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Çoklu Yapısal Kırılmalar Altında Petrol Fiyatlarının Türk Hisse Senedi Piyasaları Üzerindeki Etkisinin İncelenmesi

Year 2017, Volume: 1 Issue: 3, 15 - 32, 06.09.2017

Abstract

Bu çalışmada yapısal  kırılmalar altında  petrol  fiyatlarının Türk hisse senedi piyasaları
üzerindeki etkisi incelenmiştir. Hisse senedi  endeksleri  olarak  BIST100,
BIST Mali, BIST Sınai ve BIST Hizmet endeksleri, petrol fiyatlarını temsilen ise
Brent petrol fiyatları kullanılmıştır. Serilerde yapısal bir değişim olup
olmadığı  Peron ve Yabu (2009) testi ile
modellerde bir rejim değişimi olup olmadığı ise Bai ve Perron (1998, 2003)
testi ile incelenmiştir. Serilerin durağanlığının tespitinde Carrion-i Silvestre
vd. (2009) yapısal kırılmalı birim kök testinden, değişkenler  arasındaki uzun dönemli ilişkisinin tespitinde
ise rejim değişimine izin veren Gregory ve Hansen (1996) ile Hatemi-J (2008) koentegrasyon
testlerinden  yararlanılmıştır. Nedensellik
analizinde ise rejim değişim dönemleri dikkate alınarak Toda-Yamamoto (1995)
testi kullanılmıştır.  Çalışma  bulguları 
tüm dönem dikkate alındığında petrol  fiyatları ile Türk hisse senedi piyasaları  arasında uzun dönemli ve pozitif  bir ilişki olduğuna işaret etmektedir.  Rejim değişimleri dikkate alındığında ise petrol
fiyatlarında sert fiyat hareketlerinin yaşandığı dönemlerde  petrol fiyatlarının Türk hisse senedi
piyasalarını negatif yönde etkilediği ve değişkenler arasındaki nedensellik ilişkisinin
ise giderek zayıfladığı   belirlenmiştir.

