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Examination of The Relationship Between BIST Chemical, Oil, Plastic Index Share Prices And Oil Prices

Year 2014, Volume: 15 Issue: 1, 383 - 395, 21.02.2014

Abdulkadir Kaya , Ömer Binici

Abstract

Oil, which is one of the indispensable factor of production sectors and the most important element of the types of energy, price changes affect the financial sector besides the real sector in recent years. In this study, the relationship have been investigated between oil prices and stock prices of companies, which are operating in Turkey, included in Istanbul Stock Exchange (BIST) Chemical, Petroleum, Plastics index that oil is the main production factors of these companies. For this purpose, whether there is a long-term relationship between BIST Chemical, Petroleum, Plastic index and oil prices, was tested with Jusellius Johansen cointegration test. Granger Causality Test method was used to determine the direction of causality between variables. As a result of the analysis, cointegration relationship was found between oil prices and BIST Chemical, Petroleum, Plastic index. In addition, a unidirectional causal relationship has been found from oil prices to BIST Chemical, Petroleum, Plastics index.

Keywords

Oil Prices BIST Chemical Petroleum Plastic Index Johansen Cointegration Test Granger Causality Test

References

  • FAYOUMI, Nabeel Al (2009), “Oil Prices and Stock Market Returns in Oil Importing Countries: The Case of Turkey, Tunisia and Jordan” European Journal of Economics, Finance and Administrative Sciences, 16; 84-98.
  • ALOUI, Chaker ve Jammazi RANİA (2009), “The Effects Of Crude Oil Shocks On Stock Market Shifts Behaviour: A Regime Switching Approach”, Energy Economics, 31; 789-799.
  • AROURI, Mohamed ve Julien FOUQUAU (2009), "On the Short-Term Influence of Oil Price Changes on Stock Markets in GCC Countries: Linear and Nonlinear Analyses ", Economics Bulletin, Vol 29(2); 795-804.
  • AROURI, Mohamed ve Thanh Huong DINH (2010), “Oil Prices, Stock Markets And Portfolio Investment: Evidence From Sector Analysis In Europe Over The Last Decade”, Energy Policy, 38; 4528–4539.
  • BASHER, Syed Abul; Alfred A. HAUG ve Perry SADORSKY (2012), “Oil Prices, Exchange Rates And Emerging Stock Markets”, Energy Economics, 34; 227-240.
  • BHAR, Ramaprasad ve Biljana NIKOLOVA (2010), “Global Oil Prices, Oil Industry And Equity Returns: Russian Experience”, Scottish Journal of Political Economy, 57(2); 169-186.
  • CHANG, Chia-Lin; Michael MCALEER ve Roengchai TANSUCHAT (2012), “Conditional Correlations And Volatility Spillovers Between Crude Oil And Stock Index Returns”, (Carf-F-202) Erasmus University Rotterdam Tinbergen Institute, Rotterdam, İnternet Adresi: http://www.carf.e.u-tokyo.ac.jp/pdf /workingpaper /fseries/211.pdf, Erişim Tarihi: 02.01.2014
  • CHANG, Kuang-Liang ve Shih-Ti YU (2013) “Does Crude Oil Price Play An Important Role In Explaining Stock Return Behavior?”, Energy Economics, Volume 39; 159-168.
  • CHOI, Kyongwook ve Shawkat HAMMOUDEH (2010) “Volatility Behavior Of Oil, Industrial Commodity And Stock Markets In A Regime-Switching Environment”, Energy Policy, 38(8); 4388-4399.
  • CIFARELLIA, Giulio ve Giovanna PALADINO (2010) “Oil Price Dynamics And Speculation: A Multivariate Financial Approach”, Energy Economics, 32; 363-372.
  • CONG, Rong-Gang; WEI, Yi-Ming; Jian-Lin JIAO ve Ying FAN (2008) “Relationships Between Oil Price Shocks And Stock Market: An Empirical Analysis From China”, Energy Policy, Volume 36, Issue 9; 3544-3553.
  • FAFF, Robert W. ve Timothy J. BRAILSFORD (1999) “Oil Price Risk And The Australian Stock Market”, J. Energy Finance Dev., 4; 69-87.
  • FILIS, George (2010) “Macro Economy, Stock Market And Oil Prices: Do Meaningful Relationships Exist Among Their Cyclical Fluctuations?”, Energy Economics, 32(4); 877-886.
  • FILIS, George; Stavros DEGIANNAKIS ve Christos FLOROS (2011) “Dynamic Correlation Between Stock Market And Oil Prices: The Case Of Oil-Importing And Oil-Exporting Countries”, International Review of Financial Analysis, 20; 152–164.
