Özet:

Commodities have crucial importance economically and financially as both a cost input and an investment tool. It is a known fact that commodity prices become a determining factor in stock prices by affecting the production costs of companies directly. In addition, market participants consider commodities both an investment alternative and a safe haven asset in turbulent market conditions. Therefore, commodity price movements have become an indicator followed by both managers and investors in terms of their impact on the general economy and financial markets. This study investigates the short and long-term asymmetric relations between the global commodity price index and BIST sector index prices. The NARDL model was adopted as the research methodology. According to the empirical findings, a long-term nonlinear cointegration relationship was found between the sector indices and the commodity price index. The short- and long-term effects of commodity price increases and decreases differ by sector and exhibit asymmetrical characteristics. Findings indicate that the sectoral effects of commodity prices are heterogeneous, and that the BIST stock market has become integrated with the global commodity markets. Therefore, the results obtained in this study support the phenomenon of financialization of commodity markets. The findings will help investors evaluate the effects of commodity prices on asset allocation and risk management decisions.

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