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The Effect of Crude Oil on Developing Countries’ Stock Markets: Variance Casuality Analysis

Year 2019, Issue: 61, 66 - 83, 23.07.2019

Abstract

Due to the free movement of capital and advancing technology, the
interaction between markets increase day by day. While analysing markets; the
interaction direct to companies, individual and institutional investors and
policymakers to considering different markets as well as domestic news. One of
the most important among these markets is the oil market. The oil market has
significant impacts on macroeconomic indicators (inflation, interest rates and
unemployment, etc.) and production costs, sales revenues and cash flows of
firms. According to this, the aim of the study is to reveal the relationship
between emerging stock markets and oil market. For this purpose, WTI crude oil
price and MSCI Emerging Market Index were analysed by Moon and Yu (2010)
approach in the period span from 2012 to 2018. As a result of the analysis; there
is a return spill over from crude oil markets to emerging stock markets. In
case of opposite direction, volatility spill over was determined. The findings
will contribute to the decision-making process of investors, policymaker and
researchers for the analysed period.

References

  • Alaboud, M. (2018). Finansal risk tahmininde sahte uzun hafıza: S&P500 üzerine bir uygulama. Yayımlanmamış yüksek lisans tezi, Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü İktisat Anabilim Dalı Finansal İktisat ve Bankacılık Programı, İzmir.
  • Almohaimeed, A., & Harrathi, N. (2013). Volatility transmission and conditional correlation between oil prices, stock market and sector ındexes: empirics for Saudi stock market. Journal of Applied Finance & Banking, 3(4), 125-141.
  • Antonakakis, N., Cunado, J., Filis, G., Gabuer, D., & De Garcia, F. (2018). Oil volatility, oil and gas firms and portfolio diversification. Energy Economics, 70, 499-515.
  • Arouri, M., Lahiani, A., & Nguyen, K. (2011). Return and volatility transmission between world oil prices and stock markets of the GCC countries. Economic Modelling, 28, 1815-1825.
  • Awartani, B., & Maghyereh, A. (2013). Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council countries. Energy Economics, 36, 28-42.
  • Basher, A., & Sadorsky, P. (2006). Oil price risk and emerging stock markets. Global Finance Journal, 17, 224-251.
  • Bouri, E., & Demirer, R. (2016). On the volatility transmission between oil and stock markets: a comparison of emerging importers. Economia Politica, 33(1), 63-82.
  • BP. (2018). BP Statistical Review of World Energy 67th Edition. Erişim Adresi: https://www.bp.com/content/dam/bp/en/corporate/pdf/energy-economics/statistical-review/bp-stats-review-2018-oil.pdf , Erişim Tarihi: 18.11.2018.
  • Brown, S., & Yücel, M. (1999). Oil prices and U.S. aggregate economic activity: a question of neutrality. Economic and Financial Policy Review, pp. 16-23.
  • Caporale, G., Ali Menla, F., & Spagnolo, N. (2015). Oil price uncertainty and sectoral returns in China: a time- varying approach. China Economic Review, 34, 311-321.
  • Cong, R.-G., Wei, Y.-M., Jiao, J.-L., & Fan, Y. (2008). Relationship between oil price shocks and stock market: an empirical analysis from China. Energy Policy, 36, 3544-3553.
  • Creti, A., Joets, M., & Mignon, V. (2013). On the links between stock and commodity markets' volatility. Energy Economics, 37, 16-28.
  • Crompton, P., & Wu, Y. (2005). Energy consumption in China: past trends and future directions. Energy Economics, 27, 195-208.
  • Çelik, I., Özdemir, A., Gürsoy, S., & Ünlü, H. U. (2018). Gelişmekte olan hisse senedi piyasaları ile kıymetli madenler arasındaki getiri ve volatilite yayılımı. Ege Akademik Bakış, 18(2), 217-230.
  • Çevik, E., Atukeren, E., & Korkmaz, T. (2018). Oil prices and global stock markets: a time-varying casuality-ın-mean and casuality- ın-variance analysis. Energies, 11(10), 1-22.
  • Ekinci, R., Tüzün, O., & Kahyaoğlu, H. (2016). TCMB ağırlıklı ortalama fonlama maliyetinin BIST100 üzerindeki etkisi. Journal of Yasar University, 11(44), 263-277.
  • Ewing, B., & Malik, F. (2016). Volatility spillovers between oil prices and the stock market under structural breaks. Global Finance Journal, 29, 12-23.
