Petrol Fiyatları ile Seçilmiş Makroekonomik Değişkenlerin Hisse Senedi Piyasasına Asimetrik Etkileri: Türkiye Örneği-Reference-Cited by-同舟云学术

Petrol Fiyatları ile Seçilmiş Makroekonomik Değişkenlerin Hisse Senedi Piyasasına Asimetrik Etkileri: Türkiye Örneği

Published:2023-01-31 Issue:55 Volume:31 Page:125-149
ISSN:1305-5577
Container-title:Sosyoekonomi
language:
Short-container-title:

Author:

AKÇAĞLAYAN Anıl¹^ORCID,TUZCU Sevgi Eda¹^ORCID

Affiliation:

1. ANKARA ÜNİVERSİTESİ, SİYASAL BİLGİLER FAKÜLTESİ

Abstract

This paper investigates the asymmetric impacts of crude oil prices and other selected macroeconomic variables on the Turkish stock market for the period between 2005:01-2021:06 through the combination of the NARDL model and the quantile regression approach. The findings support the existence of cointegration between the stock market and oil prices. The variations in oil prices have asymmetric impacts in the long run. A positive shock by 1% decreases stock returns by 0.67%, while oil price declines have no significant impact. Quantile regressions show that the effects of oil price shocks are more visible at the low levels of the stock market.

Publisher

Sosyoekonomi

Subject

Immunology and Allergy

Reference50 articles.

1. Akarsu, G. (2017), “Analyzing the Impact of Oil Price Volatility on Electricity Demand: The Case of Turkey”, Eurasian Economic Review, 7(3), 371-388.

2. Al-hajj, E. et al. (2017), “The Influence of Oil Price Shocks on Stock Market Returns: Fresh Evidence from Malaysia”, International Journal of Energy Economics and Policy, 7(5), 235-244.

3. Altay, B. et al. (2013), “Oil Price, Output and Employment in Turkey: Evidence from Vector Error Correction Model”, International Journal of Energy Economics and Policy, 3(SI), 7-13.

4. Altinay, G. (2007), “Short-Run and Long-Run Elasticities of Import Demand for Crude Oil In Turkey”, Energy Policy, 35(11), 5829-5835.

5. Altıntaş, H. & Y. Kassouri (2018), “Asymmetric Responses of Stock Prices to Money Supply and Oil Prices Shocks: New Evidence from A Nonlinear ARDL Approach”, International Journal of Economics and Financial Issues, 8(4), 45-53.

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Modelling (A)symmetric Nexus Between Macroeconomic Information Sentiment Biases and Stock Market Returns in Case of India: A Bound Test Approach;The Indian Economic Journal;2024-06-02

2. Türkiye Stock Market in the Shadow of COVID-19 Pandemic: A QARDL Approach;Fiscaoeconomia;2024-01-28