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Döviz Kuru ve Petrol Fiyatının BİST Sınai Endeksi Üzerine Etkisi: Eşbütünleşme ve Nedensellik Analizi

Year 2021, Volume: 23 Issue: 1, 91 - 108, 31.05.2021

Abstract

Sanayi, kalkınma ve sürdürülebilirlik açısından önem taşımaktadır. Ülkeler dışa bağımlılığını azaltmak ve rekabet gücü elde etmek için sanayileşmeye önem vermektedir. Sanayileşme ile birlikte rekabet gücü artan şirketlerin ülke ekonomisi ve finansal piyasalar üzerinde olumlu bir etki oluşturması beklenmektedir. Ana faaliyet konusu sanayi üzerine kurulmuş işletmelerin üretim sürecinde kullandıkları hammaddeler ve bu hammaddelerin temin edilişi sanayi üretiminde göz önünde bulundurulması gereken hususlardan biridir. Bu çalışmada petrol fiyatı, döviz kuru ve BİST Sınai Endeksi arasındaki ilişki incelenmiştir. Çalışmada Ocak 2000 - Eylül 2020 dönemine ait ikincil veriler kullanılarak Johansen eşbütünleşme ve Granger nedensellik testleri yapılmıştır. Yapılan Johansen eşbütünleşme testi sonucunda değişkenler arasında eşbütünleşme ilişkisi olduğu sonucuna ulaşılmıştır. Granger nedensellik test sonucunda ise; BİST Sınai Endeksi ile döviz kuru arasında çift yönlü nedensellik ilişkisi olduğu, BİST Sınai Endeksi ve petrol fiyatı arasında ise tek yönlü nedensellik ilişkisi bulunduğu sonucuna ulaşılmıştır. Ayrıca, döviz kuru ile petrol fiyatı arasında nedensellik ilişkisi bulunmadığı sonucuna da ulaşılmıştır. Ekonomik büyüme ve rekabet açısından önemli bir yere sahip olan sanayinin petrol fiyatı ve döviz kuru ile olan ilişkisinin araştırılması bu çalışmayı aynı alanda yapılan diğer çalışmalardan ayıran bir özelliğidir.

