INTERNATIONAL JOURNAL OF SOCIAL HUMANITIES SCIENCES RESEARCH (JSHSR)

THE EFFECT OF OIL PRICE UNCERTAINTY ON STOCK PRICES IN TURKEY
(THE EFFECT OF OIL PRICE UNCERTAINTY ON STOCK PRICES IN TURKEY )

Author : Bekir Tamer GÖKALP    
Type :
Printing Year : 2020
Number : 54
Page : 1531-1536
    


Summary


Keywords
Belirsizlik, Hisse senedi getirileri, BVAR-GARCH-M, Türkiye ekonomisi

Abstract

Since Turkey is an oil importer country, the uncertainty in oil prices may affect the behaviour of the firms with respect to production costs and hence profitability. In this study, we investigate the impact of oil price uncertainty on stock prices in Turkey using monthly data on selected sectoral indices over the period January 2006–April 2020. The estimation of a bivariate vector autoregression in-mean (BVAR-GARCH-M) model shows that the stock returns are positively affected by oil price volatility during the period under investigation. We also captured that this positive relationship can be characterised by supply-side shocks rather than demand-side shocks.



Keywords
Uncertainty, Stock Returns, BVAR-GARCH-M, Turkish economy