We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Enerji Fiyatlarının Borsa ile Etkileşimi.
- Authors
ÖZER, Nevin
- Abstract
The discount rate used in determining the price of stocks is a function of macroeconomic variables. It is expected that the indirect effect of energy prices through its effect on economic activities and its direct effect, as it is the main cost input of enterprises, will cause an effect on stock prices. In this study, the effect of energy prices on selected stock market indices between 2011 and 2020 was investigated. While investigating this effect, Johensen-Juselius cointegration test, Granger causality test and variance decomposition model based on VAR model were used. In the analyzes made, a long-term relationship was found in the models established as a result of the J-J cointegration test, while in the Granger causality analysis, only the causality relationship from natural gas to BIST-ELECTRIC and from petroleum to BIST-ELECTRIC was determined. In the variance decomposition model, the effect of oil and natural gas is negligible in the BIST-100, BISTELEKTRIC and BIST-SINAI indices; At the end of the 30-day period in the BIST-TUM index, 93.9% is affected by its own shocks, 4.78% is affected by the shock caused by petroleum and 1.23% is affected by the shock caused by natural gas. In summary, it has been determined that stock market indices are affected by energy prices, but this effect is very small. It is thought that other macroeconomic variables are more effective in stock market indices.
- Subjects
STOCK price indexes; VECTOR autoregression model; GRANGER causality test; STOCK prices; DISCOUNT prices
- Publication
Igdir University Journal of Social Sciences / Iğdır Üniversitesi Sosyal Bilimler Dergisi, 2021, p192
- ISSN
2147-5717
- Publication type
Article
- DOI
10.54600/igdirsosbilder.980455