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Project Number

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References

  • Agazade, Ş. (2020). Oil Prices and Kazakhstan Real Exchange Rate: Petrol Fiyatları ve Kazakistan Reel Döviz Kuru: ARDL Sınır Testi Yaklaşımı [ARDL Boundary Test Approach]. Bilig - Bilig – Türk Dünyası Sosyal Bilimler Dergisi, 94, 217-248. Baimaganbetov, S., Zhetibayev, Z., Alimkulova, E., & Makhanbetova, U. (2019). Oil Prices and Exchange Rate Relationship: Panel Data Analysis for Selected Oil Exporter Countries. Bulletin of Economic Theory and Analysis, 4(1), 1-11.
  • Bal, D. P., & Rath, B. N. (2015). Nonlinear Causality Between Crude Oil Price and Exchange Rate: A comparative study of China and India. Energy Economics,51, 149-156.
  • Bayramoglu, M. F. & Tay Bayramoglu, A. & Ergün M. A. (2019), Döviz Kuru ve Petrol Fiyatları Arasındaki İlişkinin Ortalamada ve Varyansta Nedensellik Testi ile Analizi [Analysis of the Relationship Between Exchange Rate and Oil Prices by Causality Test in Mean and Variance], BMIJ, 7(5):2112-2123.
  • Bhattacharya, S. N., Jha, S. K., & Bhattacharya, M. (2019). Dependence Between Oil Price and Exchange Rate Volatility: An Empirical Analysis. Journal of Applied Economics & Business Research, 9(1),15-26.
  • Cıtak, F., & Kendirli, S. (2019). Petrol Fiyatlarının Döviz Kuru ve Hisse Senedi Getirileri Üzerindeki Asimetrik Etkisi: Türkiye Örneği [Oil Prices Currency and Stock Returns Asymmetric Effect on: The Case of Turkey]. Finans Ekonomi ve Sosyal Araştırmalar Dergisi (FESA), 4(4), 643-658.
  • Dalgıc, A. Türkiye’de Sanayileşme Süreci ve Sanayileşmenin Geleceği [Industrialization Process and the Future of Industrialization in Turkey].
  • Ding, H., Jin, Y., Qin, C., & Ying, J. (2020). Tail Causality between Crude Oil Price and RMB Exchange Rate. China & World Economy, 28(3), 116-134.
  • Golub, S. S. (1983). Oil Prices and Exchange Rates. The Economic Journal, 93(371), 576-593.
  • Gülhan Ü., (2020). Altın Fiyatları İle VIX Endeksi, BİST 100 Endeksi, Döviz Kuru ve Petrol Fiyatları İlişkisi: Ekonometrik Bir Analiz[Relationship Between Gold Prices and VIX Index, BIST 100 Index, Exchange Rate and Oil Price: An Econometric Analysis], Gümüşhane Üniversitesi Sosyal Bilimler Enstitüsü Elektronik Dergisi, 11(2), 576-591.
  • Hussin, M. Y. M., Muhammad, F., Hussin, M. A., & Razak, A. A. (2012). The relationship between oil price, exchange rate and Islamic stock market in Malaysia. Research Journal of Finance and Accounting, 3(5), 83-92.
  • Isık, N, Acar, M. & Isık, B. (2004). Enflasyon ve Döviz Kuru İlişkisi: Bir Eşbütünleşme Analizi [The Relationship Between Inflation and Exchange Rate: A Cointegration Analysis]. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(2), 325-340.
  • Jung, Y. C., Das, A., & McFarlane, A. (2020). The Asymmetric Relationship Between The Oil Price And The US-Canada Exchange Rate. The Quarterly Review of Economics and Finance, 76, 198-206.
  • Karadas, H. A., & Kosaroglu, Ş. M.(2020), Tarım Ürünleri Fiyatları, Ham Petrol Fiyatı ve Döviz Kuru İlişkisi: Türkiye İçin Eşbütünleşme Analizi [Agricultural Product Prices, Crude Oil Prices and Exchange Rate Relation: Cointegration Analysis for Turkey]. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 19, 515-526. Kutlar, A. (2017), Applied Time Series with Eviews, Umuttepe, Izmit. Krugman, P. R. (1980). Oil and the Dollar (No. w0554). National Bureau of Economic Research.1-20.
  • Musa, K. S., Maijama’a,R., Muhammed, N. &Usman, A. (2020), Crude Oil Price and Exchange Rate Nexus: An Ardl Bound Approach, Open Access Library Journal, 7(3),1-24.
  • Nguyen, T. N., Nguyen, D. T., & Nguyen, V. N. (2020). The impacts of oil price and exchange rate on Vietnamese stock market. Journal of Asian Finance, Economics and Business, 7(8), 143-150.
  • Nurmakhanova, M., & Katenova, M. (2019). Are Stock Market and Exchange Rate Affected by Oil Price in Kazakhstan?. International Journal of Engineering Business Management, 11,1-9.
  • Tarı, R. (2010), Econometrics, Umuttepe, Izmit.
  • Turkish Language Association (TLA), Received Access: 21.10.2020, https://sozluk.gov.tr/
  • Tiwari, A. K., & Albulescu, C. T. (2016). Oil Price and Exchange Rate in India: Fresh Evidence From Continuous Wavelet Approach and Asymmetric, Multi-Horizon Granger-Causality Tests. Applied Energy, 179, 272-283. Ugur, A, & Bıngol, N. (2020). Hisse Senedi ve Döviz Kuru İlişkisinin Yönü: Türkiye Üzerine Bir Araştırma [The Direction Of The Stock And Foreign Exchange Relations: A Research On Turkey]. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 13 (4) , 624-636.
  • Zolfaghari, M., & Sahabi, B. (2020). The impact of Oil Price and Exchange Rate on Momentum Strategy Profits in Stock Market: Evidence From Oil-Rich Developing Countries. Review of Managerial Science, 1-43.

