Türkiye’de petrol fiyatları, para arzı ve reel döviz kurunun hisse senedi fiyatları üzerindeki asimetrik etkisini inceleyen az sayıda çalışmanın olması şaşırtıcıdır. Çalışmada Türkiye’de 2002-20018 dönemi aylık verilerle petrol fiyatı arz şokları, para arzı ve reel döviz kurunun hisse senedi fiyatları üzerindeki asimetrik etkileri, Shin, Yu, vd. (2014) tarafından geliştirilen asimetrik ARDL (NARDL- Nonlinear Autoregressive Distributed Lag) yöntemi kullanılarak incelenmektedir. Ampirik analizlerde incelenen değişkenler arasında anlamlı kısa ve uzun dönemde asimetrik etkilerin var olduğu tespit edilmiştir. NARDL modelleri sonuçlarında, petrol fiyatı arz şoku ve reel döviz kurundaki artışların hisse senedi fiyatlarını azalttığı, bu değişkenlerdeki azalmanın ise hisse senetleri fiyatları üzerinde artıcı etkiye etkili olduğu görülmüştür. Ayrıca para arzındaki pozitif artışların hisse senedi fiyatları üzerinde pozitif etkiye sahip olduğu, negatif azalmaların ise hisse senedi fiyatlarını etkilemediği sonucuna ulaşılmıştır. Türkiye’de uluslararası petrol fiyatları, reel döviz kuru ve parasal şokların şokların hisse senedi fiyatlarını etkilediğini göstermektedir. Bu nedenle politika yapıcılar ve sermaye piyasalarında yer alan tüm katılımcıların incelenen değişkenler arasındaki ilişkinin doğrusal olmadığı ve asimetrik etkiye sahip olabileceğini dikkate almalıdır. Hisse senedi fiyatlarında etkileyen bu değişkenlerin oluşturabileceği risk ve dalgalanmalara karşı politika yapıcıları etkin politikalar geliştirmeli, yatırımcıların da etkin koruma stratejilere sahip olması gerekmektedir.
Although many empirical studies have examined the relationship between oil prices and economic activity, it is surprising that little research has been conducted on the asymmetric relationship between oil supply shocks, real exchange rates, and stock prices in Turkey. Therefore, the key objective of this study is to fill this gap by examining the asymmetric effects of oil prices and money supply on stock market prices in Turkey. For this purpose, we use monthly data over the period from 2002 to 2018. The analyses in the paper are carried out using the NARDL bounds testing approach of co-integration developed by Shin, Yu, & Greenwood-Nimmo (2014). Empirical findings show that there is an asymmetric co-integration between the variables being examined. Our estimation results show that in the long-run, positive changes in oil supply shocks and real exchange rates have significant and negative effects on the stock prices, whereas negative changes in oil supply shocks and real exchange rates have a significant positive effect on the stock market prices. However, only positive money supply shocks have a significant and positive effect on stock prices. The empirical results indicate that oil supply shocks, real exchange rates, and money supply shocks have significant effects on stock prices. For this reason, policymakers should develop effective policies to mitigate the adverse effects of these variables on stock prices.
Abdalla, I. S. A., & Murinde, V. (1997). Exchange rate and stock price interactions in emerging financial markets: Evidence on India, Korea, Pakistan, and Philippines, Applied Financial Economics 7(1):25-35.
Afshan, S., Sharif A., Loganathan N. ve Jammazi, Rania, (2018). Time–frequency causality between stock prices and Exchange rates: Further evidences from cointegration and wavelet analysis, Physica A Statistical Mechanics and its Applications , 495, pp.225–244.
Ahmed, V. ve Donoghue, C.. (2010). External Shocks in a Small Open Economy: a CGE Microsimulation Analysis, Lahore Journal of Economics, 15(1):45-90.
