Ham Petrol Fiyat Şokları - Hisse Senedi Piyasası İlişkisi: ADL Eşik Değerli Koentegrasyon Testi

Enerji insanoğlunun yaşamında çok önemli bir yere sahip olmasının yanında ekonomide de önemli rol oynamaktadır. Ham petrol fiyat şokları sadece petrol piyasasının arz yönünden kaynaklı değil aynı zamanda talep odaklı da olabilir. Petrol fiyatındaki şoklar hem makroekonomiyi hem de hisse senedi piyasasını otoregresif gecikmesi dağıtılmış eşik değerli koentegrasyon testi kullanılarak 2002:04 - 2014:08 arası dönemde G-7 ülkeleri için ham petrol fiyat şokları ve hisse senedi piyasa fiyatları arasındaki ilişkiyi araştırmaktadır. Ampirik bulgular ham petrol fiyatları ile hisse senedi piyasa fiyatlarının koentegre zamanda bulgular, uzun döneme dengeye yönelik ayarlanma göstermektedir

Anahtar Kelimeler:

Petrol fiyat şokları, Hisse senedi fiyatı, Eşik değerli koentegrasyon testi

The Relationship Between Crude Oil Price Shocks And Stock Prices: ADL Threshold Cointegration Test

Oil is one of the energy sources which has great importance in human lives as well as plays crucial role in economy. Crude oil shocks do not only originate from the supply-side of the crude oil market but may also be demand driven. Oil price shocks can affect both macroeconomy and stock markets. This study is to investigate the relationship between crude oil price shocks and stock market prices for G7 countries from 2002:04 - 2014:08 by using autoregressive distribution lag test for threshold cointegration. The empirical results show that crude oil prices and stock market prices are cointegrated. The findings also indicate that the adjustment process towards its long-run equilibrium is asymmetric

Keywords:

Oil price shocks, Stock prices, Threshold cointegration test,

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Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi-Cover

ISSN: 1306-6730
Yayın Aralığı: Yılda 3 Sayı
Başlangıç: 2006
Yayıncı: Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi