OIL PRICES AND BANKING STOCKS NEXUS: EVIDENCE FROM AN OILDEPENDENT COUNTRY

Beyza Mina ORDU AKKAYA, (Ankara Sosyal Bilimler Üniversitesi)
Ramazan SARI (Orta Doğu Teknik Üniversitesi)
Dumlupınar Üniversitesi Sosyal Bilimler Dergisi
2 0
Yıl: 2019 Cilt: 0 Sayı: 59 Sayfa Aralığı: 34 - 47 Metin Dili: İngilizce İndeks Tarihi: 25-11-2019

OIL PRICES AND BANKING STOCKS NEXUS: EVIDENCE FROM AN OILDEPENDENT COUNTRY

Öz:
We investigate the impact of oil prices on Borsa Istanbul banking index during 2004-2016 and for the periods beforeand after the 2008 crisis. We especially examine banking stock performances since any significant factor affectingfinancial institutions, would probably have an impact on the whole economy due to the contagion. Furthermore,banking index is the leader index in Borsa Istanbul with 36% of market capitalization of Borsa Istanbul and financialinstitutions in Turkey experienced a s ignificant mergers and acquisitions flow in the last decade. Hence, theinterrelationship between foreign and domestic markets has intensified, significantly. Our sample period is between2004 and 2016 and we employ Granger-causality to capture the predictive power of oil prices on stock market andgeneralized impulse responses to analyze the sign and duration of the relationship. Results reveal that financial andcommodity markets are highly integrated and oil is a significant commodity for Turkish market. Furthermore,banking equities seem to benefit from oil price increases between 2008-2016 and therefore one should includebanking stocks into their portfolios, when commodity prices are surging.
Anahtar Kelime:

Konular: İş Tarih Siyasi Bilimler Sosyoloji İktisat Uluslararası İlişkiler

PETROL FİYATLARI VE BANKACILIK HİSSE SENETLERİ BAĞINTISI: PETROL BAĞIMLI BİR ÜLKEDEN KANIT

Öz:
Çalışmamız petrol fiyatlarının Borsa İstanbul banka endeksi üzerindeki etkisini 2004-2016 dönemi için incelerken, kriz öncesi ve sonrası farklılıkları da sınamaktadır. Banka endeksine özellikle bakmamızın nedenlerinden biri finansal kurumları etkileyen önemli faktörlerin bulaşıcılık nedeniyle kuvvetle muhtemel ekonomiyi de etkileyecekleridir. Dahası, banka endeksi Borsa İstanbul’un %36’sını oluşturan ana endekstir ve Türkiye’deki bankacılık sektörü son senelerde ciddi bir birleşme ve satın alma dalgasına ko nu olmuştur. Bu nedenle de yurtdışı ve yerel piyasalar arasındaki bağıntı da geçen seneler içerisinde daha da çok artmıştır. Örneklem kapsamımız 2004 ve 2016 seneleri arasında iken, yöntemimiz Granger-nedensellik ve genelleştirilmiş etki-tepki yöntemini içermektedir. Birinci yöntem ile petrol fiyatlarının hisse senedi piyasaları üzerindeki tahmin gücü test edilirken, ikinci yöntem ile ilişkinin işareti ve süresi incelenmektedir. Sonuçlarımız finansal ve emtia piyasalarının entegre olduğunu ve petrolün Türkiye ekonomisi için önemli bir emtia olduğunu göstermektedir. Öte yandan, banka hisse senetleri özellikle 2008- 2016 döneminde petrol fiyatlarındaki artıştan pozitif anlamda etkilenmişlerdir. Bu nedenle petrol fiyatları yükselirken, yatırımcılar portföyüne banka hisse senetlerini eklemeyi düşünebilir.
Anahtar Kelime:

