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PETROL FİYATLARI-HİSSE SENEDİ FİYATLARI İLİŞKİSİ: BİST SEKTÖREL ANALİZ

THE RELATIONSHIP BETWEEN OIL PRICES AND STOCK PRICES: BIST SECTORAL ANALYSIS

Journal Name:

  • Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi

Publication Year:

  • 2014

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
Changes in oil prices are frequently considered as an important factor for understanding fluctuations in stock prices. There are numerous studies that investigate the relationship between oil prices and stock market. Many studies in literature have analyzed the causal relationship between oil price and stock returns by using aggregated data. There are few studies that examine the relationship between oil prices and stock prices at sector specific level. The purpose of this paper is to investigate the long run and short run relationship between oil prices and stock prices for BIST at the sector specific level by using daily data for the period 2005- 2013. In this study, the Granger causality test shows strong evidence that the causation runs from stock prices to oil prices for many sectors.
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Abstract (Original Language): 
Petrol fiyatlarındaki değişim sıklıkla hisse senedi fiyatlarındaki dalgalanmaları anlamak için önemli bir faktör olarak düşünülmektedir. Petrol fiyatları ile hisse senedi piyasası arasındaki ilişkiyi inceleyen çok sayıda çalışma söz konusudur. Literatürdeki çalışmaların çoğu petrol fiyatları ile hisse senedi fiyatları arasındaki nedensellik ilişkisini toplulaştırılmış veri seti ile analiz etmiştir. Petrol fiyatları ile hisse senedi fiyatları arasındaki ilişkiyi sektör bazında inceleyen çalışmalar sınırlı sayıdadır. Bu çalışmanın amacı, Borsa İstanbul (BİST) kapsamındaki sektörlere ilişkin hisse senedi fiyatları ile petrol fiyatı arasındaki uzun ve kısa dönem ilişkiyi 2005- 2013 dönemine ait günlük veri setini kullanarak incelemektir. Çalışmada Granger nedensellik testi çoğu alt sektörler için hisse senedi fiyatlarından petrol fiyatlarına doğru bir nedensellik ilişkisi olduğunu göstermiştir.
FULL TEXT (PDF): 
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  • Turkish

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REFERENCES

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Petrol Fiyatları-Hisse Senedi Fiyatları İlişkisi: BİST Sektörel Analiz | ABDİOĞLU, DEĞİRMENCİ
Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
KAÜ İİBF Dergisi | Cilt 5 * Sayı 8 * Yıl 2014
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ABDİOĞLU, DEĞİRMENCİ | The Relationship Between Oil Prices And Stock Prices: BIST Sectoral Analysis
Kafkas University Journal of Economics and Administrative Sciences Faculty
KAU EASF Journal | Vol 5 * Issue 8 * Year 2014
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