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

Halil Altıntaş

Makale detayları

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

Yazarlar:

Halil Altıntaş

Yayıncı:

Dokuz Eylul University

Ana Başlıklar:

Ekonomi

Dergi:

İzmir İktisat Dergisi Vol.38 Issue 4, pp.1071-1102

Belge Tipi:

Makale

Yayın Tarihi:

6/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001300408

pISSN:

1308-8505

Anahtar kelimeler:

Özet:

 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 2003:012019:01. 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.

 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 2003:012019:01. 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.

 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 2003:012019:01. 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.

 Bu çalışma, Ready2018 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.

Makale detayları

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

Yazarlar:

Halil Altıntaş

Yayıncı:

Dokuz Eylul University

Ana Başlıklar:

Ekonomi

Dergi:

İzmir İktisat Dergisi Vol.38 Issue 4, pp.1071-1102

Belge Tipi:

Makale

Yayın Tarihi:

6/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001300408

pISSN:

1308-8505

Stock prices

oil price shocks

asymmetry

Panel-ARDL

asymmetric effectHisse senedi

Petrol fiyatı şokları

Asimetri

Panel –ARDL

Asimetrik etki

Sayı

Makale detayları

Yazarlar: Halil Altıntaş

Yayıncı: Dokuz Eylul University

Ana Başlıklar: Ekonomi

Dergi: İzmir İktisat Dergisi Vol.38 Issue 4, pp.1071-1102

Belge Tipi: Makale

Yayın Tarihi: 6/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001300408

pISSN: 1308-8505

Sayı

Yazarlar:

Halil Altıntaş

Yayıncı:

Dokuz Eylul University

Ana Başlıklar:

Ekonomi

Dergi:

İzmir İktisat Dergisi Vol.38 Issue 4, pp.1071-1102

Belge Tipi:

Makale

Yayın Tarihi:

6/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001300408

pISSN:

1308-8505