Öz
Oil has very important role for an
economy. Sudden changes of oil prices can directly influence nations
eco-nomies. The objective of that research is to find out the impact of OPEC
oil prices on UK’ and USA’ stock returns
between the years of 1980-2014. In that research, Granger causality analysis
was applied first. After implementing that method, impulse response analysis
and break regression analysis was applied. Moreover, in order to strengthen the
break regression result and to find the regime impacts, Markov regime switching analysis was also implemented. Analysis
results indicated that oil price shocks increased interest rate and diminishes
stock market returns in UK and oil price shocks diminishes interest rate and
stock return in USA and oil prices had significant negative influence on USA
and UK stock market returns between the years of 1981-1985.
Kaynakça
- Abdioğlu, Z. ve Değirmenci, N. (2014). Petrol Fiyatları-Hisse Senedi Fiyatları İlişkisi: Bist Sektörel Analiz. Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5(8), 01-24.Basher, S. A. ve Sadorsky, P. (2006). Oil Price Risk And Emerging Stock Markets. Global Finance Journal. (17), 224-251.Cergibozan, R. & Arı, A. (2017). Türkiye’deki Banka Krizlerine Yönelik Ekonometrik Bir Yaklaşım: Markov Rejim Değişim Modeli. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi.1(39), 47-64. Cong, R. G. & Wei, Y. M. & Jiao, J. L. & Fan, Y. (2008). Relationships Between Oil Price Shocks And Stock Market: An Empirical Analysis From China. Energy Policy. (36), 3544-3553.Dhaoui, A. ve Khraief, N. (2014). Empirical Linkage between Oil Price and Stock Market Returns and Volatility: Evidence from International Developed Markets. Economics Discussion Papers. (12), 2-29.Ftiti, Z. & Guesmi, K. & Abidc, I. (2016). Oil Price And Stock Market Co-Movement:What Can We Learn From Time-Scale Approaches? International Review of Financial Analysis. (46), 266-280.Hamilton, J. D. (1985). Historical Causes of Postwar Oil Shocks and Recessions. The Energy Journal. 6(1), 97-116.Jones, C. M. ve and Kaul, G. (1996). Oil and the Stock Markets. The Journal Of Fınance. 11(2),463-491.Kılıan, L. ve Park, C. (2009). The Impact Of Oıl Prıce Shocks On The U.S. Stock Market. Internatıonal Economıc Revıew. 50(4), 1267-1287.Muhtaseb, B. M. A. ve Al-Assaf, G. (2017). Oil Price Fluctuations and Their Impact on Stock Market Returns in Jordan: Evidence from an Asymmetric Cointegration Analysis. International Journal of Financial Research. 8(1), 172-180.Naurin, A. ve Qayyum, A. (2016). Impact of Oil Price and Its Volatility on Stock Market Index in Pakistan: Bivariate EGARCH Model. Munich Personal RePEc Archive. Olufisayo, A.O. (2014). Oil Price and Stock Market: Empirical Evidence from Nigeria. European Jo-urnal of Sustainable Development.3(2), 33-40.Öztürk, S. ve Saygın, S. (2017). The Economic Effects Of The 1973 Oil Crisis And Stagflation Case. BJSS Balkan Journal of Social Sciences. 6(12), 1-12.Park, J. ve Ratti, R. A. (2008). Oil Price Shocks And Stock Markets İn The U.S. And 13 European Countries. Energy Economics. (30), 2587-2608.Sadorsky, P. (1999). Oil Price Shocks And Stock Market Activity. Energy Economics. (21), 449-459.Verleger, P. K. (1979). The U.S.Petroleum Crisis of 1979. Brookings Papers on Economic Activity. (2), 463-476.Wang, Y. & Wu, C. & Yang, L. (2013). Oil Price Shocks And Stock Market Activities: Evidence From Oil-İmporting And Oil-Exporting Countries. Journal of Comparative Economics. (41), 1220-1239.Zortuk, M. ve Bayrak, S. (2016). Ham Petrol Fiyat Şokları - Hisse Senedi Piyasası İlişkisi: ADL Eşik Değerli Koentegrasyon Testi. Eskişehir Osmangazi Üniversitesi İibf Dergisi, 11(1), 7-22.www.oecd.org (OECD Web Sitesi-Veriler) https://datacatalog.worldbank.org/dataset/global-financial-development(GFD-Veriler)
Öz
Petrol ekonomi için hayati öneme sahiptir.