  • FOWOWE, Babajide (2013) “Jump Dynamics In The Relationship Between Oil Prices And The Stock Market: Evidence From Nigeria”, Energy 56; 31-38.
  • GHOURI, S. Salman (2006) “Assessment Of The Relationship Between Oil Prices And Us Oil Stocks”, Energy Policy 34; 3327–3333
  • HAMILTON, James D. (1996) “This Is What Happened To The Oil Price-Macroeconomy Relationship”, Journal of Monetary Economics 38(2); 215-220.
  • HAMMOUDEH, Shawkat ve Kyongwook CHOI (2006) “Behavior Of GCC Stock Markets And Impacts Of Us Oil And Financial Markets”, Research in International Business and Finance, 20(1); 22-44.
  • HAMMOUDEH, Shawkat ve Huimin LI (2005) “Oil Sensitivity And Systematic Risk In Oil-Sensitive Stock Indices”, Journal of Economics and Business, 57(1); 1-21.
  • HAMMOUDEH, Shawkat; Selahattin DIBOOGLU ve Haute ALSACE (2004) “Relationships Among U.S. Oil Prices And Oil Industry Equity Indices”, International Review of Economics and Finance, 13; 427–453
  • HEARN, Bruce ve Shuk Yin MAN (2010) “An Examination of Price Integration Between Stock Market and International Crude Oil Indices: Evidence from China”, Applied Economics Letters, 18(16); 1595-1602.
  • HENRIQUES, Irene ve Perry SADORSKY (2008) “Oil prices and stock prices of alternative energy companies”, Energy Economics, 30(3); 99-1010.
  • HUANG, Roger D.; Ronald W. MASULIS ve Hans R. STOLL (1996) “Energy Shocks And Financial Markets”, J. Futures Mark. 16; 1-27.
  • JONES, Charles M. ve Gautam KAUL (1996) “Oil And The Stock Markets”, Journal of Finance, 51; 463-91.
  • JOUINI, Jamel (2013) “Return And Volatility Interaction Between Oil Prices And Stock Markets In Saudi Arabia”, Journal of Policy Modeling, Volume 35, Issue 6; 1124-1144.
  • KAPUSUZOGLU, Ayahan (2011) “Relationships Between Oil Price And Stock Market: An Empirical Analysis From Istanbul Stock Exchange (Ise)”. International Journal of Economics and Finance, 3(6), 99 - 106.
  • LEE, Yen-Hsien ve Jer-Shiou CHIOU (2011) “Oil Sensitivity And Its Asymmetric Impact On The Stock Market”, Energy, 36; 168-174.
  • MAGHYEREH, Aktham (2004) “Oil Price Shocks And Emerging Stock Markets: A Generalized Var Approach”, International Journal of Applied Econometrics and Quantitative Studies, 1(2); 27–40.
  • MALIK, Farooq ve Shawkat HAMMOUDEH (2007) “Shock And Volatility Transmission In The Oil, Us And Gulf Equity Markets”, International Review of Economics Finance, 16(3); 357-368.
  • MILLER, J. Isaac ve Ronald A. RATTI (2009) “Crude Oil And Stock Markets: Stability, Instability, And Bubbles”, Energy Economics, 31(4); 559-568.
  • NAIFAR, Nader ve Mohammed Saleh Al DOHAIMAN (2013) “Nonlinear Analysis Among Crude Oil Prices, Stock Markets' Return And Macroeconomic Variables”, International Review of Economics and Finance 27; 416–431.
  • ONO, Shigeki (2011) “Oil Price Shocks and Stock Markets in BRICs”, The European Journal of Comparative Economics, 8(1); 29-45.
  • PAPAPETROU, Evangelia (2001) “Oil Price Shocks, Stock Market, Economic Activity and Employment in Greece”, Energy Economics, 23(5); 511-532.
  • PARK, Jung Wook ve Ronald A. RATTİ (2008) “Oil Price Shocks And Stock Markets İn The U.S. And 13 European Countries”, Energy Economics, 30(5); 2587-2608.
  • GUPTA, Rangan ve Mampho P. MODISE (2013) “Does The Source Of Oil Price Shocks Matter For South African Stock Returns? A Structural Var Approach”, Energy Economics, In Press, Accepted Manuscript, Available online 21 October, 1-19
  • SADORSKY, Perry (2001). “Risk Factors in Stock Returns of Canadian Oil and Gas Companies,” Energy Economics, 23, 17-28.
  • SADORSKY, Perry (1999) “Oil price shocks and stock market activity, Energy Economics”, 21; 449-69.
  • WANG, Yudong; Chongfeng WU ve Li YANG (2013) “Oil Price Shocks And Stock Market Activities: Evidence From Oil-Importing And Oil-Exporting Countries”, Journal of Comparative Economics, 41; 1220–1239.