The Effect of Exchange Rate and Oil Price on BIST Industrial Index: Cointegration and Causality Analysis

Year 2021, Volume: 23 Issue: 1, 91 - 108, 31.05.2021

Abstract

Industry is important for development and sustainability. Countries attach importance to industrialization in order to reduce their foreign dependency and gain competitiveness. It is expected that companies which competitiveness has increased with industrialization will have a positive effect on the national economy and financial markets. The raw materials used in the production process of the enterprises whose main activity is based on industry and the supply of these raw materials are among the issues that should be taken into consideration in industrial production. In this study, the relationship between oil price, exchange rate and Borsa Istanbul Industrial Production Index has been examined. In the study, Johansen co-integration and Granger causality tests were carried out using secondary data for the period January 2000 - September 2020. As a result of the Johansen co-integration test, it is concluded that there is a co-integration relationship between variables. As a result of Granger causality test; It was concluded that there is a bidirectional causality relationship between Borsa Istanbul industrial production index and exchange rate, and a racket effect causality relationship between Borsa Istanbul industrial production index and oil price. In addition, it is concluded that there is no causality relationship between exchange rate and oil price. The research of the relationship between the oil price and exchange rate of the industry, which has an important place in terms of economic growth and competition, is a feature that sets this study apart from other studies in the same field.