Fiyatlardaki ani bir değişiklik, ülkelerin ekonomilerini yakından
etkilemektedir. Bu araştırmanın amacı, 1980-2014 yılları arasındaki OPEC petrol
fiyatlarının, Birleşik Krallık ve ABD’de ki hisse senedi getirileri üzerindeki
etkisini araştırmaktır. Çalışmada ilk önce Granger nedensellik analizi
yapılmış, bu metodu uyguladıktan sonra etki-tepki analizi ve parçalı regresyon
analizi yapılmıştır. Ayrıca, parçalı regresyon analizinin sonucunu güçlendirmek
ve rejimlerin etkilerini bulmak için Markov değişen rejim analizi
uygulanmıştır. Analiz sonuçları, petrol fiyat şoklarının Birleşik Krallık’ta
faizi arttırıp borsa getirilerini azalttığını ve ABD’de faiz oranlarını düşürüp
borsa getirilerini de düşürdüğünü göstermektedir. Araştırma sonuçları 1981-1985
yılları arasında petrol fiyatlarının ABD ve Birleşik Krallığın borsa getirileri
üzerinde önemli negatif etkisinin olduğunu göstermektedir.
Anahtar Kelimeler
Kaynakça
- Abdioğlu, Z. ve Değirmenci, N. (2014). Petrol Fiyatları-Hisse Senedi Fiyatları İlişkisi: Bist Sektörel Analiz. Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5(8), 01-24.Basher, S. A. ve Sadorsky, P. (2006). Oil Price Risk And Emerging Stock Markets. Global Finance Journal. (17), 224-251.Cergibozan, R. & Arı, A. (2017). Türkiye’deki Banka Krizlerine Yönelik Ekonometrik Bir Yaklaşım: Markov Rejim Değişim Modeli. Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi.1(39), 47-64. Cong, R. G. & Wei, Y. M. & Jiao, J. L. & Fan, Y. (2008). Relationships Between Oil Price Shocks And Stock Market: An Empirical Analysis From China. Energy Policy. (36), 3544-3553.Dhaoui, A. ve Khraief, N. (2014). Empirical Linkage between Oil Price and Stock Market Returns and Volatility: Evidence from International Developed Markets. Economics Discussion Papers. (12), 2-29.Ftiti, Z. & Guesmi, K. & Abidc, I. (2016). Oil Price And Stock Market Co-Movement:What Can We Learn From Time-Scale Approaches? International Review of Financial Analysis. (46), 266-280.Hamilton, J. D. (1985). Historical Causes of Postwar Oil Shocks and Recessions. The Energy Journal. 6(1), 97-116.Jones, C. M. ve and Kaul, G. (1996). Oil and the Stock Markets. The Journal Of Fınance. 11(2),463-491.Kılıan, L. ve Park, C. (2009). The Impact Of Oıl Prıce Shocks On The U.S. Stock Market. Internatıonal Economıc Revıew. 50(4), 1267-1287.Muhtaseb, B. M. A. ve Al-Assaf, G. (2017). Oil Price Fluctuations and Their Impact on Stock Market Returns in Jordan: Evidence from an Asymmetric Cointegration Analysis. International Journal of Financial Research. 8(1), 172-180.Naurin, A. ve Qayyum, A. (2016). Impact of Oil Price and Its Volatility on Stock Market Index in Pakistan: Bivariate EGARCH Model. Munich Personal RePEc Archive. Olufisayo, A.O. (2014). Oil Price and Stock Market: Empirical Evidence from Nigeria. European Jo-urnal of Sustainable Development.3(2), 33-40.Öztürk, S. ve Saygın, S. (2017). The Economic Effects Of The 1973 Oil Crisis And Stagflation Case. BJSS Balkan Journal of Social Sciences. 6(12), 1-12.Park, J. ve Ratti, R. A. (2008). Oil Price Shocks And Stock Markets İn The U.S. And 13 European Countries. Energy Economics. (30), 2587-2608.Sadorsky, P. (1999). Oil Price Shocks And Stock Market Activity. Energy Economics. (21), 449-459.Verleger, P. K. (1979). The U.S.Petroleum Crisis of 1979. Brookings Papers on Economic Activity. (2), 463-476.Wang, Y. & Wu, C. & Yang, L. (2013). Oil Price Shocks And Stock Market Activities: Evidence From Oil-İmporting And Oil-Exporting Countries. Journal of Comparative Economics. (41), 1220-1239.Zortuk, M. ve Bayrak, S. (2016). Ham Petrol Fiyat Şokları - Hisse Senedi Piyasası İlişkisi: ADL Eşik Değerli Koentegrasyon Testi. Eskişehir Osmangazi Üniversitesi İibf Dergisi, 11(1), 7-22.www.oecd.org (OECD Web Sitesi-Veriler) https://datacatalog.worldbank.org/dataset/global-financial-development(GFD-Veriler)
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 30 Nisan 2019 |
| Gönderilme Tarihi | 26 Kasım 2018 |
| Yayımlandığı Sayı | Yıl 2019 Sayı: 111 |
- Makale Dosyaları
Dergi özellikle maliye, finans ve bankacılık alanlarında faaliyet göstermektedir.