A Review on The Relationship between Oil Prices and Stock Prices in Turkey: New Evidences from Fourier Approach

Abstract

Oil is one of the most important energy resources in production and consumption processes. Therefore, shocks from oil prices can affect many macroeconomic variables. One of these macroeconomic variables is stock prices, and it is important to investigate the long-term relationship between the two variables. The purpose of this study is to test the long-term existence of a relationship between oil prices and BIST100 index in Turkey by making use of data collected on daily basis between a period of 02/01/2002 and 02/07/2019. Within this context, Fourier stationarity and Fourier cointegration tests were utilized since they take into account both sharp and gradual/smooth structural breaks. Findings of the analysis indicate that there is not a long-term cointegration relationship between oil prices and stock prices under both sharp and gradual/smooth structural breaks. Regarding the findings in this context, it can be inferred that changes in oil prices are not to be effective on the share prices in Turkey.

Keywords

• petrol fiyatları
• hisse senedi fiyatları
• fourier analizi
• oil prices
• stock prices
• fourier analysis