Project Number

yok

References

  • Agazade, Ş. (2020). Oil Prices and Kazakhstan Real Exchange Rate: Petrol Fiyatları ve Kazakistan Reel Döviz Kuru: ARDL Sınır Testi Yaklaşımı [ARDL Boundary Test Approach]. Bilig - Bilig – Türk Dünyası Sosyal Bilimler Dergisi, 94, 217-248. Baimaganbetov, S., Zhetibayev, Z., Alimkulova, E., & Makhanbetova, U. (2019). Oil Prices and Exchange Rate Relationship: Panel Data Analysis for Selected Oil Exporter Countries. Bulletin of Economic Theory and Analysis, 4(1), 1-11.
  • Bal, D. P., & Rath, B. N. (2015). Nonlinear Causality Between Crude Oil Price and Exchange Rate: A comparative study of China and India. Energy Economics,51, 149-156.
  • Bayramoglu, M. F. & Tay Bayramoglu, A. & Ergün M. A. (2019), Döviz Kuru ve Petrol Fiyatları Arasındaki İlişkinin Ortalamada ve Varyansta Nedensellik Testi ile Analizi [Analysis of the Relationship Between Exchange Rate and Oil Prices by Causality Test in Mean and Variance], BMIJ, 7(5):2112-2123.
  • Bhattacharya, S. N., Jha, S. K., & Bhattacharya, M. (2019). Dependence Between Oil Price and Exchange Rate Volatility: An Empirical Analysis. Journal of Applied Economics & Business Research, 9(1),15-26.
  • Cıtak, F., & Kendirli, S. (2019). Petrol Fiyatlarının Döviz Kuru ve Hisse Senedi Getirileri Üzerindeki Asimetrik Etkisi: Türkiye Örneği [Oil Prices Currency and Stock Returns Asymmetric Effect on: The Case of Turkey]. Finans Ekonomi ve Sosyal Araştırmalar Dergisi (FESA), 4(4), 643-658.
  • Dalgıc, A. Türkiye’de Sanayileşme Süreci ve Sanayileşmenin Geleceği [Industrialization Process and the Future of Industrialization in Turkey].
  • Ding, H., Jin, Y., Qin, C., & Ying, J. (2020). Tail Causality between Crude Oil Price and RMB Exchange Rate. China & World Economy, 28(3), 116-134.
  • Golub, S. S. (1983). Oil Prices and Exchange Rates. The Economic Journal, 93(371), 576-593.
  • Gülhan Ü., (2020). Altın Fiyatları İle VIX Endeksi, BİST 100 Endeksi, Döviz Kuru ve Petrol Fiyatları İlişkisi: Ekonometrik Bir Analiz[Relationship Between Gold Prices and VIX Index, BIST 100 Index, Exchange Rate and Oil Price: An Econometric Analysis], Gümüşhane Üniversitesi Sosyal Bilimler Enstitüsü Elektronik Dergisi, 11(2), 576-591.
  • Hussin, M. Y. M., Muhammad, F., Hussin, M. A., & Razak, A. A. (2012). The relationship between oil price, exchange rate and Islamic stock market in Malaysia. Research Journal of Finance and Accounting, 3(5), 83-92.
  • Isık, N, Acar, M. & Isık, B. (2004). Enflasyon ve Döviz Kuru İlişkisi: Bir Eşbütünleşme Analizi [The Relationship Between Inflation and Exchange Rate: A Cointegration Analysis]. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(2), 325-340.
  • Jung, Y. C., Das, A., & McFarlane, A. (2020). The Asymmetric Relationship Between The Oil Price And The US-Canada Exchange Rate. The Quarterly Review of Economics and Finance, 76, 198-206.
  • Karadas, H. A., & Kosaroglu, Ş. M.(2020), Tarım Ürünleri Fiyatları, Ham Petrol Fiyatı ve Döviz Kuru İlişkisi: Türkiye İçin Eşbütünleşme Analizi [Agricultural Product Prices, Crude Oil Prices and Exchange Rate Relation: Cointegration Analysis for Turkey]. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 19, 515-526. Kutlar, A. (2017), Applied Time Series with Eviews, Umuttepe, Izmit. Krugman, P. R. (1980). Oil and the Dollar (No. w0554). National Bureau of Economic Research.1-20.
  • Musa, K. S., Maijama’a,R., Muhammed, N. &Usman, A. (2020), Crude Oil Price and Exchange Rate Nexus: An Ardl Bound Approach, Open Access Library Journal, 7(3),1-24.
  • Nguyen, T. N., Nguyen, D. T., & Nguyen, V. N. (2020). The impacts of oil price and exchange rate on Vietnamese stock market. Journal of Asian Finance, Economics and Business, 7(8), 143-150.
  • Nurmakhanova, M., & Katenova, M. (2019). Are Stock Market and Exchange Rate Affected by Oil Price in Kazakhstan?. International Journal of Engineering Business Management, 11,1-9.
  • Tarı, R. (2010), Econometrics, Umuttepe, Izmit.
  • Turkish Language Association (TLA), Received Access: 21.10.2020, https://sozluk.gov.tr/
  • Tiwari, A. K., & Albulescu, C. T. (2016). Oil Price and Exchange Rate in India: Fresh Evidence From Continuous Wavelet Approach and Asymmetric, Multi-Horizon Granger-Causality Tests. Applied Energy, 179, 272-283. Ugur, A, & Bıngol, N. (2020). Hisse Senedi ve Döviz Kuru İlişkisinin Yönü: Türkiye Üzerine Bir Araştırma [The Direction Of The Stock And Foreign Exchange Relations: A Research On Turkey]. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 13 (4) , 624-636.
  • Zolfaghari, M., & Sahabi, B. (2020). The impact of Oil Price and Exchange Rate on Momentum Strategy Profits in Stock Market: Evidence From Oil-Rich Developing Countries. Review of Managerial Science, 1-43.
There are 20 citations in total.

Details

Primary Language English
Subjects Finance
Journal Section Articles
Authors

Serpil Sumer 0000-0001-8452-0393

Project Number yok
Publication Date May 31, 2021
Submission Date January 23, 2021
Published in Issue Year 2021 Volume: 23 Issue: 1

Cite

APA Sumer, S. (2021). The Effect of Exchange Rate and Oil Price on BIST Industrial Index: Cointegration and Causality Analysis. Bilgi Sosyal Bilimler Dergisi, 23(1), 91-108.

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