BIST Kimya, Petrol, Plastik Endeksi Hisse Senedi Fiyatları ile Petrol Fiyatları Arasındaki İlişkinin İncelenmesi

Year 2014, Volume: 15 Issue: 1, 383 - 395, 21.02.2014

Abdulkadir Kaya , Ömer Binici

Abstract

Enerji türlerinin en önemli unsuru ve üretim sektörünün vazgeçilmez faktörlerinden biri olan petrolün son yıllardaki fiyatındaki değişimler, reel sektör yanında finansal sektörü de etkilemektedir. Bu çalışmada, Türkiye’de faaliyet gösteren, ana üretim faktörü petrol olan Borsa İstanbul (BİST) Kimya, Petrol, Plastik endeksinde yer alan şirketlerin hisse senetleri fiyatları ile petrol fiyatları arasındaki ilişki incelenmiştir. Bu amaçla, BIST Kimya, Petrol, Plastik endeksi ile petrol fiyatları arasındaki uzun dönemli bir ilişki olup olmadığı Johansen Jusellius Eşbütünleşme Testi ile test edilmiştir. Değişkenler arasındaki nedenselliğin yönünü belirlemek için ise Granger Nedensellik Testi yöntemi ile kullanılmıştır. Yapılan analizler sonucunda, petrol fiyatları ile BIST Kimya, Petrol, Plastik endeksi arasında eşbütünleşme ilişkisi bulunmuştur. Ayrıca petrol fiyatlarından, BIST Kimya, Petrol, Plastik endeksine doğru tek yönlü bir nedensellik ilişkisine tespit edilmiştir.

Keywords

Petrol Fiyatları BIST Kimya Petrol Plastik Endeksi Johansen Eşbütünleşme Testi Granger Nedensellik Testi