Ajayi, R. A., Friedman, J., & Mehdian, S. M. (1998). On the relationship between stock returns and exchange rates: Test of Granger causality. Global Finance Journal, 9, 241–251.
Apergis, N., & Miller, S.M.. (2009). Do Structural Oil Market Shocks Affect Stock Prices?, Energy Economics, 31(4):569-575.
Arouri, M. E. H. ve Rault C.. (2012). Oil Prices and Stock Markets in GCC Countries Empirical Evidence from Panel Analysis, International Journal of Finance Economics, 17: 242–253
Bahmani-Oskooee, M., & Sohrabian, A. (1992). Stock prices and the effective exchange rate of the dollar. Applied Economics, 24, 459–464.
Balke, N.S., Brown, S.P. ve Yucel, M.K.. (2002).Oil Price Shocks and the US Economy: Where Does the Asymmetry Originate? The Energy Journal, 23(3):27-52.
Bartov, E., & Bodar, G. M. (1994). Firm valuation, earnings expectations and the exchange rate exposure effect. Journal of Finance, 49, 1755–1786.
Basher, S. A., Haug A. A. ve Sadorsky P.. (2012). Oil Prices, Exchange Rates and Emerging Stock Markets, Energy Economics, 34:227–240.
Bekiros, S. D. ve Diks, C. G. H.. (2008). The Relationship Between Crude Oil Spot and Futures Prices: Cointegration, Linear and Nonlinear Causality, Energy Economics, 30(5):2673-2685.
Belke, A. & Beckmann, J.. (2014). Monetary Policy and Stock Prices – Cross-Country Evidence from Cointegrated VAR Models, Journal of Banking & Finance, http://dx.doi.org/10.1016/j.jbankfin.2014.12.004.
Bernanke, Ben S. & Kenneth, N. Kuttner.(2005). What Explains the Stock Market’s Reaction to Federal Reserve Policy?, Journal of Finance, 60 (3):1221-1257.
Bjornland, C. H. (2009). Oil price Shocks and Stock Market Booms in an Oil Exporting Country. Scottish Journal of Political Economy, 2(5), 232−254.
Bodnar, G., & Gentry, W. M. (1993). Exchange rate exposure and industry characteristics: Evidence from Canada, Japan, and the US. Journal of International Money and Finance, 12, 29–45.
Boyer, M. M. & Filion, D.. (2007). Common and Fundamental Factors in Stock Returns of Canadian Oil and Gas Companies. Energy Economics, 29(3):428-453.
Brown, S. P. A., & Yücel, M. K.. (2002). Energy Prices and Aggregate Economic Activity: An Interpretative Survey. Quarterly Review of Economics and Finance, 42(2):193–208.
Burbidge, J., Harrison, A., (1984). Testing for the Effects of Oil-Price Rise Using Vector Autoregressions. International Economic Review, 25:459–484.
Chen, S. S. & Hsu, K.-W. (2012). Reverse Globalization: Does High Oil Price Volatility Discourage International Trade? Energy Economics, 34(5):1634–1643.
Ciner, C.. (2001). Energy Shocks and Financial Markets: Nonlinear Linkages. Studies in Nonlinear Dynamics and Econometrics, 5:203–212.
Delgado, N. A. B., & Delgado E. B. ve Saucedo E. (2018), “The relationship between oil prices, the stock market and the exchange rate: Evidence from Mexico”, North American Journal of Economics and Finance, North American Journal of Economics and Finance, 45:266-275.
Demirer, R., Ferrer, R. Shahzad S. J. H. (2020). Oil price shocks, global financial markets and their connectedness, Energy Economics, 88, https://doi.org/10.1016/j.eneco.2020.104771.
Dickey, D. A., & Fuller, W. A.. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74:427–431.
Dickey, D. A.& Fuller, W. A.. (1981).Likelihood Ratio Tests for Autoregressive Time Series with a Unit Root. Econometrica, 49:1057–1072.
