Time-varying impact of oil prices on sectoral stock returns: Evidence from Turkey
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Dosyalar
Tarih
2020
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier Ltd
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This article analyzes the impact of oil price changes on the sectoral stock-market returns of Turkey. For this purpose, asset-pricing models augmented with oil price and exchange rate changes are estimated using daily return data for 12 sectors in the Istanbul Stock Exchange covering the period between January 3, 1997 and August 9, 2018. Test results identify significant structural break points that vary across sectors, indicating the presence of serious parameter instabilities over the investigation period. Therefore, we conclude that linear estimation procedures may not be a convenient tool for capturing asset-pricing behaviors in the market. Time-varying parameter estimates based on a state-space model imply that the impact of oil price returns differ markedly over time and generally have a smaller impact on sectoral returns compared with exchange rate returns. Transportation, banking, chemicals, electricity, food and beverage, metal goods, machinery, and industrials are found to be adversely and significantly affected by oil price increases, whereas most sectors are affected by exchange rate returns over the analysis period. © 2020 Elsevier Ltd
Açıklama
Anahtar Kelimeler
Oil prices, Sectoral stock returns, Time-varying parameter model, Turkey, Chemical contamination, Commerce, Cost estimating, Investments, Machinery, Oils and fats, Petroleum industry, Petroleum transportation, State space methods, Asset pricing model, Istanbul stock exchange, Linear estimation, Oil price changes, Parameter instability, State - space models, Structural break, Time varying parameter, Crude oil price, economic impact, exchange rate, model, oil supply, parameter estimation, stock market, temporal variation, Istanbul [Turkey], Turkey
Kaynak
Resources Policy
WoS Q Değeri
Q1
Scopus Q Değeri
Q1
Cilt
69