Konular: İş Tarih Siyasi Bilimler Sosyoloji İktisat Uluslararası İlişkiler
Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
  • Abdioğlu, Z., & Değirmenci, N. (2014). Petrol fiyatlari-hisse senedi fiyatlari ilişkisi: bist sektörel analiz. Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5(8), 1-24.
  • Adams, Z., & Glück, T. (2015). Financialization in commodity markets: A passing trend or the new normal?. Journal of Banking & Finance, 60, 93-111.
  • Afşar, M. (2011). Küresel kriz ve Türk bankacılık sektörüne yansımaları. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 6(2), 143-171.
  • Akkaya, Y., & Gurkaynak, R. (2012). Cari açık, bütçe dengesi, finansal istikrar ve para politikası: Heyecanlı bir dönemin izi. İktisat İşletme ve Finans, 27(315), 93-119.
  • Aloui, C., Nguyen, D. K., & Njeh, H. (2012). Assessing the impacts of oil price fluctuations on stock returns in emerging markets. Economic Modelling, 29(6), 2686-2695.
  • Arouri, M. E. H., Jouini, J., & Nguyen, D. K. (2012). On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness. Energy Economics, 34(2), 611-617.
  • Arouri, M. E. H., & Nguyen, D. K. (2010). Oil prices, stock markets and portfolio investment: evidence from sector analysis in Europe over the last decade. Energy Policy, 38(8), 4528- 4539.
  • Bahmani-Oskooee, M., and A. Sohrabian. 1992. Stock prices and the effective exchange rate of the dollar. Applied Economics 24 (4):459–64. doi:10.1080/00036849200000020
  • Basher, S. A., & Sadorsky, P. (2006). Oil price risk and emerging stock markets. Global finance journal, 17(2), 224-251.
  • Cappiello, L., Engle, R. F., & Sheppard, K. (2006). Asymmetric dynamics in the correlations of global equity and bond returns. Journal of Financial econometrics, 4(4), 537-572.
  • Chen, N. F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. Journal of business, 383-403.
  • Degiannakis, S., Filis, G., & Kizys, R. (2014). The effects of oil price shocks on stock market volatility: Evidence from European data. The Energy Journal, 35(1), 35-56.
  • Demirbaş, M., Türkay, H., & Türkoğlu, M. (2009). Petrol fiyatlarındaki gelişmelerin Türkiye'nin cari açığı üzerine etkisinin analizi. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 14(3).
  • Demirgüç-Kunt, A., Feyen, E., & Levine, R. (2012). The evolving importance of banks and securities markets. The World Bank Economic Review, 27(3), 476-490.
  • Doroodian, K., & Boyd, R. (2003). The linkage between oil price shocks and economic growth with inflation in the presence of technological advances: a CGE model. Energy Policy, 31(10), 989-1006.
  • Du, L., Yanan, H., & Wei, C. (2010). The relationship between oil price shocks and China’s macro-economy: An empirical analysis. Energy policy, 38(8), 4142-4151.
  • Filis, G., Degiannakis, S., & Floros, C. (2011). Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries. International Review of Financial Analysis, 20(3), 152-164.
  • Forbes, K. J., & Rigobon, R. (2002). No contagion, only interdependence: measuring stock market comovements. The journal of Finance, 57(5), 2223-2261.
  • Frankel, J. A. (2014). Effects of speculation and interest rates in a “carry trade” model of commodity prices. Journal of International Money and Finance, 42, 88-112.
  • Gisser, M., & Goodwin, T. H. (1986). Crude oil and the macroeconomy: Tests of some popular notions: Note. Journal of Money, Credit and Banking, 18(1), 95-103.
  • Gozgor, G., Lau, C. K. M., & Bilgin, M. H. (2016). Commodity markets volatility transmission: Roles of risk perceptions and uncertainty in financial markets. Journal of International Financial Markets, Institutions and Money, 44, 35-45.
  • Hamilton, J. D. (1983). Oil and the macroeconomy since World War II. Journal of political economy, 91(2), 228-248.
  • Huang, B. N., Hwang, M. J., & Peng, H. P. (2005). The asymmetry of the impact of oil price shocks on economic activities: an application of the multivariate threshold model. Energy Economics, 27(3), 455-476.
  • Huang, R. D., Masulis, R. W., & Stoll, H. R. (1996). Energy shocks and financial markets. Jones, C. M., & Kaul, G. (1996). Oil and the stock markets. The Journal of Finance, 51(2), 463- 491.
  • Kandir, S. Y. (2008). Macroeconomic variables, firm characteristics and stock returns: evidence from Turkey. International research journal of finance and economics, 16(1), 35-45.
  • Kaufman, G. G. (1994). Bank contagion: A review of the theory and evidence. Journal of Financial Services Research, 8(2), 123-150.
  • Kilian, L. (2009). Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. American Economic Review, 99(3), 1053-69.
  • Krugman, P. (2008). Commodities and speculation: metallic (and other) evidence. The New York Times. Retrieved from http://krugman.blogs.nytimes.com/2008/04/20/commodities-andspeculation- metallic-evidence/?_r=1
