Abstract:

The discount ratio used in the determination of stock prices is a function of macroeconomic variables. Due to the indirect impact of energy prices on economic activities and the basic cost income of, the direct impact is expected to have an impact on stock prices. This study examined the impact of energy prices on selected stock exchanges between 2011 and 2020. During the study of this effect, the Johensen-Juselius equalization test, the Granger causality test and the VAR model-based variance separation model were used. In the analyses made, the long-term relationship in the models established as a result of the J-J equalization test, while in the Granger causality analysis, only the causality relationship from natural gas to BIST-ELECTRIC and from oil to BIST-ELECTRIC was identified. In the variance separation model, the impact of oil and natural gas is not enough to be taken into account in the BIST-100, BIST-ELECTRIC and BIST-SINAI index; in the BIST-TÜM index at the end of the 30 days, 93.9% is affected by its own shocks, 4.78% is affected by the oil-based shock and 1.23% is affected by the natural gas-based shock. In short, it has been found that stock exchanges are influenced by energy prices, but that effect is very small. Other macroeconomic variables are considered to be more effective in stock exchanges.

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Abstract:

The discount rate used in determining the price of stocks is a function of macroeconomic variables. It is expected that the indirect effect of energy prices through its effect on economic activities and its direct effect, as it is the main cost input of enterprises, will cause an effect on stock prices. In this study, the effect of energy prices on selected stock market indices between 2011 and 2020 was investigated. While investigating this effect, Johensen-Juselius cointegration test, Granger causality test and variance decomposition model based on VAR model were used. In the analyzes made, a long-term relationship was found in the models established as a result of the J-J cointegration test, while in the Granger causality analysis, only the causality relationship from natural gas to BIST-ELECTRIC and from petroleum to BIST-ELECTRIC was determined. In the variance decomposition model, the effect of oil and natural gas is negligible in the BIST-100, BIST-ELEKTRIC and BIST-SINAI indices; At the end of the 30-day period in the BIST-TUM index, 93.9% is affected by its own shocks, 4.78% is affected by the shock caused by petroleum and 1.23% is affected by the shock caused by natural gas. In summary, it has been determined that stock market indices are affected by energy prices, but this effect is very small. It is thought that other macroeconomic variables are more effective in stock market indices.