Theoretical and Applied Economics
No. 12 / 2013 (589)
The impact of oil prices on sectoral returns: an empirical analysis from Borsa Istanbul
Yeditepe University, Istanbul, Turkey
Sercan DEMIRALAY
Yeditepe University, Istanbul, Turkey
Abstract. Oil prices affecting production costs, inflation rates and therefore economic growth have a direct impact on stock market returns. In the last two decades sharp increases in oil prices led way to stock market collapses which were transmitted to the global economy as downturns. This paper examines the relationship between crude oil prices and sectoral returns of 18 sub-indices from Borsa Istanbul. We use monthly data for the period between January 2002 and April 2013. We apply multivariate time series analysis by conducting VAR (Vector Auto-Regression) and VECM (Vector Error Correction Model) methodology to explore the short-run and the long-run dynamics for the series under investigation. We also employ impulse response and Granger causality methods to investigate the structural relationship between the variables. We figure out a long-run equilibrium relation and a uni-directional causality from oil prices to chemicalpetroleum- plastic sub-index as oil prices directly affect the revenues of the companies operating in this sector. For the other sub-indices the empirical results suggest no longrun equilibrium relation.
Contents
The impact of oil prices on sectoral returns: an empirical analysis from Borsa Istanbul
Aspects on the perception of young people regarding balneotherapy tourism in Romania
Model of analysis of the correlation between the population and the labor force market
Does convergence of incomes still exist among developed economies? Time series evidence in G7 countries
Analysis of the correlation between the evolution of the consumer loans and the evolution of household income in Romania
Exploring the determinants of the productivity of indian microfinance institutions
Fair value hedging, between opportunity and necessity
The VAT encashment system’s impact on return on invested capitals. Romania’s case
Regional dimension on competitiveness in the postcrisis period. Urban policy in Europe
Intangible assets as a source of competitiveness in the post-crisis economy. The role of brands