The Asymmetric Impacts of Oil Prices and Selected Macroeconomic Variables on Stock Markets: The Case of Turkey

被引：0

作者：

Akcaglayan, Anil ^{[1
]}

Tuzcu, Sevgi Eda ^{[1
]}

机构：

[1] Ankara Univ, Ankara, Turkiye

来源：

SOSYOEKONOMI | 2023年 / 31卷 / 55期

关键词：

Crude Oil Prices; BIST100; NARDL; Asymmetric Effects; Quantile Regression; CRUDE-OIL; EXCHANGE-RATE; SHOCKS; DEMAND; COINTEGRATION; RETURNS; VOLATILITY; US;

D O I：

10.17233/sosyoekonomi.2023.01.07

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper investigates the asymmetric impacts of crude oil prices and other selected macroeconomic variables on the Turkish stock market for the period between 2005:01-2021:06 through the combination of the NARDL model and the quantile regression approach. The findings support the existence of cointegration between the stock market and oil prices. The variations in oil prices have asymmetric impacts in the long run. A positive shock by 1% decreases stock returns by 0.67%, while oil price declines have no significant impact. Quantile regressions show that the effects of oil price shocks are more visible at the low levels of the stock market.

引用

页码：125 / 150

页数：26

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