The impact of oil prices on sectoral returns: an empirical analysis from Borsa Istanbul
Oil prices affecting production costs, inflation rates and therefore economic growth have a direct impact on stock market returns. In the last two decades sharp increases in oil prices led way to stock market collapses which were transmitted to the global economy as downturns. This paper examines th...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
General Association of Economists from Romania
2013-12-01
|
| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/929.pdf
|
| _version_ | 1818623567571451904 |
|---|---|
| author | Gaye GENCER Sercan DEMIRALAY |
| author_facet | Gaye GENCER Sercan DEMIRALAY |
| author_sort | Gaye GENCER |
| collection | DOAJ |
| description | Oil prices affecting production costs, inflation rates and therefore economic
growth have a direct impact on stock market returns. In the last two decades sharp
increases in oil prices led way to stock market collapses which were transmitted to the
global economy as downturns. This paper examines the relationship between crude oil
prices and sectoral returns of 18 sub-indices from Borsa Istanbul. We use monthly data
for the period between January 2002 and April 2013. We apply multivariate time series
analysis by conducting VAR (Vector Auto-Regression) and VECM (Vector Error
Correction Model) methodology to explore the short-run and the long-run dynamics for
the series under investigation. We also employ impulse response and Granger causality
methods to investigate the structural relationship between the variables. We figure out a
long-run equilibrium relation and a uni-directional causality from oil prices to chemicalpetroleum-
plastic sub-index as oil prices directly affect the revenues of the companies
operating in this sector. For the other sub-indices the empirical results suggest no longrun
equilibrium relation. |
| first_indexed | 2024-12-16T18:43:07Z |
| format | Article |
| id | doaj.art-b9829df45ce74cb394291da3a669b410 |
| institution | Directory Open Access Journal |
| issn | 1841-8678 1844-0029 |
| language | English |
| last_indexed | 2024-12-16T18:43:07Z |
| publishDate | 2013-12-01 |
| publisher | General Association of Economists from Romania |
| record_format | Article |
| series | Theoretical and Applied Economics |
| spelling | doaj.art-b9829df45ce74cb394291da3a669b4102022-12-21T22:20:58ZengGeneral Association of Economists from RomaniaTheoretical and Applied Economics1841-86781844-00292013-12-01XX1272418418678The impact of oil prices on sectoral returns: an empirical analysis from Borsa IstanbulGaye GENCER0Sercan DEMIRALAY1 Yeditepe University, Istanbul, Turkey Yeditepe University, Istanbul, Turkey Oil prices affecting production costs, inflation rates and therefore economic growth have a direct impact on stock market returns. In the last two decades sharp increases in oil prices led way to stock market collapses which were transmitted to the global economy as downturns. This paper examines the relationship between crude oil prices and sectoral returns of 18 sub-indices from Borsa Istanbul. We use monthly data for the period between January 2002 and April 2013. We apply multivariate time series analysis by conducting VAR (Vector Auto-Regression) and VECM (Vector Error Correction Model) methodology to explore the short-run and the long-run dynamics for the series under investigation. We also employ impulse response and Granger causality methods to investigate the structural relationship between the variables. We figure out a long-run equilibrium relation and a uni-directional causality from oil prices to chemicalpetroleum- plastic sub-index as oil prices directly affect the revenues of the companies operating in this sector. For the other sub-indices the empirical results suggest no longrun equilibrium relation. http://store.ectap.ro/articole/929.pdf sector indicesvector autoregressionvector error correctionimpulse-responsesforecast error variance decompositions |
| spellingShingle | Gaye GENCER Sercan DEMIRALAY The impact of oil prices on sectoral returns: an empirical analysis from Borsa Istanbul Theoretical and Applied Economics sector indices vector autoregression vector error correction impulse-responses forecast error variance decompositions |
| title | The impact of oil prices on sectoral returns: an empirical analysis from Borsa Istanbul |
| title_full | The impact of oil prices on sectoral returns: an empirical analysis from Borsa Istanbul |
| title_fullStr | The impact of oil prices on sectoral returns: an empirical analysis from Borsa Istanbul |
| title_full_unstemmed | The impact of oil prices on sectoral returns: an empirical analysis from Borsa Istanbul |
| title_short | The impact of oil prices on sectoral returns: an empirical analysis from Borsa Istanbul |
| title_sort | impact of oil prices on sectoral returns an empirical analysis from borsa istanbul |
| topic | sector indices vector autoregression vector error correction impulse-responses forecast error variance decompositions |
| url |
http://store.ectap.ro/articole/929.pdf
|
| work_keys_str_mv | AT gayegencer theimpactofoilpricesonsectoralreturnsanempiricalanalysisfromborsaistanbul AT sercandemiralay theimpactofoilpricesonsectoralreturnsanempiricalanalysisfromborsaistanbul AT gayegencer impactofoilpricesonsectoralreturnsanempiricalanalysisfromborsaistanbul AT sercandemiralay impactofoilpricesonsectoralreturnsanempiricalanalysisfromborsaistanbul |