References

  • Aloui, C., Nguyen, D.K. & Njeh, H. (2012). Assessing the Impact of Oil Price Fluctuations on Stock Returns in Emerging Markets. Economic Modeling, 29, 2686-2695.
  • Bai, J. & Perron, P. (1998). Estimating and Testing Linear Models with Multiple Structural Changes. Econometrica, 66, 47–78.
  • Bai, J. & Perron, P. (2003). Computation and Analysis of Multiple Structural Change Models. Journal of Applied Econometrics, 18, 1–22.
  • Basher, S. & Sadorsky, P. (2006). Oil Price Risk and Emerging Stock Markets. Global Finance Journal, 17, 224-251.
  • Basher, S.A., Haug, A.A. & Sadorsky, P. (2012). Oil Prices, Exchange Rates and Emerging Markets Stock. Energy Economics, 34, 227-240.
  • Beckmann, J. & Czudaj, R. (2013). Oil Prices and Effective Dollar Exchange Rates. International Review of Economics and Finance, 27, 621–636.
  • Carioni-i Silvestre, J.L, Kim, D. & Perron, P. (2009). GLS-Based Unit Root Tests with Multiple Structural Breaks under the both the null and the Alternative Hypothesis. Econometric Theory, 25, 1754-1792.
  • Cong, R.G, Wei , Y.M., Jiao, J.L. & Fan, Y. (2008). Relationships between Oil Price Shocks and Stock Market: An Empirical Analysis from China. Energy Policy, 36, 3544– 3553.
  • Cunado, J. & Perez de Gracia, F. (2003). Do Oil Price Shocks Matter ? Evidence for Some European Countries. Energy Economics, 25,137-154.
  • Dagher, L. & El Hariri, S. (2013). The Impact of Global Oil Price Shocks on the Lebanese Stock Market. Energy, 63 , 366-374.
  • Fan, Y. & Xu, J-H. (2011). What has Driven Oil Prices since 2000 ?. A Structural Change Perspective. Energy Economics, 33,1082-1094.
  • Fang, C.R. & You, S.Y. (2014). The Impact of Oil Price Shocks on the Large Emerging Countries' Stock Prices: Evidence from China, India and Russia. International Review of Economics and Finance, 29, 330–338.
  • Ghosh, S. & Kanjilal, K. (2014). Co-Movement of International Crude Oil Price and Indian Stock Market : Evidence from Non-Linear Cointegration Tests. Energy Economics, 53,11-117.
  • Gregory A.W. & Hansen, B.E. (1996). Residual-based Tests for Cointegration in Models with Regime Shifts. Journal of Econometrics , 70, 99-126.
  • Hamilton, J.D. (1983). Oil and the Macroeconomy since World War II. Journal of Political Economy, 9, 228-248.
  • Hamilton, J.D. (2003). What is an Oil Shock ? ”. Journal of Econometrics, 113, 363-398.
  • Hammoudeh, S., Bhar, R. & Thompson, M.A. (2010). Re-Examining the Dynamic Causal Oil–Macroeconomy Relationship. International Review of Financial Analysis, 19, 298–305.
  • Hatemi-J A. (2008). Tests for Cointegration with two Unknown Regime Shifts with an Application to Financial Market Integration. Empirical Economics, 35, 497–505.
  • Kapusuzoğlu, A. (2011). Relationship between Oil Price and Stock Market: An Empirical Analysis from Istanbul Stock Exchange (ISE). International Journal of Economics and Finance, 3, 99-106. Li, S.F., Zhu, H.M. & Yu, K. (2012). Oil Prices and Stock Market in China: A Sector Analysis Using Panel Cointegration with Multiple Breaks. Energy Economics, 34,1951-1958.
  • Masih, R., Peters, S. & De Mello, L. (2011). Oil Price Volatility and Stock Price Fluctuations in an Emerging Market : Evidence From South Korea. Energy Economics, 33, 975–986.
  • Narayan, K.P. & Narayan, S. (2010). Modeling the Impact of Oil Prices on Vietnam’s Stock Prices. Applied Energy, 87, 356-361.
  • Pan, Z. (2014). Modelling Tail Dependence between Energy Market and Stock Markets in the BRIC Countries. Applied Economics Letter, 21, 789-794.
  • Park, J. & Ratti, R.A. (2008). Oil Price Shocks and Stock Markets in the U.S. and 13 European Countries. Energy Economics, 30 , 2587–2608.
  • Perron, P. & Yabu, T. (2009). Testing for Shifts in Trend with an Integrated or Stationary Noise Component. Journal of Business and Economic Statistics, 27, 369-396.
  • Reboredo, J.C., Rivera-Castroa, M.A. & Zebende, G.F. (2014). Oil and US dollar exchange rate dependence: A detrended cross-correlation approach. Energy Economics, 42,132–139.
  • Sadorsky, P. (2006). Modeling and forecasting petroleum futures volatility. Energy Economics, 28, 467- 488.
  • Sadorsky, P. (1999). Oil price shocks and stock market activity. Energy Economics, 21, 449-469.
  • Sukcharoen, K., Zohrabyan, T., Leatham & D., Wu, X. (2014). Interdependence of Oil Prices and Stock Market Indices: A Copula Approach. Energy Economics, 44, 331–339.
  • Toda, H.Y. & Yamamoto, T. (1995). Statistical Inference in Vector Autoregressions with Possibly Integrated Processes. Journal of Econometrics, 66, 225-250.
  • Ünlü, U. & Topçu, M. (2012). Petrol Fiyatları Hisse Senedi Piyasalarını Doğrudan Etkiler mi ? İMKB Örneği. İktisat, İşletme ve Finans, 27, 75-88.
  • Zhu, H.M., Li, R. & Li, S. (2014). Modelling Dynamic Dependence Between Crude Oil Prices and Asia-Pacific Stock Market Returns. International Review of Economics and Finance, 29, 208–223.
Year 2017, Volume: 1 Issue: 3, 15 - 32, 06.09.2017