Dornbush, R. & Fisher S., (1980). “Exchange Rates and the Current Account,” American Economic Review, vol. 70, pp. 960-971.
Effa, B., Ariff, M., & Khalid, A.. (2011). Endogeneous Money Supply and Bank Stock Returns: Empirical Evidence Using Panel Data. Applied Financial Economics, 25(6):345–356.
El-Sharif, I., Brown, D., Burton, B., Nixon, B., Russell, A.. (2005). Evidence on the Nature and Extent of the Relationship Between Oil Prices and Equity Values in the UK. Energy Economics, 27(6):819–830.
Engle, R.F. & Granger, C.W.J.. (1987). Cointegration and Error Correction: Representation, Estimation and Testing. Econometrica, 55:251-276.
Faff, R. & Brailsford, T.. (1999). Oil Price Risk and the Australian Stock Market. Journal of Energy and Finance Development. 4:69–87.
Fama, E.F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2):383–417.
Ferderer, J.P. (1996). “Oil Price Volatility and Macroeconomy”, Journal of Macroeconomics, 18 (1):1–26.
Filis, G..(2010). Macro Economy, Stock Market and Oil Prices: Do Meaningful Relationships Exist Among Their Cyclical Fluctuations?, Energy Economics, 32:877-886.
Gisser, M., & Goodwin, T. H.. (1986). Crude Oil and The Macroeconomy: Tests of Some Popular Notions: Note. Journal of Money, Credit, and Banking, 18:95–103.
Granger, C.W., & Yoon, G..(2002). Hidden Cointegration. Department of Economics Working Paper. University of California. San Diego.
Gronwald, M.. (2008). Large Oil Shocks and The US Economy: Infrequent Incidents with Large Effects. Energy Journal, 29:151–171.
Hamburger, MJ & Kochin L.A. (1972). Money and Stock Prices: The Channels of Influence. Journal of Finance, 27(2):231–249.
Hamilton J. D. (1988). Are The Macroeconomic Effects of Oil-Price Change Symmetric? A Comment, Carnegie Rochester Conference Series on Public Policy, 28:369–378.
Hamilton, J.D. (1983). Oil and the Macroeconomy Since World War II. Journal of Political Economy, 91:228–248.
Hamilton, J.D.. (1996). This Is What Happened to The Oil Price–Macroeconomy Relationship? Journal of Monetary Economics, 38:195–213.
Hamilton, J.D.. (2003). What is an Oil Shock? Journal of Econometrics 113:363–398.
Henriques I. & Sadorsky P. (2008). Oil Prices and The Stock Prices of Alternative Energy Companies, Energy Economics, 30 998–1010.
Herreraa, A. M., Karaki M. B. ve Rangarajuc S. K. (2019) “Oil price shocks and U.S. economic activity”, Energy Policy, 129, pp.89-99.
Homa K.E. & Jaffee D.M.. (1971). The Supply of Money and Common Stock Prices. Journal of Finance, 26(5):1045–1066.
Hooker, M.A.. (1996). What Happened to the Oil Price-Macroeconomy Relationship? Journal of Monetary Economics 38:195–213.
Huang, B. -N., Hwang, M. J. & Hsiao-P, P.. (2005). The Asymmetry of The Impact of Oil Price Shocks On Economic Activities: An Application of the Multivariate Threshold Model. Energy Economics, 27:455–476.
Huang, R. D., Masulis, R. W. & Stoll, H. R. (1996).. Energy Shocks and Financial Markets. Journal of Futures Markets, 16:1–27.
Iwayemi, A. ve Fowowe, B.. (2011). Impact of Oil Price Shocks on Selected Macroeconomic Variables in Nigeria. Energy Policy, 39:603–612.
Jimenez-Rodriguez, R. & Sanchez, M.. (2005). Oil Price Shocks and Real GDP Growth: Empirical Evidence for Some OECD Countries”, Applied Economics, 37(2):201–228.
