Oil prices, stock market returns and volatility spillovers: Evidence from Turkey

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dc.authorscopusid55635412500
dc.authorscopusid26653963900
dc.authorscopusid8873464300
dc.contributor.authorÇevik, Nüket Kırcı
dc.contributor.authorÇevik, Emrah İsmail
dc.contributor.authorDibooğlu, Sel
dc.date.accessioned2022-05-11T14:02:48Z
dc.date.available2022-05-11T14:02:48Z
dc.date.issued2020
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, Maliye Bölümü
dc.description.abstractThis paper examines the relationship between crude oil prices and stock market returns in Turkey taking into account volatility spillovers that are exemplified by second moment effects. Using weekly data from 1990 to 2017 and time varying causality-in-mean and causality-in-variance tests and taking into account structural breaks, we model each series as an EGARCH process in order to capture any leverage effects in the volatility of returns. Empirical results suggest crude oil prices as measured by Brent benchmark have significant effects on stock market returns in Turkey. While we fail to document significant spillover effects stemming from oil prices in the entire sample, there are significant spillover effects from crude oil price changes to stock market returns in 1993 and 2008–09. These results suggest that government policies must take into account risk spillover effects between markets and that investors are better off monitoring crude oil markets in portfolio allocation decisions. © 2020 The Society for Policy Modeling
dc.identifier.doi10.1016/j.jpolmod.2020.01.006
dc.identifier.endpage614
dc.identifier.issn0161-8938
dc.identifier.issue3en_US
dc.identifier.scopus2-s2.0-85083893884
dc.identifier.scopusqualityQ2
dc.identifier.startpage597
dc.identifier.urihttps://doi.org/10.1016/j.jpolmod.2020.01.006
dc.identifier.urihttps://hdl.handle.net/20.500.11776/4495
dc.identifier.volume42
dc.identifier.wosWOS:000541084300006
dc.identifier.wosqualityQ2
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorÇevik, Nüket Kırcı
dc.institutionauthorÇevik, Emrah İsmail
dc.language.isoen
dc.publisherElsevier B.V.
dc.relation.ispartofJournal of Policy Modeling
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectCrude oil prices
dc.subjectRisk spillovers
dc.subjectStock market returns
dc.subjectTurkey
dc.titleOil prices, stock market returns and volatility spillovers: Evidence from Turkey
dc.typeArticle

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