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Journals / Sosyoekonomi / 2023 / Cilt: 31 - Sayı: 55

The Asymmetric Impacts of Oil Prices and Selected Macroeconomic Variables on Stock Markets: The Case of Turkey

Petrol Fiyatları ile Seçilmiş Makroekonomik Değişkenlerin Hisse Senedi Piyasasına Asimetrik Etkileri: Türkiye Örneği

Anıl AKÇAĞLAYAN
Sevgi Eda TUZCU
Pages
125–149
Publication Date
2023-01-31
DOI
—
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AI Summary & Key Takeaways

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

Quantile regressions show that the effects of oil price shocks are more visible at the low levels of the stock market.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This paper investigates the asymmetric impacts of crude oil prices and other selected macroeconomic variables on the Turkish stock market for the period between 2005:01-2021:06 through the combination of the NARDL model and the quantile regression approach.
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Key Findings & Data:A positive shock by 1% decreases stock returns by 0.67%, while oil price declines have no significant impact.
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Conclusion & Impact:Quantile regressions show that the effects of oil price shocks are more visible at the low levels of the stock market.
🔬Design:Modeling & Simulation
📍Scope:2005 Verileri
⚙️Variables:BIST100 · NARDL · Ham Petrol Fiyatları

Abstract

This paper investigates the asymmetric impacts of crude oil prices and other selected macroeconomic variables on the Turkish stock market for the period between 2005:01-2021:06 through the combination of the NARDL model and the quantile regression approach. The findings support the existence of cointegration between the stock market and oil prices. The variations in oil prices have asymmetric impacts in the long run. A positive shock by 1% decreases stock returns by 0.67%, while oil price declines have no significant impact. Quantile regressions show that the effects of oil price shocks are more visible at the low levels of the stock market.

Özet

Bu çalışmada, 2005:01-2021:06 döneminde ham petrol fiyatları ile diğer seçilmiş makroekonomik değişkenlerin Türkiye hisse senedi piyasası üzerindeki asimetrik etkileri, NARDL modeli ve kantil regresyon yaklaşımı çerçevesinde ele alınmıştır. Bulgular, hisse senedi piyasası ile petrol fiyatları arasında eşbütünleşme olduğunu göstermektedir. Petrol fiyatlarındaki değişimin uzun dönemde asimetrik etkisi vardır. Petrol fiyatlarındaki %1’lik bir pozitif şok, hisse senedi fiyatlarını %0,67 düşürürken; fiyat düşüşlerinin anlamlı bir etkisi bulunmamaktadır. Kantil regresyon sonuçları, petrol fiyatı etkilerinin özellikle borsanın düşmekte olduğu dönemlerde gözle görülür hale geldiğini göstermektedir.

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Cite This Article

AKÇAĞLAYAN, A., TUZCU, S. E. (2023). The Asymmetric Impacts of Oil Prices and Selected Macroeconomic Variables on Stock Markets: The Case of Turkey. Sosyoekonomi, Cilt: 31 - Sayı: 55, 125–149. https://ajindex.com/articles/880155

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