Petrol Fiyatları ve Borsa Endeks Değeri Arasındaki İlişki : Ortadoğu Ülkeleri Örneği

Abstract

The aim of this study is to investigate the long-term and short-term causality relationship between oil prices and stock market index values. In this context, crude oil prices with Turkey, Saudi Arabia, Jordan, United Arab Emirates, Bahrain, the data belonging to Middle Eastern countries such as Qatar and Kuwait stock exchange index is used. In this study, monthly price data for the period between April 2004 and March 2019 are discussed. In this study,The reason why the Middle Eastern countries were selected is that these countries produced about one third of the world's oil production. These data were analyzed with the help of Hatemi J and Maki cointegration tests and then Toda-Yamamoto and Fourier Toda Yamamoto causality tests in order to reveal the causality relationship. As a result of this study, it was found that the indices of the countries other than Saudi Arabia have a cointegrated relationship with the oil prices in the long run and there is a causal relationship from the oil prices to the UAE, Bahrain, Qatar and Kuwait indices in the short run. In addition, it is determined that there is a causality relationship from the stock market indexes of UAE and Kuwait countries to oil prices in the short term.

Uluslararasi Fosi̇l Yakit Fi̇yatlarinin Fi̇nansal Pi̇yasalar Üzeri̇ndeki̇ Etki̇si̇ni̇n Ardl Sinir Testi̇ İle İncelenmesi̇: 1986-2019 Dönemi̇ Türki̇ye Örneği̇

“…Çok faktörlü varlık fiyatlandırma modeli ile yapılan incelemeler sonucunda 1990-2007 döneminde petrol fiyatlarındaki arz kaynaklı artışların hisse senedi getirilerine negatif etkisi olduğu bu durumun 2010-2018 döneminde ise tersine döndüğü ifade edilmiştir. Alsu (2019), çalışmasında Türkiye ve Ortadoğu ülkelerinde petrol fiyatları ile borsa endeksi arasındaki ilişkiyi incelemiştir. 2004-2019 dönemi aylık verilerinin kullanıldığı çalışmada Hatemi J ve Maki eşbütünleşme testleri ve Toda-Yamamoto nedensellik testleri kullanılmıştır.…”