Petrol Fiyatı Şoklarının Hisse Senedi Fiyatlarına Etkisi: Simetrik ve Asimetrik Panel ARDL Yaklaşımı

Bu çalışma, Ready(2018) tarafından ayrıştırma yöntemiyle elde edilen petrol fiyatı şoklarının gelişmiş ve gelişmekte olan ülkede hisse senedi fiyatlarına olan etkilerini lineer (simetrik) ve doğrusal olmayan (asimetrik) panel ARDL yöntemiyle incelemektektedir. Simetrik panel model tahmin sonuçlarında petrol fiyatı talep şoklarının gelişmiş ve gelişmekte olan ülkelerde hisse senedi fiyatlarını anlamlı ve pozitif, arz ve risk şoklarının ise anlamlı negatif yönde etkilediği görülmüştür. Elde etiğimiz sonuçlar tüm tahminlerde talep şoklarının arz ve risk şoklarından daha büyük ekonomik etkiye sahip olduğunu göstermiştir. Asimetrik panel ARDL modelinde uzun dönemde negatif talep şoklarının pozitif talep şoklarından daha büyük etkiye sahip olduğu sonucuna ulaşılmıştır. Böylece negatif talep şokunda azalmanın hisse senedi fiyatları üzerine etkisinin pozitif talep şokunun artırıcı etkisinden daha büyük olduğu görülmüştür. Ayrıca model sonuçlarında negatif arz şokunun etkisinin pozitif arz şokundan büyük olması bulgusuna ulaşılmış ve bu sonuç petrol üretiminden kaynaklanan arz sorunlarının ortadan kaldırılması durumunda hisse senedi fiyatlarının artacağı görüşünü desteklemiştir. Tahmin edilen sonuçlara göre, pozitif risk şokundaki artışlar anlamlı bir şekilde hisse senedi fiyatlarını azaltırken, negatif risk şokundaki artışlar ise hisse senedi fiyatlarını artırmaktadır. Elde edilen sonuçlara göre gelişmiş ve gelişmekte olan ülkelerin hisse senedi fiyatları risk şoklarına karşı oldukça yüksek duyarlılığa sahiptir ve negatif ekonomik belirsizliklerden etkilenmektedir.

Anahtar Kelimeler:

Hisse senedi, Petrol fiyatı şokları, Asimetri, Panel –ARDL, Asimetrik etki

The Effect of Oil Price Shocks on Stock Prices: Symmetric and Asymmetric Panel ARDL Approach

This study investigates the effect of decomposing the oil price shocks developed by Ready (2018) on stock prices in developed and developing economies using linear (symmetric) panel ARDL and nonlinear (asymmetric) panel ARDL models for the period 2003:01–2019:01. Symmetric panel ARDL results show that oil demand shocks significantly impact stock prices for developed and developing countries in the long run. Supply and risk shocks have a significant negative effect on developed countries. But supply shocks are not significant in developing countries. Overall, our results reveal that demand shocks have a greater economic impact than supply and risk shocks in both countries. Asymmetric panel ARDL findings reveal that negative demand shocks are greater than positive demand shocks in all forecasted panel models for developed countries, and therefore, it is concluded that the decreasing effect of the negative demand shock on stock prices is greater than the increasing effect of the positive demand shock. Furthermore, findings reveal that negative supply shocks are greater than positive supply shocks. These results indicate that stock prices will increase in the event of the elimination of supply problems in oil production in developed countries. According to estimated results, increases in positive risk shocks lead to decreased stock prices significantly, while increases in negative risk shocks lead to increased stock prices significantly in the long run for both countries. We also found that positive risk shocks were greater than negative risk shocks for stock prices in developed countries. Therefore, results show that stock prices in developed and developing countries are more sensitive to risk shocks and are more affected by negative economic uncertainties.

Keywords:

Stock prices, oil price shocks, asymmetry, Panel-ARDL, asymmetric effect,

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