
📊
Key Findings & Data:A bivariate VAR-EGARCH model is employed to the daily return data cover the period between August 03, 2009 and June 30, 2016.
💡
Conclusion & Impact:Results show that there are asymmetric volatility spillovers from oil returns to all of the industrial sector returns as well as the BIST 100 index returns except mining sector.
🔬Design:Modeling & Simulation
📍Scope:2009 Verileri
⚙️Variables:Petrol fiyatları · Türk sanayi sektörü · Asimetrik oynaklık yayılımı

Abstract

This paper investigates the asymmetric volatility spillover from oil prices to Turkish industrial main and sub-sectors’ stock prices and Borsa Istanbul 100 index (BIST 100) as a whole. A bivariate VAR-EGARCH model is employed to the daily return data cover the period between August 03, 2009 and June 30, 2016. Results show that there are asymmetric volatility spillovers from oil returns to all of the industrial sector returns as well as the BIST 100 index returns except mining sector. These findings imply that the negative shocks in the oil returns affect the industrial sector returns more than positive shocks.

Özet

Petrol dünyada en çok takip edilen emtia olma özelliğine sahiptir. Gerek arz ve talebi gerekse bunun sonucu olarak fiyatları bakımından petrol yalnızca makroekonomik göstergeler üzerinde değil aynı zamanda finansal piyasalar üzerinde de etkin bir rol oynayan bir değişkendir. Bu çalışmada da petrol fiyatlarından Türkiye’deki toplam ve alt sektörler bazında Borsa İstanbul’da işlem gören sanayi sektörüne ait hisse senedi fiyatlarına doğru asimetrik oynaklık yayılımının olup olmadığı incelenmiştir. Bu bağlamda, 03.08.2009-30.07.2016 tarihleri arasında günlük olarak derlenen ve getiri serisi haline dönüştürülen veri setine iki değişkenli VAR-EGARCH modeli uygulanmıştır. Elde edilen sonuçlara göre, petrolden madencilik sektörü hariç tüm sektörlere ve BİST 100 endeksine doğru asimetrik bir oynaklık yayılımı vardır. Buna göre petrol fiyatlarında meydana gelen negatif oynaklıkların hisse senetleri üzerinde pozitif olanlara göre daha fazla etkisi olduğu söylenebilir.

🔖

Cite This Article

TÜZEMEN, S., KÖSEOĞLU, M. (2018). DO NEGATIVE OIL PRICE SHOCKS AFFECT THE INDUSTRIAL SECTOR STOCK PRICES MORE THAN POSITIVE SHOCKS? A BIVARIATE EGARCH ANALYSIS FOR TURKEY.. Bandırma Onyedi Eylül Üniversitesi Sosyal Bilimler Araştırmaları Dergisi, Cilt: 1 - Sayı: 1, 1–15. https://ajindex.com/articles/740346

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (13)

  1. Arouri, M. E. H., & Nguyen, D. K. (2010) “Oil prices, stock markets and portfolio investment: evidence from sector analysis in Europe over the last decade”, Energy Policy, 38(8): 4528-4539.
  2. Arouri, M. E. H., Lahiani, A. & Nguyen, D. K. (2011) “Return and volatility transmission between world oil prices and stock markets of the GCC countries”, Economic Modelling, 28(4): 1815-1825.
  3. Basher, S. A., & Sadorsky, P. (2006) “Oil price risk and emerging stock markets”, Global Finance Journal, 17(2): 224-251.
  4. Bollerslev, T., & Wooldridge, J. M. (1992) “Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances”, Econometric Reviews, 11(2): 143-172.
  5. BP Energy Outlook. (2017). https://www.bp.com/content/dam/bp/pdf/energy-economics/energy-outlook-2017/bp-energy-outlook-2017.pdf Accessed 06.03.2018.
  6. Chen, N., Richard, R., Stephen, A. R. (1986) “Economic forces and the stock market”, Journal of Business, 59(3): 383-403.
  7. Dhaoui, A., & Khraief, N. (2014) “Empirical linkage between oil price and stock market returns and volatility: evidence from international developed markets”, Institute for the World Economy, 12, http://www.economics-ejournal.org/economics/discussionpapers Accessed 05 August 2016.
  8. Falzon, J., & Castillo, D. (2013) “The Impact of Oil Prices on Sectoral Equity Returns: Evidence from UK and US Stock Market Data”, Journal of Financial Management, Markets and Institutions, 1(2): 247-268.
  9. Filis, G., Degiannakis, S. & Floros, C. (2011) “Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries”, International Review of Financial Analysis, 20(3): 152-164.
  10. Fukunaga, I., Hirakata, N. & Sudo, N. (2010) “The effects of oil price changes on the industry-level production and prices in the US and Japan”, National Bureau of Economic Research, 15791. Gencer, H. G., & Demiralay, S. (2014) “Shock and Volatility Spillovers between Oil Prices and Turkish Sectors Returns”, International Journal of Economics and Finance, 6(2): 174-180.
  11. Gomes, M., & Chaibi, A. (2014) “Volatility Spillovers between Oil Prices and Stock Returns: A Focus on Frontier Markets”, The Journal of Applied Business Research, 30(2): 509-526.
  12. Hamilton, J. D. (1994) “Time Series Analysis”, (1. Title). New Jersey: Princeton University Press, (Chapter 21). http://virtualpanic.com/anonymousftplistings/ebooks/ECONOMICS/Time-Series%20Analysis%20By%20Hamilton%20(Econometrics).pdf Accessed 25 January 2016.
  13. Henriques, I., & Sa