Abstract

References

  • Aloui, C., Nguyen, D.K. & Njeh, H. (2012). Assessing the Impact of Oil Price Fluctuations on Stock Returns in Emerging Markets. Economic Modeling, 29, 2686-2695.
  • Bai, J. & Perron, P. (1998). Estimating and Testing Linear Models with Multiple Structural Changes. Econometrica, 66, 47–78.
  • Bai, J. & Perron, P. (2003). Computation and Analysis of Multiple Structural Change Models. Journal of Applied Econometrics, 18, 1–22.
  • Basher, S. & Sadorsky, P. (2006). Oil Price Risk and Emerging Stock Markets. Global Finance Journal, 17, 224-251.
  • Basher, S.A., Haug, A.A. & Sadorsky, P. (2012). Oil Prices, Exchange Rates and Emerging Markets Stock. Energy Economics, 34, 227-240.
  • Beckmann, J. & Czudaj, R. (2013). Oil Prices and Effective Dollar Exchange Rates. International Review of Economics and Finance, 27, 621–636.
  • Carioni-i Silvestre, J.L, Kim, D. & Perron, P. (2009). GLS-Based Unit Root Tests with Multiple Structural Breaks under the both the null and the Alternative Hypothesis. Econometric Theory, 25, 1754-1792.
  • Cong, R.G, Wei , Y.M., Jiao, J.L. & Fan, Y. (2008). Relationships between Oil Price Shocks and Stock Market: An Empirical Analysis from China. Energy Policy, 36, 3544– 3553.
  • Cunado, J. & Perez de Gracia, F. (2003). Do Oil Price Shocks Matter ? Evidence for Some European Countries. Energy Economics, 25,137-154.
  • Dagher, L. & El Hariri, S. (2013). The Impact of Global Oil Price Shocks on the Lebanese Stock Market. Energy, 63 , 366-374.
  • Fan, Y. & Xu, J-H. (2011). What has Driven Oil Prices since 2000 ?. A Structural Change Perspective. Energy Economics, 33,1082-1094.
  • Fang, C.R. & You, S.Y. (2014). The Impact of Oil Price Shocks on the Large Emerging Countries' Stock Prices: Evidence from China, India and Russia. International Review of Economics and Finance, 29, 330–338.
  • Ghosh, S. & Kanjilal, K. (2014). Co-Movement of International Crude Oil Price and Indian Stock Market : Evidence from Non-Linear Cointegration Tests. Energy Economics, 53,11-117.
  • Gregory A.W. & Hansen, B.E. (1996). Residual-based Tests for Cointegration in Models with Regime Shifts. Journal of Econometrics , 70, 99-126.
  • Hamilton, J.D. (1983). Oil and the Macroeconomy since World War II. Journal of Political Economy, 9, 228-248.
  • Hamilton, J.D. (2003). What is an Oil Shock ? ”. Journal of Econometrics, 113, 363-398.
  • Hammoudeh, S., Bhar, R. & Thompson, M.A. (2010). Re-Examining the Dynamic Causal Oil–Macroeconomy Relationship. International Review of Financial Analysis, 19, 298–305.
  • Hatemi-J A. (2008). Tests for Cointegration with two Unknown Regime Shifts with an Application to Financial Market Integration. Empirical Economics, 35, 497–505.
  • Kapusuzoğlu, A. (2011). Relationship between Oil Price and Stock Market: An Empirical Analysis from Istanbul Stock Exchange (ISE). International Journal of Economics and Finance, 3, 99-106. Li, S.F., Zhu, H.M. & Yu, K. (2012). Oil Prices and Stock Market in China: A Sector Analysis Using Panel Cointegration with Multiple Breaks. Energy Economics, 34,1951-1958.
  • Masih, R., Peters, S. & De Mello, L. (2011). Oil Price Volatility and Stock Price Fluctuations in an Emerging Market : Evidence From South Korea. Energy Economics, 33, 975–986.
  • Narayan, K.P. & Narayan, S. (2010). Modeling the Impact of Oil Prices on Vietnam’s Stock Prices. Applied Energy, 87, 356-361.
  • Pan, Z. (2014). Modelling Tail Dependence between Energy Market and Stock Markets in the BRIC Countries. Applied Economics Letter, 21, 789-794.
  • Park, J. & Ratti, R.A. (2008). Oil Price Shocks and Stock Markets in the U.S. and 13 European Countries. Energy Economics, 30 , 2587–2608.
  • Perron, P. & Yabu, T. (2009). Testing for Shifts in Trend with an Integrated or Stationary Noise Component. Journal of Business and Economic Statistics, 27, 369-396.
  • Reboredo, J.C., Rivera-Castroa, M.A. & Zebende, G.F. (2014). Oil and US dollar exchange rate dependence: A detrended cross-correlation approach. Energy Economics, 42,132–139.
  • Sadorsky, P. (2006). Modeling and forecasting petroleum futures volatility. Energy Economics, 28, 467- 488.
  • Sadorsky, P. (1999). Oil price shocks and stock market activity. Energy Economics, 21, 449-469.
  • Sukcharoen, K., Zohrabyan, T., Leatham & D., Wu, X. (2014). Interdependence of Oil Prices and Stock Market Indices: A Copula Approach. Energy Economics, 44, 331–339.
  • Toda, H.Y. & Yamamoto, T. (1995). Statistical Inference in Vector Autoregressions with Possibly Integrated Processes. Journal of Econometrics, 66, 225-250.
  • Ünlü, U. & Topçu, M. (2012). Petrol Fiyatları Hisse Senedi Piyasalarını Doğrudan Etkiler mi ? İMKB Örneği. İktisat, İşletme ve Finans, 27, 75-88.
  • Zhu, H.M., Li, R. & Li, S. (2014). Modelling Dynamic Dependence Between Crude Oil Prices and Asia-Pacific Stock Market Returns. International Review of Economics and Finance, 29, 208–223.
There are 31 citations in total.

