Yıl: 2021 Cilt: 6 Sayı: 1 Sayfa Aralığı: 101 - 111 Metin Dili: İngilizce DOI: 10.30784/epfad.809222 İndeks Tarihi: 05-01-2022

A REVIEW ON THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES IN TURKEY: NEW EVIDENCES FROM FOURIER APPROACH

Öz:
Oil is one of the most important energy resources in production and consumption processes. Therefore, shocks from oil prices can affect many macroeconomic variables. One of these macroeconomic variables is stock prices, and it is important to investigate the long-term relationship between the two variables. The purpose of this study is to test the long-term existence of a relationship between oil prices and BIST100 index in Turkey by making use of data collected on daily basis between a period of 02/01/2002 and 02/07/2019. Within this context, Fourier stationarity and Fourier cointegration tests were utilized since they take into account both sharp and gradual/smooth structural breaks. Findings of the analysis indicate that there is not a long-term cointegration relationship between oil prices and stock prices under both sharp and gradual/smooth structural breaks. Regarding the findings in this context, it can be inferred that changes in oil prices are not to be effective on the share prices in Turkey.
Anahtar Kelime:

Türkiye'de Petrol Fiyatları ile Hisse Senedi Fiyatları Arasındaki İlişki Üzerine Bir İnceleme: Fourier Yaklaşımından Yeni Kanıtlar

Öz:
Petrol, üretim ve tüketim süreçleri içerisinde en önemli enerji kaynaklarından birisidir. Bu nedenle petrol fiyatlarında meydana gelen şoklar birçok makro ekonomik değişkeni etkileyebilmektedir. Söz konusu makro ekonomik değişkenlerden birisi de hisse senedi fiyatları olup, iki değişken arasındaki uzun dönemli ilişkiyi araştırmak önem arz etmektedir. Bu çalışmanın amacı, 02/01/2002 - 02/07/2019 tarihleri arasında günlük olarak toplanan verilerden yararlanarak Türkiye'de petrol fiyatları ile BIST100 endeksi arasındaki ilişkinin uzun vadede varlığını test etmektir. Bu bağlamda, çalışmada hem keskin hem de aşamalı / yumuşak yapısal kırılmaları hesaba kattıkları için Fourier durağanlık ve Fourier eşbütünleşme testleri kullanılmıştır. Analizin bulguları, hem keskin hem de aşamalı / yumuşak yapısal kırılmalar altında petrol fiyatları ile hisse senedi fiyatları arasında uzun vadeli bir eşbütünleşme ilişkisi olmadığını göstermektedir. Bu bağlamda bulgulara bakıldığında, petrol fiyatlarındaki değişimlerin Türkiye'deki hisse senedi fiyatları üzerinde etkili olmadığı söylenebilir.
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA Songur M (2021). A REVIEW ON THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES IN TURKEY: NEW EVIDENCES FROM FOURIER APPROACH. , 101 - 111. 10.30784/epfad.809222
Chicago Songur Mehmet A REVIEW ON THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES IN TURKEY: NEW EVIDENCES FROM FOURIER APPROACH. (2021): 101 - 111. 10.30784/epfad.809222
MLA Songur Mehmet A REVIEW ON THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES IN TURKEY: NEW EVIDENCES FROM FOURIER APPROACH. , 2021, ss.101 - 111. 10.30784/epfad.809222
AMA Songur M A REVIEW ON THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES IN TURKEY: NEW EVIDENCES FROM FOURIER APPROACH. . 2021; 101 - 111. 10.30784/epfad.809222
Vancouver Songur M A REVIEW ON THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES IN TURKEY: NEW EVIDENCES FROM FOURIER APPROACH. . 2021; 101 - 111. 10.30784/epfad.809222
IEEE Songur M "A REVIEW ON THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES IN TURKEY: NEW EVIDENCES FROM FOURIER APPROACH." , ss.101 - 111, 2021. 10.30784/epfad.809222
ISNAD Songur, Mehmet. "A REVIEW ON THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES IN TURKEY: NEW EVIDENCES FROM FOURIER APPROACH". (2021), 101-111. https://doi.org/10.30784/epfad.809222
APA Songur M (2021). A REVIEW ON THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES IN TURKEY: NEW EVIDENCES FROM FOURIER APPROACH. Ekonomi, Politika & Finans Araştırmaları Dergisi, 6(1), 101 - 111. 10.30784/epfad.809222
Chicago Songur Mehmet A REVIEW ON THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES IN TURKEY: NEW EVIDENCES FROM FOURIER APPROACH. Ekonomi, Politika & Finans Araştırmaları Dergisi 6, no.1 (2021): 101 - 111. 10.30784/epfad.809222
MLA Songur Mehmet A REVIEW ON THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES IN TURKEY: NEW EVIDENCES FROM FOURIER APPROACH. Ekonomi, Politika & Finans Araştırmaları Dergisi, vol.6, no.1, 2021, ss.101 - 111. 10.30784/epfad.809222
AMA Songur M A REVIEW ON THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES IN TURKEY: NEW EVIDENCES FROM FOURIER APPROACH. Ekonomi, Politika & Finans Araştırmaları Dergisi. 2021; 6(1): 101 - 111. 10.30784/epfad.809222
Vancouver Songur M A REVIEW ON THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES IN TURKEY: NEW EVIDENCES FROM FOURIER APPROACH. Ekonomi, Politika & Finans Araştırmaları Dergisi. 2021; 6(1): 101 - 111. 10.30784/epfad.809222
IEEE Songur M "A REVIEW ON THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES IN TURKEY: NEW EVIDENCES FROM FOURIER APPROACH." Ekonomi, Politika & Finans Araştırmaları Dergisi, 6, ss.101 - 111, 2021. 10.30784/epfad.809222
ISNAD Songur, Mehmet. "A REVIEW ON THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES IN TURKEY: NEW EVIDENCES FROM FOURIER APPROACH". Ekonomi, Politika & Finans Araştırmaları Dergisi 6/1 (2021), 101-111. https://doi.org/10.30784/epfad.809222