  • Fang, C.-R., & You, S.-Y. (2014). The impact of oil price on the large emerging countries' stock prices: evidence from Chine,India and Russia. International Review of Economics and Finance, 29, 330-338.
  • Gomes, M., & Chaibi, A. (2014). Volatility spillovers between oil prices and stock returns: a focus on frontier markets. The Journal of Applied Business Research, 30(2), 509-525.
  • Güler, S., & Nalın Temel, H. (2013). Petrol fiyatlarının İMKB endeksleri üzerindeki etkisi. Ekonomik ve Sosyal Araştırmalar Dergisi, 9(2), 79-97.
  • Jouini, J. (2013). Return and volatility interaction between oil prices and stock markets in Saudi Arabia. Journal of Policy Modelling, 35, 1124-1144.
  • Khalfaoui, R., Boutahar, M., & Boubaker, H. (2015). Analyzing volatility spillovers and hedging between oil and stock markets: evidence from wavelet analysis. Energy Economics, 49, 540-549.
  • Kilian, L., & Park, C. (2009). The impact of oil price shocks on the U.S stock market. International Economic Review, 50(4), 1267-1887.
  • Lin, B., Wesseh, P., & Appiah, M. (2014). Oil price fluctuation, volatility spillover and the Ghanaian equity market: implication for portfolio management and hedging effectiveness. Energy Economics, 42, 172-182.
  • Malik, F., & Ewing, B. (2009). Volatility transmission between oil prices and equity sector returns. International Review of Financial Analysis, 18, 95-100.
  • Malik, F., & Hammoudeh, S. (2007). Shock and volatility transmission in the oil, US and Gulf equity markets. International Review of Economics & Finance, 16, 357-368.
  • Mandelbrot, B. (1963). The variation of certain speculative prices. Journal of Business, 36, 394-419.
  • Masih, R., Peters, S., & De Mello, L. (2011). Oil price volatility and stock price fluctuations in a emerging market: evidence from South Korea. Energy Economics, 33, 975-986.
  • Mensi, W., Hammoudeh, S., & Yoon, S.-Y. (2014). How do OPEC news and structural breaks ımpact returns and volatility in crude oil market ? further evidence from a long memory process. Energy Economics, 42, 343-354.
  • Moon, G.-H., & Yu, W.-C. (2010). Volatility spillovers between the US and China stock markets: structural break test with symmetric and asymmetric garch approaches. Global Economic Review, 39(2), 129-149.
  • MSCI. (2018). Erişim Adresi: https://www.msci.com/emerging-markets, Erişim Tarihi: 04.09.2018.
  • MSCI. (2018). Emerging Markets Index (USD). Erişim Adresi: https://www.msci.com/documents/10199/c0db0a48-01f2-4ba9-ad01-226fd5678111, Erişim Tarihi: 8.11.2018.
  • Nazlıoğlu, Ş., Soytaş, U., & Gupta, R. (2015). Oil Prices and financial stress:a volatility spillover analysis. Energy Policy, 82, 278-288.
  • Özer, A. (2017). Petrol fiyatları ile hisse senedi getirileri arasında volatilitenin yayılma etkisi: gelişmiş ve gelişmekte olan ülkeler örneği [Özel Sayı]. Uluslararası Yönetim İktisat ve işletme Dergisi, 654-662.
  • Ratti, R., & Hasan, Z. (2013). Oil price shocks and volatility in Australian stock returns. Economic Record, 89, 67-83.
  • Sadorsky, P. (2014). Modeling volatility and correlations between emerging market stock prices and prices of copper, oil and wheat. Energy Economics, 43, 72-81.
  • Sanso, A., Arago, V., & Silvestre, J. (2004). Testing for changes in the unconditional variance of financial time series. Revista de Economia Financiera, 4(1), 32- 53.
  • Soytaş, U., & Oran, A. (2011). Volatility spillover from world oil spot markets to aggregate and electricity stock index return in Turkey. Applied Energy, 88, 354-360.
  • Tchatoka, F. D., Masson, V., & Parry, S. (2018). Linkages between oil price shocks and stock returns revisited. Energy Economics, pp. 1-20.
  • Tsuji, C. (2018). New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries. Applied Energy, 229, 1202-1217.
  • Wang, X., & Wu, C. (2018). Asymmetric volatility spillovers between crude oil and ınternational financial markets. Energy Economics, 74, 592-604.
  • Yıldırım, E. (2016). Enerji fiyat şoklarının hisse senedi piyasasına etkisi: BIST örneğinde asimetrik nedensellik ve etki-tepki analizi [Özel Sayı]. Uluslararası Yönetim İktisat ve İşletme Dergisi, 187-200.