Johansen, S. & Jesulius, K.. (1990). Maximum Likelihood Estimation and Inference on Cointegration– with Applications to the Demand for Money. Oxford Bulletin of Economics and Statistics, 52(2):169–210.
Johansen, S.. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control 12:231-254.
Jones C. M. & , Kaul, G.. (1996). Oil and the Stock Markets, The Journal of Finance, 51(2): 463-491.
Jones, D. W., Leiby, N., ve Paik, I. K.. (2004). Oil Price Shocks and The Macroeconomy: What Has Been Learned Since 1996? Energy Journal, 25:1-32.
Jorion, P. (1990). The exchange rate exposure of US multinationals. Journal of Business, 63, 331–345.
Kassouri, Y. & Altıntaş, H., (2020). Threshold cointegration, nonlinearity, and frequency domain causality relationship between stock price and Turkish Lira, Research in International Business and Finance 52:1-18.
Kaul, G., & Jones, C.M. (1996). Oil and the Stock Markets. Journal of Finance, 51:463–491.
Keran, M.W.. (1971). Expectations, Money, and Stock Market. Federal Reserve Bank of St Louis Review, 53(1):16–31.
Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., ve Shin, Y.. (1992). Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That EconomicTime Series Have a Unit Root? Journal of Econometrics, 54(1):159–178.
Lardic, S. & Mignon, V.. (2008). Oil Prices and Economic Activity: An Asymmetric Cointegration Approach. Energy Economics, 30:847–855.
LeBlanc, M., & Chinn, D. M. (2004). Do High Oil Prices Presage Inflation? The evidence from G5 countries. Business Economics, 34: 38-48.
Lee B.S..(1992). Causal Relations Among Stock Returns, Interest Rates, Real Activity, and İnflation. Journal of Finance, 47(4):1591–1603.
Lee, K., Ni, S. & Ratti, R.. (1995). Oil Shocks and The Macroeconomy: The Role Of Price Variability, Energy Journal, 16, pp.39–56.
Loungani, P. (1986). Oil Price Shocks and The Dispersion Hypothesis. Review of Economics and Statistics, 68:536–539.
Maskay, B.. (2007). Analysing the Effect of Change in Money Supply on Stock Prices. The Park Place Economist, XV:72-79.
Miller, J. Isaac & Ratti, Ronald A.. (2009). Crude Oil and Stock Markets: Stability, Instability, and Bubbles, Energy Economics 31, 559–568.
Mohanty, S. K., & Nandha, M.. (2010). Oil Risk Exposure: The Case of The US Oil and Gas Sector. The Financial Review, 46:165–191.
Mohanty, S.K., Nandha, M., Turkistani, A.Q., Alaitani, M.Y.. (2011). Oil Price Movements and Stock Market Returns: Evidence from Gulf Cooperation Council (GCC). Countries. Global Finance Journal, 22:42–55.
Mork, K.A.. (1989). Oil and The Macroeconomy When Prices Go Up and Down: An Extension of Hamilton’s Results, Journal of Political Economy, 91:740-744.
Mory, J.F.. (1993). Oil Prices And Economic Activity: Is The Relationship Symmetric? The Energy Journal , 14(4):151–161.
Mussa, M.. (2000). The Impact of Higher Oil Prices on The Global Economy. International Monetary Fund, http://www.imf.org/external/pubs/ft/oil/2000/oilrep.PDF
Naifar, N. ve Dohaiman, M. S A.. (2013). Nonlinear Analysis Among Crude Oil Prices, Stock Markets' Return and Macroeconomic Variables, International Review of Economics and Finance 27:416–431.
Nandha, M. & Faff, R., (2008). Does Oil Move Equity Prices? A Global View. Energy Economics, 30:986–997.
O'Neill, T.J., Penm, J., Terrell, R.D.. (2008). The Role of Higher Oil Prices: A Case of Major Developed Countries. Research in Finance, 24:287–299.
