Crude Oil Price Shocks and Stock Returns: Evidence from Turkish Stock Market under Global Liquidity Conditions

Authors

  • Berna Aydogan Izmir University of Economics
  • İstemi Berk University of Cologne

Abstract

The purpose of this study is to investigate the impacts of crude oil price variations on the Turkish stock market returns. We have employed vector autoregression model using daily observations of Brent crude oil prices and Istanbul Stock Exchange National Index returns for the period between January 2, 1990 and November 1, 2011. We have also tested the relationship between oil prices and stock market returns under global liquidity conditions by incorporating a liquidity proxy variable, Chicago Board of Exchange’s S&P 500 market volatility index into the model. Variance decomposition test results suggest little empirical evidence that crude oil price shocks have been rationally evaluated in the Turkish stock market. Rather, it was global liquidity conditions that were found to account for the greatest amount of variation in stock market returns. Keywords: Oil Price Shocks; Stock Returns; Global Liquidity JEL Classifications: C58; G15; Q43; Q47

Downloads

Download data is not yet available.

Author Biographies

Berna Aydogan, Izmir University of Economics

Asst. Prof. Dr., Department of International Trade and Finance

İstemi Berk, University of Cologne

Phd. Candidate, Cologne Graduate School (CGS), Institute of Energy Economics (EWI)

Downloads

Published

2014-11-10

How to Cite

Aydogan, B., & Berk, İstemi. (2014). Crude Oil Price Shocks and Stock Returns: Evidence from Turkish Stock Market under Global Liquidity Conditions. International Journal of Energy Economics and Policy, 5(1), 54–68. Retrieved from https://econjournals.com/index.php/ijeep/article/view/954

Issue

Vol. 5 No. 1 (2015)

Section

Articles

License

Submission of an article implies that the work described has not been published previously , that it is not under consideration for publication elsewhere, that its publication is approved by all authors and tacitly or explicitly by the responsible authorities where the work was carried out, and that, if accepted, will not be published elsewhere in the same form, without the written consent of the Publisher. The Editors reserve the right to edit or otherwise alter all contributions, but authors will receive proofs for approval before publication.