Gelişmekte Olan Ülkelerin Borsaları Üzerinde Ham Petrolün Etkisi: Varyans Nedensellik Analizi

Year 2019, Issue: 61, 66 - 83, 23.07.2019

Abstract

Küreselleşme süreci ile birlikte
artan finansal liberalizasyon ve gelişen teknolojiler, piyasalar arasındaki
etkileşimi arttırmaktadır. Artan etkileşimler de piyasaları bir yandan daha
dalgalı ve kırılgan hale getirmektedir. Bu nedenler; şirketleri, bireysel ve
kurumsal yatırımcıları ve politika yapıcıları volatilite kavramını analize
yönlendirmektedir. Çalışmanın amacı, volatilitenin artan öneminden hareketle
petrol piyasasının belirsizliğinin gelişmekte olan ülkelerin borsa
endekslerinin belirsizliği üzerindeki etkisini varyans nedensellik analizi ile
gerçekleştirmektir. 2012-2018 dönemi günlük verilerinin analiz edildiği
çalışmada, Moon ve Yu (2010) tarafından ileri sürülen varyans nedensellik
yaklaşımı kullanılmıştır. Yapılan analiz sonucunda petrol piyasasından MSCI
Gelişmekte Olan Ülkeler Endeksi’ne doğru volatilite yayılımı belirlenememiştir.
Elde edilen bulguların yatırımcıların, şirketlerin ve politika yapıcıların
ilgili döneme ilişkin karar süreçlerine katkıda bulunacağı düşünülmektedir.