  • McSweeney, E. J., & Worthington, A. C. (2008). A comparative analysis of oil as a risk factor in Australian industry stock returns, 1980-2006. Studies in economics and finance, 25(2), 131-145.
  • Mohaddes, K., & Pesaran, M. H. (2017). Oil prices and the global economy: Is it different this time around?. Energy Economics, 65, 315-325.
  • Nandha, M., & Faff, R. (2008). Does oil move equity prices? A global view. Energy Economics, 30(3), 986-997.
  • Ordu, B. M., & Soytaş, U. (2016). The relationship between energy commodity prices and electricity and market index performances: evidence from an emerging market. Emerging Markets Finance and Trade, 52(9), 2149-2164.
  • Pesaran, H. H., & Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics letters, 58(1), 17-29.
  • Ramos, S. B., & Veiga, H. (2011). Risk factors in oil and gas industry returns: International evidence. Energy Economics, 33(3), 525-542.
  • Robles, M., Torero, M., & Von Braun, J. (2009). When speculation matters. Washington, DC: International Food Policy Research Institute.
  • Sadorsky, P. (1999). Oil price shocks and stock market activity. Energy economics, 21(5), 449- 469.
  • Sadorsky, P. (2001). Risk factors in stock returns of Canadian oil and gas companies. Energy economics, 23(1), 17-28.
  • Sari, R., & Soytas, U. (2006). The relationship between stock returns, crude oil prices, interest rates, and output: evidence from a developing economy. The Empirical Economics Letters, 5(4), 205-220.
  • Sari, R., Soytas, U., & Hacihasanoglu, E. (2011). Do global risk perceptions influence world oil prices?. Energy Economics, 33(3), 515-524.
  • Smyth, R. & Narayan, PK. (2018). What do we know about oil prices and stock returns?. International Review of Financial Analysis. Accepted Manuscript.
  • Soytas, U., & Oran, A. (2011). Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey. Applied energy, 88(1), 354-360.
  • The Economist (2013). Crash course. Accessed from https://www.economist.com/news/schoolsbrief/21584534-effects-financial-crisis-are-stillbeing- felt- five-years-article on 25 March 2018.
  • Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of econometrics, 66(1), 225-250.
  • Wurgler, J. (2000). Financial markets and the allocation of capital. Journal of financial economics, 58(1-2), 187-214.
APA ORDU AKKAYA B, Sarı R (2019). OIL PRICES AND BANKING STOCKS NEXUS: EVIDENCE FROM AN OILDEPENDENT COUNTRY. , 34 - 47.
Chicago ORDU AKKAYA BEYZA MİNA,Sarı Ramazan OIL PRICES AND BANKING STOCKS NEXUS: EVIDENCE FROM AN OILDEPENDENT COUNTRY. (2019): 34 - 47.
MLA ORDU AKKAYA BEYZA MİNA,Sarı Ramazan OIL PRICES AND BANKING STOCKS NEXUS: EVIDENCE FROM AN OILDEPENDENT COUNTRY. , 2019, ss.34 - 47.
AMA ORDU AKKAYA B,Sarı R OIL PRICES AND BANKING STOCKS NEXUS: EVIDENCE FROM AN OILDEPENDENT COUNTRY. . 2019; 34 - 47.
Vancouver ORDU AKKAYA B,Sarı R OIL PRICES AND BANKING STOCKS NEXUS: EVIDENCE FROM AN OILDEPENDENT COUNTRY. . 2019; 34 - 47.
IEEE ORDU AKKAYA B,Sarı R "OIL PRICES AND BANKING STOCKS NEXUS: EVIDENCE FROM AN OILDEPENDENT COUNTRY." , ss.34 - 47, 2019.
ISNAD ORDU AKKAYA, BEYZA MİNA - Sarı, Ramazan. "OIL PRICES AND BANKING STOCKS NEXUS: EVIDENCE FROM AN OILDEPENDENT COUNTRY". (2019), 34-47.
APA ORDU AKKAYA B, Sarı R (2019). OIL PRICES AND BANKING STOCKS NEXUS: EVIDENCE FROM AN OILDEPENDENT COUNTRY. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 0(59), 34 - 47.
Chicago ORDU AKKAYA BEYZA MİNA,Sarı Ramazan OIL PRICES AND BANKING STOCKS NEXUS: EVIDENCE FROM AN OILDEPENDENT COUNTRY. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi 0, no.59 (2019): 34 - 47.
MLA ORDU AKKAYA BEYZA MİNA,Sarı Ramazan OIL PRICES AND BANKING STOCKS NEXUS: EVIDENCE FROM AN OILDEPENDENT COUNTRY. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, vol.0, no.59, 2019, ss.34 - 47.
AMA ORDU AKKAYA B,Sarı R OIL PRICES AND BANKING STOCKS NEXUS: EVIDENCE FROM AN OILDEPENDENT COUNTRY. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi. 2019; 0(59): 34 - 47.
Vancouver ORDU AKKAYA B,Sarı R OIL PRICES AND BANKING STOCKS NEXUS: EVIDENCE FROM AN OILDEPENDENT COUNTRY. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi. 2019; 0(59): 34 - 47.
IEEE ORDU AKKAYA B,Sarı R "OIL PRICES AND BANKING STOCKS NEXUS: EVIDENCE FROM AN OILDEPENDENT COUNTRY." Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 0, ss.34 - 47, 2019.
ISNAD ORDU AKKAYA, BEYZA MİNA - Sarı, Ramazan. "OIL PRICES AND BANKING STOCKS NEXUS: EVIDENCE FROM AN OILDEPENDENT COUNTRY". Dumlupınar Üniversitesi Sosyal Bilimler Dergisi 59 (2019), 34-47.
Sayfa Oluşturulma Tarihi
25-04-2024 6:52

İLETİŞİM

TÜBİTAK ULAKBİM TR Dizin

Yüzüncüyıl, İşçi Blokları Mahallesi

Muhsin Yazıcıoğlu Caddesi No:51/C

06530 Çankaya / ANKARA +90 (312) 298 92 00

trdizin@tubitak.gov.tr

TÜBİTAK ULAKBİM Ulusal Akademik Ağ ve Bilgi Merkezi Cahit Arf Bilgi Merkezi © Tüm Hakları Saklıdır. Gizlilik Politikası Kullanım Şartları