“…Market elasticity relies on not only oil or gold returns but also various buying and selling movements. Our findings confirm those of Civcir and Akkoc (2021) , who argued that the effect of oil return volatility is only limited to a short period. Fig.…”
Section: Resultssupporting
confidence: 91%
“…Their results suggest that exchange rate and gold price volatility negatively affect stock market performance. Civcir and Akkoc (2021) used the nonlinear ARDL (NARDL) method to test the relationship between oil return volatility and the stock market. They found that the effect of oil return shocks is limited in the short term, whereas in the long term, its effect is feeble.…”
“…Market elasticity relies on not only oil or gold returns but also various buying and selling movements. Our findings confirm those of Civcir and Akkoc (2021) , who argued that the effect of oil return volatility is only limited to a short period. Fig.…”
Section: Resultssupporting
confidence: 91%
“…Their results suggest that exchange rate and gold price volatility negatively affect stock market performance. Civcir and Akkoc (2021) used the nonlinear ARDL (NARDL) method to test the relationship between oil return volatility and the stock market. They found that the effect of oil return shocks is limited in the short term, whereas in the long term, its effect is feeble.…”
“…Many studies examine the impact of oil price changes on stock prices with some finding a positive effect (Alamgir and Bin Amin 2021 ; Diaz and Perez de Gracia 2017 ; Le and Chang 2015 ; Rafailidis and Katrakilidis 2014 ; Narayan and Narayan 2010 ; Bjørnland 2009 ; Sadorsky 2001 ), others finding a negative effect (Civcir and Akkoc 2021 ; Joo and Park 2017 ; Cunado and Perez de Gracia 2014 ; Basher et al 2012 ; Hamilton 2003 ), and others finding little or an insignificant effect (Kilian and Park 2009 ; Henriques and Sadorsky 2008 ). Moreover, it is also noted that the impact of oil price shocks differs depending on the source of the shock (demand versus supply shock) and whether the country is oil-importing or exporting (Hamilton 2009 ; Kilian 2009 ; Kilian and Park 2009 ; Wang et al 2013 ).…”
This paper examines the asymmetric effects of changes in oil price and economic policy uncertainty (EPU) on the stock market returns of the G7 countries. It employs quantile regression analysis and allows for asymmetry by differentiating between positive and negative changes in oil price and EPU. Monthly data over the period 1985–2021 are used to conduct the analysis. Overall, we find that changes in oil price and EPU have significant asymmetric effects on the stock returns of the G7 countries and that these asymmetric effects are related to market conditions. An overall negative effect of EPU and a positive effect of oil price are observed on stock returns in all the countries. The results show that while rising EPU lowers stock returns in most countries during bearish and/or normal markets, falling EPU is either insignificant or increases stock returns only when stock markets are bullish. We also find that the impacts of positive changes in EPU are more important and larger than that of the negative changes. In addition, we find that stock returns in most countries are affected by rising and falling oil price when stock markets are bearish and/or bullish.
“…Since then, many studies have examined the impacts of different macroeconomic variables on stock returns. Among these variables, monetary policy indicators, inflation, interest rates, and exchange rates have been widely used (Fama, 1981;Chen et al, 1986;Bahmani-Oskooee & Sohrabian, 2006;Tiryaki et al, 2019;Çatık et al, 2020;Civcir & Akkoc, 2021). Yet, examining the effect of oil prices on financial markets is a relatively new topic.…”
Section: Introductionmentioning
confidence: 99%
“…For Turkey, it is also put forth that this relationship is nonlinear and asymmetric (for example, Altıntaş & Yacouba 2018). Yet, very few of these studies apply NARDL as their primary model (for instance, Tiryaki et al, (2019) and Civcir and Akkoc (2021)). Different from the previous studies for Turkey, we select the NARDL approach as our primary methodology to investigate the asymmetric effects.…”
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.
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