A Review on The Relationship between Oil Prices and Stock Prices in Turkey: New Evidences from Fourier Approach
Oil is one of the most important energy resources in production and consumption processes. Therefore, shocks from oil prices can affect many macroeconomic variables. One of these macroeconomic variables is stock prices, and it is important to investigate the long-term relationship between the two va...
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| Format: | Article |
| Language: | English |
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Ekonomi ve Finansal Araştırmalar Derneği
2021-04-01
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| Series: | Ekonomi, Politika & Finans Araştırmaları Dergisi |
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| Online Access: | https://dergipark.org.tr/tr/download/article-file/1340306 |
| _version_ | 1797289535842811904 |
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| author | Mehmet Songur |
| author_facet | Mehmet Songur |
| author_sort | Mehmet Songur |
| collection | DOAJ |
| description | Oil is one of the most important energy resources in production and consumption processes. Therefore, shocks from oil prices can affect many macroeconomic variables. One of these macroeconomic variables is stock prices, and it is important to investigate the long-term relationship between the two variables. The purpose of this study is to test the long-term existence of a relationship between oil prices and BIST100 index in Turkey by making use of data collected on daily basis between a period of 02/01/2002 and 02/07/2019. Within this context, Fourier stationarity and Fourier cointegration tests were utilized since they take into account both sharp and gradual/smooth structural breaks. Findings of the analysis indicate that there is not a long-term cointegration relationship between oil prices and stock prices under both sharp and gradual/smooth structural breaks. Regarding the findings in this context, it can be inferred that changes in oil prices are not to be effective on the share prices in Turkey. |
| first_indexed | 2024-03-07T19:06:24Z |
| format | Article |
| id | doaj.art-7ef18d690baf46739964ffef7212c8ab |
| institution | Directory Open Access Journal |
| issn | 2587-151X |
| language | English |
| last_indexed | 2024-03-07T19:06:24Z |
| publishDate | 2021-04-01 |
| publisher | Ekonomi ve Finansal Araştırmalar Derneği |
| record_format | Article |
| series | Ekonomi, Politika & Finans Araştırmaları Dergisi |
| spelling | doaj.art-7ef18d690baf46739964ffef7212c8ab2024-03-01T08:32:22ZengEkonomi ve Finansal Araştırmalar DerneğiEkonomi, Politika & Finans Araştırmaları Dergisi2587-151X2021-04-016110111110.30784/epfad.809222957A Review on The Relationship between Oil Prices and Stock Prices in Turkey: New Evidences from Fourier ApproachMehmet Songur0Dicle ÜniversitesiOil is one of the most important energy resources in production and consumption processes. Therefore, shocks from oil prices can affect many macroeconomic variables. One of these macroeconomic variables is stock prices, and it is important to investigate the long-term relationship between the two variables. The purpose of this study is to test the long-term existence of a relationship between oil prices and BIST100 index in Turkey by making use of data collected on daily basis between a period of 02/01/2002 and 02/07/2019. Within this context, Fourier stationarity and Fourier cointegration tests were utilized since they take into account both sharp and gradual/smooth structural breaks. Findings of the analysis indicate that there is not a long-term cointegration relationship between oil prices and stock prices under both sharp and gradual/smooth structural breaks. Regarding the findings in this context, it can be inferred that changes in oil prices are not to be effective on the share prices in Turkey.https://dergipark.org.tr/tr/download/article-file/1340306petrol fiyatlarıhisse senedi fiyatlarıfourier analizioil pricesstock pricesfourier analysis |
| spellingShingle | Mehmet Songur A Review on The Relationship between Oil Prices and Stock Prices in Turkey: New Evidences from Fourier Approach Ekonomi, Politika & Finans Araştırmaları Dergisi petrol fiyatları hisse senedi fiyatları fourier analizi oil prices stock prices fourier analysis |
| title | A Review on The Relationship between Oil Prices and Stock Prices in Turkey: New Evidences from Fourier Approach |
| title_full | A Review on The Relationship between Oil Prices and Stock Prices in Turkey: New Evidences from Fourier Approach |
| title_fullStr | A Review on The Relationship between Oil Prices and Stock Prices in Turkey: New Evidences from Fourier Approach |
| title_full_unstemmed | A Review on The Relationship between Oil Prices and Stock Prices in Turkey: New Evidences from Fourier Approach |
| title_short | A Review on The Relationship between Oil Prices and Stock Prices in Turkey: New Evidences from Fourier Approach |
| title_sort | review on the relationship between oil prices and stock prices in turkey new evidences from fourier approach |
| topic | petrol fiyatları hisse senedi fiyatları fourier analizi oil prices stock prices fourier analysis |
| url | https://dergipark.org.tr/tr/download/article-file/1340306 |
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