Details

Journal Section Cilt:1 Sayı:3
Authors

Önder Büberkökü

Publication Date September 6, 2017
Published in Issue Year 2017 Volume: 1 Issue: 3

Cite

APA Büberkökü, Ö. (2017). Çoklu Yapısal Kırılmalar Altında Petrol Fiyatlarının Türk Hisse Senedi Piyasaları Üzerindeki Etkisinin İncelenmesi. Bankacılık Ve Sermaye Piyasası Araştırmaları Dergisi, 1(3), 15-32.
AMA Büberkökü Ö. Çoklu Yapısal Kırılmalar Altında Petrol Fiyatlarının Türk Hisse Senedi Piyasaları Üzerindeki Etkisinin İncelenmesi. Bankacılık ve Sermaye Piyasası Araştırmaları Dergisi. September 2017;1(3):15-32.
Chicago Büberkökü, Önder. “Çoklu Yapısal Kırılmalar Altında Petrol Fiyatlarının Türk Hisse Senedi Piyasaları Üzerindeki Etkisinin İncelenmesi”. Bankacılık Ve Sermaye Piyasası Araştırmaları Dergisi 1, no. 3 (September 2017): 15-32.
EndNote Büberkökü Ö (September 1, 2017) Çoklu Yapısal Kırılmalar Altında Petrol Fiyatlarının Türk Hisse Senedi Piyasaları Üzerindeki Etkisinin İncelenmesi. Bankacılık ve Sermaye Piyasası Araştırmaları Dergisi 1 3 15–32.
IEEE Ö. Büberkökü, “Çoklu Yapısal Kırılmalar Altında Petrol Fiyatlarının Türk Hisse Senedi Piyasaları Üzerindeki Etkisinin İncelenmesi”, Bankacılık ve Sermaye Piyasası Araştırmaları Dergisi, vol. 1, no. 3, pp. 15–32, 2017.
ISNAD Büberkökü, Önder. “Çoklu Yapısal Kırılmalar Altında Petrol Fiyatlarının Türk Hisse Senedi Piyasaları Üzerindeki Etkisinin İncelenmesi”. Bankacılık ve Sermaye Piyasası Araştırmaları Dergisi 1/3 (September 2017), 15-32.
JAMA Büberkökü Ö. Çoklu Yapısal Kırılmalar Altında Petrol Fiyatlarının Türk Hisse Senedi Piyasaları Üzerindeki Etkisinin İncelenmesi. Bankacılık ve Sermaye Piyasası Araştırmaları Dergisi. 2017;1:15–32.
MLA Büberkökü, Önder. “Çoklu Yapısal Kırılmalar Altında Petrol Fiyatlarının Türk Hisse Senedi Piyasaları Üzerindeki Etkisinin İncelenmesi”. Bankacılık Ve Sermaye Piyasası Araştırmaları Dergisi, vol. 1, no. 3, 2017, pp. 15-32.
Vancouver Büberkökü Ö. Çoklu Yapısal Kırılmalar Altında Petrol Fiyatlarının Türk Hisse Senedi Piyasaları Üzerindeki Etkisinin İncelenmesi. Bankacılık ve Sermaye Piyasası Araştırmaları Dergisi. 2017;1(3):15-32.