References

  • Alaboud, M. (2018). Finansal risk tahmininde sahte uzun hafıza: S&P500 üzerine bir uygulama. Yayımlanmamış yüksek lisans tezi, Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü İktisat Anabilim Dalı Finansal İktisat ve Bankacılık Programı, İzmir.
  • Almohaimeed, A., & Harrathi, N. (2013). Volatility transmission and conditional correlation between oil prices, stock market and sector ındexes: empirics for Saudi stock market. Journal of Applied Finance & Banking, 3(4), 125-141.
  • Antonakakis, N., Cunado, J., Filis, G., Gabuer, D., & De Garcia, F. (2018). Oil volatility, oil and gas firms and portfolio diversification. Energy Economics, 70, 499-515.
  • Arouri, M., Lahiani, A., & Nguyen, K. (2011). Return and volatility transmission between world oil prices and stock markets of the GCC countries. Economic Modelling, 28, 1815-1825.
  • Awartani, B., & Maghyereh, A. (2013). Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council countries. Energy Economics, 36, 28-42.
  • Basher, A., & Sadorsky, P. (2006). Oil price risk and emerging stock markets. Global Finance Journal, 17, 224-251.
  • Bouri, E., & Demirer, R. (2016). On the volatility transmission between oil and stock markets: a comparison of emerging importers. Economia Politica, 33(1), 63-82.
  • BP. (2018). BP Statistical Review of World Energy 67th Edition. Erişim Adresi: https://www.bp.com/content/dam/bp/en/corporate/pdf/energy-economics/statistical-review/bp-stats-review-2018-oil.pdf , Erişim Tarihi: 18.11.2018.
  • Brown, S., & Yücel, M. (1999). Oil prices and U.S. aggregate economic activity: a question of neutrality. Economic and Financial Policy Review, pp. 16-23.
  • Caporale, G., Ali Menla, F., & Spagnolo, N. (2015). Oil price uncertainty and sectoral returns in China: a time- varying approach. China Economic Review, 34, 311-321.
  • Cong, R.-G., Wei, Y.-M., Jiao, J.-L., & Fan, Y. (2008). Relationship between oil price shocks and stock market: an empirical analysis from China. Energy Policy, 36, 3544-3553.
  • Creti, A., Joets, M., & Mignon, V. (2013). On the links between stock and commodity markets' volatility. Energy Economics, 37, 16-28.
  • Crompton, P., & Wu, Y. (2005). Energy consumption in China: past trends and future directions. Energy Economics, 27, 195-208.
  • Çelik, I., Özdemir, A., Gürsoy, S., & Ünlü, H. U. (2018). Gelişmekte olan hisse senedi piyasaları ile kıymetli madenler arasındaki getiri ve volatilite yayılımı. Ege Akademik Bakış, 18(2), 217-230.
  • Çevik, E., Atukeren, E., & Korkmaz, T. (2018). Oil prices and global stock markets: a time-varying casuality-ın-mean and casuality- ın-variance analysis. Energies, 11(10), 1-22.
  • Ekinci, R., Tüzün, O., & Kahyaoğlu, H. (2016). TCMB ağırlıklı ortalama fonlama maliyetinin BIST100 üzerindeki etkisi. Journal of Yasar University, 11(44), 263-277.
  • Ewing, B., & Malik, F. (2016). Volatility spillovers between oil prices and the stock market under structural breaks. Global Finance Journal, 29, 12-23.
  • Fang, C.-R., & You, S.-Y. (2014). The impact of oil price on the large emerging countries' stock prices: evidence from Chine,India and Russia. International Review of Economics and Finance, 29, 330-338.
  • Gomes, M., & Chaibi, A. (2014). Volatility spillovers between oil prices and stock returns: a focus on frontier markets. The Journal of Applied Business Research, 30(2), 509-525.
  • Güler, S., & Nalın Temel, H. (2013). Petrol fiyatlarının İMKB endeksleri üzerindeki etkisi. Ekonomik ve Sosyal Araştırmalar Dergisi, 9(2), 79-97.
  • Jouini, J. (2013). Return and volatility interaction between oil prices and stock markets in Saudi Arabia. Journal of Policy Modelling, 35, 1124-1144.
  • Khalfaoui, R., Boutahar, M., & Boubaker, H. (2015). Analyzing volatility spillovers and hedging between oil and stock markets: evidence from wavelet analysis. Energy Economics, 49, 540-549.
  • Kilian, L., & Park, C. (2009). The impact of oil price shocks on the U.S stock market. International Economic Review, 50(4), 1267-1887.
  • Lin, B., Wesseh, P., & Appiah, M. (2014). Oil price fluctuation, volatility spillover and the Ghanaian equity market: implication for portfolio management and hedging effectiveness. Energy Economics, 42, 172-182.
  • Malik, F., & Ewing, B. (2009). Volatility transmission between oil prices and equity sector returns. International Review of Financial Analysis, 18, 95-100.
  • Malik, F., & Hammoudeh, S. (2007). Shock and volatility transmission in the oil, US and Gulf equity markets. International Review of Economics & Finance, 16, 357-368.
  • Mandelbrot, B. (1963). The variation of certain speculative prices. Journal of Business, 36, 394-419.
  • Masih, R., Peters, S., & De Mello, L. (2011). Oil price volatility and stock price fluctuations in a emerging market: evidence from South Korea. Energy Economics, 33, 975-986.
  • Mensi, W., Hammoudeh, S., & Yoon, S.-Y. (2014). How do OPEC news and structural breaks ımpact returns and volatility in crude oil market ? further evidence from a long memory process. Energy Economics, 42, 343-354.
  • Moon, G.-H., & Yu, W.-C. (2010). Volatility spillovers between the US and China stock markets: structural break test with symmetric and asymmetric garch approaches. Global Economic Review, 39(2), 129-149.
  • MSCI. (2018). Erişim Adresi: https://www.msci.com/emerging-markets, Erişim Tarihi: 04.09.2018.
  • MSCI. (2018). Emerging Markets Index (USD). Erişim Adresi: https://www.msci.com/documents/10199/c0db0a48-01f2-4ba9-ad01-226fd5678111, Erişim Tarihi: 8.11.2018.
  • Nazlıoğlu, Ş., Soytaş, U., & Gupta, R. (2015). Oil Prices and financial stress:a volatility spillover analysis. Energy Policy, 82, 278-288.
  • Özer, A. (2017). Petrol fiyatları ile hisse senedi getirileri arasında volatilitenin yayılma etkisi: gelişmiş ve gelişmekte olan ülkeler örneği [Özel Sayı]. Uluslararası Yönetim İktisat ve işletme Dergisi, 654-662.
  • Ratti, R., & Hasan, Z. (2013). Oil price shocks and volatility in Australian stock returns. Economic Record, 89, 67-83.
  • Sadorsky, P. (2014). Modeling volatility and correlations between emerging market stock prices and prices of copper, oil and wheat. Energy Economics, 43, 72-81.
  • Sanso, A., Arago, V., & Silvestre, J. (2004). Testing for changes in the unconditional variance of financial time series. Revista de Economia Financiera, 4(1), 32- 53.
  • Soytaş, U., & Oran, A. (2011). Volatility spillover from world oil spot markets to aggregate and electricity stock index return in Turkey. Applied Energy, 88, 354-360.
  • Tchatoka, F. D., Masson, V., & Parry, S. (2018). Linkages between oil price shocks and stock returns revisited. Energy Economics, pp. 1-20.
  • Tsuji, C. (2018). New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries. Applied Energy, 229, 1202-1217.
  • Wang, X., & Wu, C. (2018). Asymmetric volatility spillovers between crude oil and ınternational financial markets. Energy Economics, 74, 592-604.
  • Yıldırım, E. (2016). Enerji fiyat şoklarının hisse senedi piyasasına etkisi: BIST örneğinde asimetrik nedensellik ve etki-tepki analizi [Özel Sayı]. Uluslararası Yönetim İktisat ve İşletme Dergisi, 187-200.
There are 42 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Ahmet Galip Gençyürek 0000-0002-5842-7942

