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

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dc.authorscopusid36458196600
dc.authorscopusid57200042794
dc.authorscopusid57200762540
dc.contributor.authorNazif Çatık, A.
dc.contributor.authorHuyugüzel Kışla, G.
dc.contributor.authorAkdeniz, Coşkun
dc.date.accessioned2022-05-11T14:04:46Z
dc.date.available2022-05-11T14:04:46Z
dc.date.issued2020
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractThis 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
dc.description.sponsorshipSGA-2019-20718; Ege Üniversitesi
dc.description.sponsorshipThis study is financially supported by Ege University Scientific Research Project under grant number SGA-2019-20718 . We are grateful to Ege University Planning and Monitoring Coordination of Organizational Development and Directorate of Library and Documentation for their support in editing and proofreading service of this study.
dc.description.sponsorshipThis study is financially supported by Ege University Scientific Research Project under grant number SGA-2019-20718. We are grateful to Ege University Planning and Monitoring Coordination of Organizational Development and Directorate of Library and Documentation for their support in editing and proofreading service of this study.
dc.identifier.doi10.1016/j.resourpol.2020.101845
dc.identifier.issn0301-4207
dc.identifier.scopus2-s2.0-85091102217
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://doi.org/10.1016/j.resourpol.2020.101845
dc.identifier.urihttps://hdl.handle.net/20.500.11776/4768
dc.identifier.volume69
dc.identifier.wosWOS:000600783300040
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorAkdeniz, Coşkun
dc.language.isoen
dc.publisherElsevier Ltd
dc.relation.ispartofResources Policy
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectOil prices
dc.subjectSectoral stock returns
dc.subjectTime-varying parameter model
dc.subjectTurkey
dc.subjectChemical contamination
dc.subjectCommerce
dc.subjectCost estimating
dc.subjectInvestments
dc.subjectMachinery
dc.subjectOils and fats
dc.subjectPetroleum industry
dc.subjectPetroleum transportation
dc.subjectState space methods
dc.subjectAsset pricing model
dc.subjectIstanbul stock exchange
dc.subjectLinear estimation
dc.subjectOil price changes
dc.subjectParameter instability
dc.subjectState - space models
dc.subjectStructural break
dc.subjectTime varying parameter
dc.subjectCrude oil price
dc.subjecteconomic impact
dc.subjectexchange rate
dc.subjectmodel
dc.subjectoil supply
dc.subjectparameter estimation
dc.subjectstock market
dc.subjecttemporal variation
dc.subjectIstanbul [Turkey]
dc.subjectTurkey
dc.titleTime-varying impact of oil prices on sectoral stock returns: Evidence from Turkey
dc.typeArticle

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