References

  • FAYOUMI, Nabeel Al (2009), “Oil Prices and Stock Market Returns in Oil Importing Countries: The Case of Turkey, Tunisia and Jordan” European Journal of Economics, Finance and Administrative Sciences, 16; 84-98.
  • ALOUI, Chaker ve Jammazi RANİA (2009), “The Effects Of Crude Oil Shocks On Stock Market Shifts Behaviour: A Regime Switching Approach”, Energy Economics, 31; 789-799.
  • AROURI, Mohamed ve Julien FOUQUAU (2009), "On the Short-Term Influence of Oil Price Changes on Stock Markets in GCC Countries: Linear and Nonlinear Analyses ", Economics Bulletin, Vol 29(2); 795-804.
  • AROURI, Mohamed ve Thanh Huong DINH (2010), “Oil Prices, Stock Markets And Portfolio Investment: Evidence From Sector Analysis In Europe Over The Last Decade”, Energy Policy, 38; 4528–4539.
  • BASHER, Syed Abul; Alfred A. HAUG ve Perry SADORSKY (2012), “Oil Prices, Exchange Rates And Emerging Stock Markets”, Energy Economics, 34; 227-240.
  • BHAR, Ramaprasad ve Biljana NIKOLOVA (2010), “Global Oil Prices, Oil Industry And Equity Returns: Russian Experience”, Scottish Journal of Political Economy, 57(2); 169-186.
  • CHANG, Chia-Lin; Michael MCALEER ve Roengchai TANSUCHAT (2012), “Conditional Correlations And Volatility Spillovers Between Crude Oil And Stock Index Returns”, (Carf-F-202) Erasmus University Rotterdam Tinbergen Institute, Rotterdam, İnternet Adresi: http://www.carf.e.u-tokyo.ac.jp/pdf /workingpaper /fseries/211.pdf, Erişim Tarihi: 02.01.2014
  • CHANG, Kuang-Liang ve Shih-Ti YU (2013) “Does Crude Oil Price Play An Important Role In Explaining Stock Return Behavior?”, Energy Economics, Volume 39; 159-168.
  • CHOI, Kyongwook ve Shawkat HAMMOUDEH (2010) “Volatility Behavior Of Oil, Industrial Commodity And Stock Markets In A Regime-Switching Environment”, Energy Policy, 38(8); 4388-4399.
  • CIFARELLIA, Giulio ve Giovanna PALADINO (2010) “Oil Price Dynamics And Speculation: A Multivariate Financial Approach”, Energy Economics, 32; 363-372.
  • CONG, Rong-Gang; WEI, Yi-Ming; Jian-Lin JIAO ve Ying FAN (2008) “Relationships Between Oil Price Shocks And Stock Market: An Empirical Analysis From China”, Energy Policy, Volume 36, Issue 9; 3544-3553.
  • FAFF, Robert W. ve Timothy J. BRAILSFORD (1999) “Oil Price Risk And The Australian Stock Market”, J. Energy Finance Dev., 4; 69-87.
  • FILIS, George (2010) “Macro Economy, Stock Market And Oil Prices: Do Meaningful Relationships Exist Among Their Cyclical Fluctuations?”, Energy Economics, 32(4); 877-886.
  • FILIS, George; Stavros DEGIANNAKIS ve Christos FLOROS (2011) “Dynamic Correlation Between Stock Market And Oil Prices: The Case Of Oil-Importing And Oil-Exporting Countries”, International Review of Financial Analysis, 20; 152–164.
  • FOWOWE, Babajide (2013) “Jump Dynamics In The Relationship Between Oil Prices And The Stock Market: Evidence From Nigeria”, Energy 56; 31-38.
  • GHOURI, S. Salman (2006) “Assessment Of The Relationship Between Oil Prices And Us Oil Stocks”, Energy Policy 34; 3327–3333
  • HAMILTON, James D. (1996) “This Is What Happened To The Oil Price-Macroeconomy Relationship”, Journal of Monetary Economics 38(2); 215-220.
  • HAMMOUDEH, Shawkat ve Kyongwook CHOI (2006) “Behavior Of GCC Stock Markets And Impacts Of Us Oil And Financial Markets”, Research in International Business and Finance, 20(1); 22-44.
  • HAMMOUDEH, Shawkat ve Huimin LI (2005) “Oil Sensitivity And Systematic Risk In Oil-Sensitive Stock Indices”, Journal of Economics and Business, 57(1); 1-21.