Otto, G.. (2003). Can an Intertemporal Model Explain Austria's Current Account Deficit? The Australian Economic Review, 36(3):350–359.
Papapetrou, E.. (2001). Oil Price Shocks, Stock Market, Economic Activity and Employment in Greece, Energy Economics, 23:511-532.
Perron, P. (1989).The Great Crash, The Oil Price Shock, and The Unit Root Hypothesis, Econometrica, 57:1361-1401.
Pesaran, M.H. & Shin, Y.. (1995), Long-Run Structural Modelling, Unpublished Manuscript, University of Cambridge.
Pesaran,M. H., Shin, Y. & Smith, R. J.. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3):289–326.
Phillips, P.C.B. & Perron, P.. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75:335–346.
Qiao, Y. (1996). Stock prices and exchange rates: Experiences in leading East Asian financial centers — Tokyo, Hong Kong and Singapore. Singapore Economic Review, 41, 47–56.
Ramos ,S.B. &Veiga, H.. (2013). Oil Price Asymmetric Effects: Answering the Puzzle in International Stock Markets, Energy Economics, 38:136–145.
Ready, R. C. (2018) “Oil Prices and the Stock Market”, Review of Finance, 155–176
Rogalski R.J. & Vinso J.D.. (1977). Stock Returns, Money Supply and The Direction of Causality. Journal of Finance, 32(4):1017–1030.
Rozeff, M.S.. (1974). Money and Stock Prices: Market Efficiency and The Lag in Effect of Monetary Policy. Journal of Financial Economics, 1(3):245–302.
Sadorsky, P.. (2008). Assessing the Impact of Oil Prices on Firms of Different Sizes: Its Tough Being in the Middle. Energy Policy, 36(10):3854-3861.
Sellin, P.. (2001). Monetary Policy and The Stock Market: Theory and Empirical Evidence. Journal of Economic Surveys, 15:491-541.
Shin, Y., Yu, B. ve Greenwood-Nimmo, M. (2014). Modelling Asymmetric Cointegration and Dynamic Multipliers in an ARDL Framework. İçinde: Horrace, W.C., Sickles, R.C. (Eds.)., Festschrift in Honor of Peter Schmidt:Econometric Methods and Applications. Springer Science & Business Media, New York(NY).
Sukcharoen K., Zohrabyan, T., Leatham D., Wu, X.. (2014), Interdependence of Oil Prices and Stock Market Indices: A Copula Approach, Energy Economics, 44:331-339.
Tabak, M. Bejamin (2006) The Dynamic Relationship Between Stock Prices and Exchange Rates: Evidence from Brasil, Working Paper Series 124.
Tang, W., Wu, L., ve Zhang, Z.-X.. (2010). Oil Price Shocks and Their Short- and Long Term Effects on The Chinese Economy. Energy Economics, 32:3–14.
Ülkü, N. ve Demirci, E. (2012),” Joint dynamics of foreign exchange and stock markets in emerging Europe” Journal of International Financial Markets, Institutions & Money, 22, pp 55– 86.
Wiedmann, M.. (2011). Money Stock Prices and Central Banks, A Cointegrated VAR Analysis, Physica-Verlag, Springer Heidelberg.
Wilson, P. (2001). Exchange Rates and the Trade Balance for Dynamic Asian Economies- Does the J-Curve Exist for Singapore, Malaysia, and Korea? Open Economies Review,12(1):389-413.
Wong W.-K, H. Khan & Du, J..(2005). Money, Interest Rate, and Stock Prices: New Evidence from Singapore and the United States, U21 Global Working Paper, No:007/2005.
Wong, H. T. (2017) “Real Exchange Rate Returns and Real Stock Price Returns” International Review of Economics and Finance, 49, pp.340–352.
Zivot, E. ve Andrews, K.. (1992). Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis, Journal of Business and Economic Statistics, 10(10):251–70.