Erhan Demireli 0000-0002-3457-0699

Publication Date July 23, 2019
Published in Issue Year 2019 Issue: 61

Cite

APA Gençyürek, A. G., & Demireli, E. (2019). Gelişmekte Olan Ülkelerin Borsaları Üzerinde Ham Petrolün Etkisi: Varyans Nedensellik Analizi. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi(61), 66-83.
AMA Gençyürek AG, Demireli E. Gelişmekte Olan Ülkelerin Borsaları Üzerinde Ham Petrolün Etkisi: Varyans Nedensellik Analizi. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi. July 2019;(61):66-83.
Chicago Gençyürek, Ahmet Galip, and Erhan Demireli. “Gelişmekte Olan Ülkelerin Borsaları Üzerinde Ham Petrolün Etkisi: Varyans Nedensellik Analizi”. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, no. 61 (July 2019): 66-83.
EndNote Gençyürek AG, Demireli E (July 1, 2019) Gelişmekte Olan Ülkelerin Borsaları Üzerinde Ham Petrolün Etkisi: Varyans Nedensellik Analizi. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi 61 66–83.
IEEE A. G. Gençyürek and E. Demireli, “Gelişmekte Olan Ülkelerin Borsaları Üzerinde Ham Petrolün Etkisi: Varyans Nedensellik Analizi”, Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, no. 61, pp. 66–83, July 2019.
ISNAD Gençyürek, Ahmet Galip - Demireli, Erhan. “Gelişmekte Olan Ülkelerin Borsaları Üzerinde Ham Petrolün Etkisi: Varyans Nedensellik Analizi”. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi 61 (July 2019), 66-83.
JAMA Gençyürek AG, Demireli E. Gelişmekte Olan Ülkelerin Borsaları Üzerinde Ham Petrolün Etkisi: Varyans Nedensellik Analizi. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi. 2019;:66–83.
MLA Gençyürek, Ahmet Galip and Erhan Demireli. “Gelişmekte Olan Ülkelerin Borsaları Üzerinde Ham Petrolün Etkisi: Varyans Nedensellik Analizi”. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, no. 61, 2019, pp. 66-83.
Vancouver Gençyürek AG, Demireli E. Gelişmekte Olan Ülkelerin Borsaları Üzerinde Ham Petrolün Etkisi: Varyans Nedensellik Analizi. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi. 2019(61):66-83.

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