  • HAMMOUDEH, Shawkat; Selahattin DIBOOGLU ve Haute ALSACE (2004) “Relationships Among U.S. Oil Prices And Oil Industry Equity Indices”, International Review of Economics and Finance, 13; 427–453
  • HEARN, Bruce ve Shuk Yin MAN (2010) “An Examination of Price Integration Between Stock Market and International Crude Oil Indices: Evidence from China”, Applied Economics Letters, 18(16); 1595-1602.
  • HENRIQUES, Irene ve Perry SADORSKY (2008) “Oil prices and stock prices of alternative energy companies”, Energy Economics, 30(3); 99-1010.
  • HUANG, Roger D.; Ronald W. MASULIS ve Hans R. STOLL (1996) “Energy Shocks And Financial Markets”, J. Futures Mark. 16; 1-27.
  • JONES, Charles M. ve Gautam KAUL (1996) “Oil And The Stock Markets”, Journal of Finance, 51; 463-91.
  • JOUINI, Jamel (2013) “Return And Volatility Interaction Between Oil Prices And Stock Markets In Saudi Arabia”, Journal of Policy Modeling, Volume 35, Issue 6; 1124-1144.
  • KAPUSUZOGLU, Ayahan (2011) “Relationships Between Oil Price And Stock Market: An Empirical Analysis From Istanbul Stock Exchange (Ise)”. International Journal of Economics and Finance, 3(6), 99 - 106.
  • LEE, Yen-Hsien ve Jer-Shiou CHIOU (2011) “Oil Sensitivity And Its Asymmetric Impact On The Stock Market”, Energy, 36; 168-174.
  • MAGHYEREH, Aktham (2004) “Oil Price Shocks And Emerging Stock Markets: A Generalized Var Approach”, International Journal of Applied Econometrics and Quantitative Studies, 1(2); 27–40.
  • MALIK, Farooq ve Shawkat HAMMOUDEH (2007) “Shock And Volatility Transmission In The Oil, Us And Gulf Equity Markets”, International Review of Economics Finance, 16(3); 357-368.
  • MILLER, J. Isaac ve Ronald A. RATTI (2009) “Crude Oil And Stock Markets: Stability, Instability, And Bubbles”, Energy Economics, 31(4); 559-568.
  • NAIFAR, Nader ve Mohammed Saleh Al DOHAIMAN (2013) “Nonlinear Analysis Among Crude Oil Prices, Stock Markets' Return And Macroeconomic Variables”, International Review of Economics and Finance 27; 416–431.
  • ONO, Shigeki (2011) “Oil Price Shocks and Stock Markets in BRICs”, The European Journal of Comparative Economics, 8(1); 29-45.
  • PAPAPETROU, Evangelia (2001) “Oil Price Shocks, Stock Market, Economic Activity and Employment in Greece”, Energy Economics, 23(5); 511-532.
  • PARK, Jung Wook ve Ronald A. RATTİ (2008) “Oil Price Shocks And Stock Markets İn The U.S. And 13 European Countries”, Energy Economics, 30(5); 2587-2608.
  • GUPTA, Rangan ve Mampho P. MODISE (2013) “Does The Source Of Oil Price Shocks Matter For South African Stock Returns? A Structural Var Approach”, Energy Economics, In Press, Accepted Manuscript, Available online 21 October, 1-19
  • SADORSKY, Perry (2001). “Risk Factors in Stock Returns of Canadian Oil and Gas Companies,” Energy Economics, 23, 17-28.
  • SADORSKY, Perry (1999) “Oil price shocks and stock market activity, Energy Economics”, 21; 449-69.
  • WANG, Yudong; Chongfeng WU ve Li YANG (2013) “Oil Price Shocks And Stock Market Activities: Evidence From Oil-Importing And Oil-Exporting Countries”, Journal of Comparative Economics, 41; 1220–1239.
There are 38 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Abdulkadir Kaya

Ömer Binici

Publication Date February 21, 2014
Submission Date February 21, 2014
Published in Issue Year 2014Volume: 15 Issue: 1

Cite

APA Kaya, A., & Binici, Ö. (2014). BIST Kimya, Petrol, Plastik Endeksi Hisse Senedi Fiyatları ile Petrol Fiyatları Arasındaki İlişkinin İncelenmesi. Cumhuriyet Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 15(1), 383-395.
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