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CRUDE OIL AND STOCK MARKET PRICES: EVIDENCE FROM AN EMERGING MARKET

Year 2015, Volume: 24 Issue: 1, 61 - 70, 30.04.2015

Abstract

This paper aims to examine the relation between crude oil and stock market prices for an emerging market, Turkey. Using daily data of Turkish stock market, we examined the relation between oil prices and alternative stock market indicies with Toda Yamamoto (1995) and generalized impulse response analysis. Previous studies fails to find any cointegrating relation running from oil prices to stock market indicies in Turkey. However, it is found in this study that oil prices Granger cause BIST100 index, together with alternative stock market indicies namely the BIST Manufacturing and BIST Technology Index. Findings indicate that oil prices increase the power of forecasting the alternative stock market indicies in Turkey. These results may have important implications for decision-making by investors and national policymakers.

References

  • Apergis, Nicholas, – Stephen M. Miller (2009), “Do Structural Oil-Market Shocks Affect Stock Prices?”, Energy Economics,Volume 31, Issue 4, 569–575. Basher, Syed A. – Perry Sadorsky (2006), “Oil Price Risk and Emerging Stock Markets”, Global Finance Journal,Volume 17, Issue 2, pp. 224–251 Chen, Nai Fu – Roll, Richard – Ross, Stephan (1986), “Economic Forces and the Stock Market”, Journal of Business, Volume 59, pp.383–403. Ewing, Bradley T. – Thompson Mark A. (2007), “Dynamic Cyclical Comovements of Oil Prices with Industrial Production, Consumer Prices, Unemployment, and Stock Prices”, Energy Policy, Volume 35, Issue 11, pp. 5535–5540. Gisser, Micha – Goodwin, Thomas H. (1986), “Crude Oil and the Macroeconomy: Tests of Some Popular Notions”, Journal of Money, Credit and Banking, Volume 18,Issue 1, pp. 95–103. Gogineni, Sridhar (2010), “Oil and the Stock Market: An Industry Level Analysis”, Financial Review, Volume 45, Issue 4, pp. 995–1010. Henriques, Irene – Sadorsky Perry (2008), “Oil Prices and the Stock Prices of Alternative Energy Companies”, Energy Economics, Volume 30, Issue 3 , pp.998–1010 Maghyereh, Aktham (2004), “Oil Price Shocks and Emerging Stock Markets: A Generalized VAR Approach”, International Journal of Applied Econometrics and Quantitative Studies, Volume,1-2, pp. 27–40. Papapetrou, Evangelia (2001), “Oil Price Shocks, Stock Market, Economic Activity and Employment in Greece”, Energy Economics, Volume 23, Issue 5, pp.511–532. Park, Jungwook – Ratti, Ronald A. (2008), “Oil Price Shocks and Stock Markets in the US and 13 European Countries”, Energy Economics,Volume 30, Issue 5, pp.2587–2608. Sadorsky, Perry (1999), “Oil Price Shocks and Stock Market Activity”, Energy Economics, Volume 21, Issue 5, pp. 449–69. Sadorsky, Perry (2001), “Risk Factors in Stock Returns of Canadian Oil and Gas Companies”, Energy Economics, Volume 23, Issue 1, pp.17–28. Sarı, Ramazan – Soytaş, Uğur (2006), “The Relationship between Stock Returns, Crude Oil Prices, Interest Rates, and Output: Evidence from a Developing Economy”, Empirical Economics Letters, Volume 5, Issue 4, pp.205–220. Soytaş, Uğur – Oran, Adil (2011) “Volatility Spillover from World Oil Spot Markets to Aggregate and Electricity Stock Index Returns in Turkey”, Applied Energy, Volume 88, Issue 1, pp.354–360. Toda, Hiro Y. – Yamamoto, Taku (1995), “Statistical Inference in Vector Auto Regressions with Possibly Integrated Process”, Journal of Econometrics, Volume 66, Issues 1-2, pp.225–250.
Year 2015, Volume: 24 Issue: 1, 61 - 70, 30.04.2015

Abstract

References

  • Apergis, Nicholas, – Stephen M. Miller (2009), “Do Structural Oil-Market Shocks Affect Stock Prices?”, Energy Economics,Volume 31, Issue 4, 569–575. Basher, Syed A. – Perry Sadorsky (2006), “Oil Price Risk and Emerging Stock Markets”, Global Finance Journal,Volume 17, Issue 2, pp. 224–251 Chen, Nai Fu – Roll, Richard – Ross, Stephan (1986), “Economic Forces and the Stock Market”, Journal of Business, Volume 59, pp.383–403. Ewing, Bradley T. – Thompson Mark A. (2007), “Dynamic Cyclical Comovements of Oil Prices with Industrial Production, Consumer Prices, Unemployment, and Stock Prices”, Energy Policy, Volume 35, Issue 11, pp. 5535–5540. Gisser, Micha – Goodwin, Thomas H. (1986), “Crude Oil and the Macroeconomy: Tests of Some Popular Notions”, Journal of Money, Credit and Banking, Volume 18,Issue 1, pp. 95–103. Gogineni, Sridhar (2010), “Oil and the Stock Market: An Industry Level Analysis”, Financial Review, Volume 45, Issue 4, pp. 995–1010. Henriques, Irene – Sadorsky Perry (2008), “Oil Prices and the Stock Prices of Alternative Energy Companies”, Energy Economics, Volume 30, Issue 3 , pp.998–1010 Maghyereh, Aktham (2004), “Oil Price Shocks and Emerging Stock Markets: A Generalized VAR Approach”, International Journal of Applied Econometrics and Quantitative Studies, Volume,1-2, pp. 27–40. Papapetrou, Evangelia (2001), “Oil Price Shocks, Stock Market, Economic Activity and Employment in Greece”, Energy Economics, Volume 23, Issue 5, pp.511–532. Park, Jungwook – Ratti, Ronald A. (2008), “Oil Price Shocks and Stock Markets in the US and 13 European Countries”, Energy Economics,Volume 30, Issue 5, pp.2587–2608. Sadorsky, Perry (1999), “Oil Price Shocks and Stock Market Activity”, Energy Economics, Volume 21, Issue 5, pp. 449–69. Sadorsky, Perry (2001), “Risk Factors in Stock Returns of Canadian Oil and Gas Companies”, Energy Economics, Volume 23, Issue 1, pp.17–28. Sarı, Ramazan – Soytaş, Uğur (2006), “The Relationship between Stock Returns, Crude Oil Prices, Interest Rates, and Output: Evidence from a Developing Economy”, Empirical Economics Letters, Volume 5, Issue 4, pp.205–220. Soytaş, Uğur – Oran, Adil (2011) “Volatility Spillover from World Oil Spot Markets to Aggregate and Electricity Stock Index Returns in Turkey”, Applied Energy, Volume 88, Issue 1, pp.354–360. Toda, Hiro Y. – Yamamoto, Taku (1995), “Statistical Inference in Vector Auto Regressions with Possibly Integrated Process”, Journal of Econometrics, Volume 66, Issues 1-2, pp.225–250.
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Details

Journal Section Makaleler
Authors

Serkan Şahin

Publication Date April 30, 2015
Submission Date November 15, 2017
Published in Issue Year 2015 Volume: 24 Issue: 1

Cite

APA Şahin, S. (2015). CRUDE OIL AND STOCK MARKET PRICES: EVIDENCE FROM AN EMERGING MARKET. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 24(1), 61-70.