The Causal Relationship between Oil Prices and Sector Indices: An Analysis from Turkey

Meryem FİLİZ BAŞTÜRK

doi:https://doi.org/10.29023/alanyaakademik.664959

Makale detayları

The Causal Relationship between Oil Prices and Sector Indices: An Analysis from Turkey

Yazarlar:

Meryem FİLİZ BAŞTÜRK

Yayıncı:

Alanya Alaaddin Keykubat University

Ana Başlıklar:

Ekonomi ve Maliye

Dergi:

Alanya Academic Review 2020 Vol.4 Issue 2, pp.245-259

Belge Tipi:

Makale

Yayın Tarihi:

5/2020

Belge Dili:

İngilizce

Document ID (Org No.):

2000846568

Sıklık:

Üç Yıllık

eISSN:

2651-4192

DOI:

https://doi.org/10.29023/alanyaakademik.664959

Anahtar kelimeler:

Özet:

 

ESince oil is one of the basic inputs in economies, changes in oil prices are important to countries, particularly oil importing countries. In this regard, this paper analyzes the causal relationship between oil prices and sector indices (BIST-Industrial, BIST-Service, BIST-Financial, and BIST-Technology) in the aftermath of the 2008 financial crisis in Turkey. First, the Johansen cointegration test is employed to analyze whether there are long-run relations between oil prices and sector indices over the period from 2008-10-2018:10. Then, the long-run relationships between oil prices and the sector indices was investigated using the Granger causality test based on the Vector Error Correction Model (VECM), and the Standard Granger test is used to analyze the causality between the variables without a long-run relationship. According to the results, there are long-run bidirectional relations between oil prices and the BIST-Industrial, the BIST-Service, and the BIST-Technology sector indices, respectively. -In the short-run period, however, there is a unidirectional relation running from oil prices to the BIST-Technology sector index. There is neither a short-run or long-run relation between oil prices and the BIST-Financial sector index.

 

Since oil is one of the basic inputs in economies, changes in oil prices are important to countries, particularly oil importing countries. In this regard, this paper analyzes the causal relationship between oil prices and sector indices (BIST-Industrial, BIST-Service, BIST-Financial, and BIST-Technology) in the aftermath of the 2008 financial crisis in Turkey. First, the Johansen cointegration test is employed to analyze whether there are long-run relations between oil prices and sector indices over the period from 2008-10-2018:10. Then, the long-run relationships between oil prices and the sector indices was investigated using the Granger causality test based on the Vector Error Correction Model (VECM), and the Standard Granger test is used to analyze the causality between the variables without a long-run relationship. According to the results, there are long-run bidirectional relations between oil prices and the BIST-Industrial, the BIST-Service, and the BIST-Technology sector indices, respectively. -In the short-run period, however, there is a unidirectional relation running from oil prices to the BIST-Technology sector index. There is neither a short-run or long-run relation between oil prices and the BIST-Financial sector index.

Makale detayları

The Causal Relationship between Oil Prices and Sector Indices: An Analysis from Turkey

Yazarlar:

Meryem FİLİZ BAŞTÜRK

Yayıncı:

Alanya Alaaddin Keykubat University

Ana Başlıklar:

Ekonomi ve Maliye

Dergi:

Alanya Academic Review 2020 Vol.4 Issue 2, pp.245-259

Belge Tipi:

Makale

Yayın Tarihi:

5/2020

Belge Dili:

İngilizce

Document ID (Org No.):

2000846568

Sıklık:

Üç Yıllık

eISSN:

2651-4192

DOI:

https://doi.org/10.29023/alanyaakademik.664959

Oil Prices

Sector Indices

Cointegration

VECM

Causality

Sayı

Makale detayları

The Causal Relationship between Oil Prices and Sector Indices: An Analysis from Turkey

Yazarlar: Meryem FİLİZ BAŞTÜRK

Yayıncı: Alanya Alaaddin Keykubat University

Ana Başlıklar: Ekonomi ve Maliye

Dergi: Alanya Academic Review 2020 Vol.4 Issue 2, pp.245-259

Belge Tipi: Makale

Yayın Tarihi: 5/2020

Belge Dili: İngilizce

Document ID (Org No.): 2000846568

Sıklık: Üç Yıllık

eISSN: 2651-4192

DOI: https://doi.org/10.29023/alanyaakademik.664959

Oil Prices

Sector Indices

Cointegration

VECM

Causality

Sayı

Yazarlar:

Meryem FİLİZ BAŞTÜRK

Yayıncı:

Alanya Alaaddin Keykubat University

Ana Başlıklar:

Ekonomi ve Maliye

Dergi:

Alanya Academic Review 2020 Vol.4 Issue 2, pp.245-259

Belge Tipi:

Makale

Yayın Tarihi:

5/2020

Belge Dili:

İngilizce

Document ID (Org No.):

2000846568

Sıklık:

Üç Yıllık

eISSN:

2651-4192

DOI:

https://doi.org/10.29023/alanyaakademik.664959