Türkiye'de Petrol Fiyatları ile Hisse Senedi Fiyatları Arasındaki İlişki Üzerine Bir İnceleme: Fourier Yaklaşımından Yeni Kanıtlar

Petrol, üretim ve tüketim süreçleri içerisinde en önemli enerji kaynaklarından birisidir. Bu nedenle petrol fiyatlarında meydana gelen şoklar birçok makro ekonomik değişkeni etkileyebilmektedir. Söz konusu makro ekonomik değişkenlerden birisi de hisse senedi fiyatları olup, iki değişken arasındaki uzun dönemli ilişkiyi araştırmak önem arz etmektedir. Bu çalışmanın amacı, 02/01/2002 - 02/07/2019 tarihleri arasında günlük olarak toplanan verilerden yararlanarak Türkiye'de petrol fiyatları ile BIST100 endeksi arasındaki ilişkinin uzun vadede varlığını test etmektir. Bu bağlamda, çalışmada hem keskin hem de aşamalı / yumuşak yapısal kırılmaları hesaba kattıkları için Fourier durağanlık ve Fourier eşbütünleşme testleri kullanılmıştır. Analizin bulguları, hem keskin hem de aşamalı / yumuşak yapısal kırılmalar altında petrol fiyatları ile hisse senedi fiyatları arasında uzun vadeli bir eşbütünleşme ilişkisi olmadığını göstermektedir. Bu bağlamda bulgulara bakıldığında, petrol fiyatlarındaki değişimlerin Türkiye'deki hisse senedi fiyatları üzerinde etkili olmadığı söylenebilir.

Anahtar Kelimeler:

Petrol Fiyatları, Hisse Senedi Fiyatları, Fourier Analizi

A Review on The Relationship between Oil Prices and Stock Prices in Turkey: New Evidences from Fourier Approach

Oil is one of the most important energy resources in production and consumption processes. Therefore, shocks from oil prices can affect many macroeconomic variables. One of these macroeconomic variables is stock prices, and it is important to investigate the long-term relationship between the two variables. The purpose of this study is to test the long-term existence of a relationship between oil prices and BIST100 index in Turkey by making use of data collected on daily basis between a period of 02/01/2002 and 02/07/2019. Within this context, Fourier stationarity and Fourier cointegration tests were utilized since they take into account both sharp and gradual/smooth structural breaks. Findings of the analysis indicate that there is not a long-term cointegration relationship between oil prices and stock prices under both sharp and gradual/smooth structural breaks. Regarding the findings in this context, it can be inferred that changes in oil prices are not to be effective on the share prices in Turkey.

Keywords:

Oil Prices, Stock Prices, Fourier Analysis,

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