Sensitivity of Stock Market Indices to Oil Prices: Evidence from Manufacturing Sub-Sectors in Turkey

被引：7
|
作者：
Eksi, Ibrahim Halil [1 ]
Senturk, Mehmet [1 ]
Yildirim, H. Semih [1 ]
机构：
[1] York Univ, Sch Adm Studies, N York, ON M3J 1P3, Canada
来源：
PANOECONOMICUS | 2012年 / 59卷 / 04期
关键词：
Crude oil prices; Manufacturing sub-sectors; VAR; COINTEGRATION;
D O I：
10.2298/PAN1204463E
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Crude oil price is a critical cost factor for manufacturing industries that are of vital importance for economic growth. This study examines the relationship between crude oil prices and the indices of seven Turkish manufacturing sub-sectors over the period 1997:01-2009:12. The error correction model results reveal the long term causality from crude oil prices to chemical-petroleum-plastic and basic metal sub-sectors indicating that these sub-sectors are highly sensitive to crude oil prices. We find no causal relationship for other sector indices for short or long time periods.
引用
收藏
页码：463 / 474
页数：12
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