Time-varying impact of oil prices on sectoral stock returns: Evidence from Turkey
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
Cilt
69Koleksiyonlar
İlgili Öğeler
Başlık, yazar, küratör ve konuya göre gösterilen ilgili öğeler.
-
Inflationary effects of oil price and exchange rate shocks in South Africa: Evidence from time-varying pass-through coefficients
Akdeniz, Coşkun; Çatık, Abdurrahman Nazif; Ballı, Esra (Wiley, 2022)This paper estimates the exchange rate and oil price pass-through to South African domestic prices (ERPT and OPPT, respectively). This study adopts a novel approach to compute pass-through coefficients along the pricing ... -
Relationship between oil price volatility and military expenditures in GCC countries
Erdoğan, Serkan; Çevik, Emrah İsmail; Gedikli, Ayfer (Springer, 2020)Natural resource-rich countries transfer more sources to military expenditures due to extreme security concerns. As public revenues have declined due to the decline in oil prices, military expenditures have been cut in ... -
PETROL FİYATLARI, ALTIN FİYATLARI VE HİSSE SENEDİ GETİRİSİ İLİŞKİSİ
Ayaydın, Hasan; Barut, Abdulkadir (Namık Kemal Üniversitesi,İktisadi ve İdari Bilimler Fakültesi, 2016-12)Bu çalışmanın amacı, 1997M1-2016M5 döneminde petrol fiyatları ve altın fiyatlarının hisse senedi getirisine etkisinin incelenmesidir. Çalışmada Johansen-Juselius Eş Bütünleşme Analizi, Etki-Tepki Fonksiyonları, Varyans ...