Time-varying impact of oil prices on sectoral stock returns: Evidence from Turkey

Çatık, Abdurrahman Nazif; Kışla, Gül Huyugüzel; Akdeni̇z, Coşkun

doi:10.1016/j.resourpol.2020.101845

Cited by 7 publications

(4 citation statements)

References 55 publications

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“…They found that all sectoral indices have multifractal features and that, except for the agriculture sector, the null hypothesis of a weak form of an efficient market is rejected. Çatık et al ( 2020 ) examined the time-varying effect of oil prices on Turkish sectoral stock returns. They stated that the alleged effect varies significantly over time.…”

Section: Literature Reviewmentioning

confidence: 99%

The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis

Erer¹,

Erer

Güngör

2023

Financ Innov

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This study aims to examine the time-varying efficiency of the Turkish stock market’s major stock index and eight sectoral indices, including the industrial, financial, service, information technology, basic metals, tourism, real estate investment, and chemical petrol plastic, during the COVID-19 outbreak and the global financial crisis (GFC) within the framework of the adaptive market hypothesis. This study employs multifractal detrended fluctuation analysis to illustrate these sectors’ multifractality and short- and long-term dependence. The results show that all sectoral returns have greater persistence during the COVID-19 outbreak than during the GFC. Second, the real estate and information technology industries had the lowest levels of efficiency during the GFC and the COVID-19 outbreak. Lastly, the fat-tailed distribution has a greater effect on multifractality in these industries. Our results validate the conclusions of the adaptive market hypothesis, according to which arbitrage opportunities vary over time, and contribute to policy formulation for future outbreak-induced economic crises.

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Section: Literature Reviewmentioning

confidence: 99%

The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis

Erer¹,

Erer

Güngör

2023

Financ Innov

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“…There are also papers related to the linkages between crude oil and stock markets (Singhal et al [12], Çatık et al [13], Zaighum et al [14]). Singhal et al [12] studied the dynamic relationship between international oil prices (WTI), gold prices, Mexican stock market index (BMV IPC) and Mexican peso-US Dollar exchange rate in the period from January 2006 to April 2018.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Their findings discovered that the gold prices positively affected index of Mexican Stock Exchange and negatively affected oil prices. Çatık et al [13] analysed the influence of oil price changes on the sectoral Turkey stock market returns in the period 3 January 1997-9 August 2018. They used daily returns data for 12 sectors.…”

Section: Literature Reviewmentioning

confidence: 99%

Analysis of Interrelationships between Markets of Fuels in the Visegrad Group Countries from 2016 to 2020

Górska

Krawiec

2021

Energies

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A fuel market is an important sector of the economy and fuel prices influence the prices of numerous products and services. This paper focuses on the analysis of the interrelationships between markets of fuels in the Visegrad Group (V4) countries. The research is based on weekly prices of Pb95 gasoline and diesel in the Czech Republic, Hungary, Poland, and Slovakia observed from January 2016 through December 2020. After performing the preliminary statistical analysis, the long-term relationships between the prices of fuels are investigated through application of the cointegrated regression Durbin–Watson (CRDW) test. Next, Granger causality is tested to answer the question of whether changes in prices of fuels in separate V4 countries Granger-cause changes in prices of fuels in other V4 countries. The cointegration research uses logarithmic prices, whereas causality investigation is based on their first differences. The results reveal long-term relationships between the prices of Pb95 gasoline in the Czech Republic and prices in other V4 countries as well as Granger causality flowing from diesel price changes in Poland to diesel price changes in other V4 countries and bilateral causation between changes in the prices of Pb95 gasoline in Poland, Hungary and Slovakia.

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“…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%

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

Akçağlayan¹,

Tuzcu²

2023

Sosyoekonomi

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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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Time-varying impact of oil prices on sectoral stock returns: Evidence from Turkey

Cited by 7 publications

References 55 publications

The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis

The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis

Analysis of Interrelationships between Markets of Fuels in the Visegrad Group Countries from 2016 to 2020

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

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