اثر سرایتی نوسانات از بازارهای لحظه ای نفت جهان به بازده شاخص سهام کل و بازده شاخص سهام برق در ترکیه

This study examines the inter-temporal links between world oil prices, ISE 100 and ISE electricity index returns unadjusted and adjusted for market effects. The traditional approaches could not detect a causal relationship running from oil returns to any of the stock returns. However, when we examine the causality using Cheung–Ng approach we discover that world oil prices Granger cause electricity index and adjusted electricity index returns in variance, but not the aggregate market index returns. Hence, our results show that the Cheung–Ng procedure with the use of disaggregated stock index returns can uncover new information that went unnoticed with the traditional causality tests using aggregated market indices.

The recent rise and subsequent fall in world oil prices has renewed the interest on impacts of oil shocks on the economy and financial markets as also stated by Chen et al. [2]. Policy makers are mostly concerned about the short run and the long run effects on the macroeconomy. Whereas, investors try to understand how the financial asset returns will respond to these shocks and whether the impacts are permanent or transitory. Several studies have examined the relationship between oil prices and macroeconomic and financial variables for both developed and developing countries. Oil price changes are generally found to have significant effects both on the economy and financial markets. Some studies focus on the impact of oil shocks on stock markets, where academicians and practitioners alike have been trying to understand the dynamic link between world oil prices and stock returns. The “traditional” view holds that as oil prices rise they will cause input prices to increase, driving down profits and returns. Obviously, these effects may be drastically different for firms (or industries or even countries) that are in businesses that may benefit from higher oil prices. However, as the majority of firms in most markets tend to be oil consumers, the effects of increasing oil prices are expected to be negative for the majority. Although there is support for the negative impact of oil price increases on stock market performance in general, the results are not unanimous and differ across countries. The fluctuations in world oil prices naturally bring forth a number of questions regarding the stock market returns. For example, are oil price shocks transmitted to the stock markets of open economies? One expects to observe a positive shock in world oil prices providing a downward pressure on financial asset returns. If a transmission occurs, then how long it lasts is the natural extension of the question in concern. Another interesting outcome would be the lack of transmission, which would then be followed by a search for the reasons for the neutrality of stock returns to oil price changes. One may be tempted to question the country specific characteristics such as the degree of openness in the presence of this neutrality. However, this explanation does not seem satisfactory in a globalized world, at least for most countries. A following question is: Is there volatility spill over between financial markets and energy markets? As markets become more integrated [6] and global investors view alternative markets as possible arenas of speculative behavior, one expects significant volatility transmissions across these markets. Another question is: Do different industry stocks (for example utilities vs. oil and gas stocks) respond differently to oil price shocks? Industries that are closely related to energy markets may be more sensitive to fluctuations in world oil markets than other industries. Hence, the responses of different industries may have an offsetting effect in the stock index return behavior if one focuses on the aggregate stock market index returns. Another plausible explanation may be the inadequacy of the analytic approach used in uncovering the effect of an oil shock. The introduction of powerful time series techniques allowed examination of temporal relationships via creation of large models with many lags. Since the interpretation of lagged variable coefficients poses a problem, in the literature many have referred to the Granger causality tests as well as impulse response and variance decomposition analyses (which are viewed as out of sample Granger causality tests) in order to interpret the results. If lags of a variable X improve the forecasts of another variable Y, then it is said that X Granger causes Y. In the context of the oil price-stock market prices literature, one expects to observe that oil price changes lead the prices of financial instruments, but not vice versa, especially in small markets relative to the world markets. The empirical results do not always support this expectation. There may be several reasons ranging from the problems related to the methodologies used to the characteristics of the financial market under investigation. The lack of a causal link running from oil price changes to financial assets may also arise because the dynamic link may be between the variances of the variables rather than between the variables themselves. Furthermore, the lack of Granger causality in mean does not necessarily imply that there is also non-Granger causality in variance. Hence, in order to achieve a full examination of the dynamic links between oil and stock returns, one should not limit his/her attention to mean spillovers. This paper fits the literature on the impact of oil price changes on stock returns; however, distinguishes itself from the rest of the literature by examining the impact of oil shocks on specific electricity index returns in an emerging economy. To that respect, we first investigate the temporal relationship between oil prices and Istanbul Stock Exchange 100 index (ISE100) returns. Then, we follow a recent trend in the literature and extend our analysis to a disaggregate level, specifically to the link between world oil prices and the electricity index returns in ISE. The stocks of companies operating in energy markets are expected to be more sensitive to world oil price changes. Furthermore, another issue that we explore in this study is that the information transmission may not be directly between the returns themselves but may be in terms of volatility spillovers. We show that world oil markets have a significant contemporaneous impact on both the ISE100 and ISE electricity returns. However, the test results based on traditional tests failed to detect any Granger causality relationships between world oil prices and stock returns in Turkey. The generalized impulse responses confirm these results, since no significant impact of oil price shocks is observed. This came as a surprise because Turkey is a net oil importer and one expects to see the impact of oil price shocks on the ISE or at least on the electricity index. When we proceed to the Granger causality in variance tests proposed by Cheung and Ng [3], we find that there is volatility spillover from world oil spot markets to the electricity stock index returns in Turkey. Hence, use of disaggregated index returns and looking for volatility spillovers seem to uncover the link between oil prices and financial asset returns which has been undetected using more traditional methods. Our results provide important implications for investors and interesting insights for further research. The next section introduces the literature review on the relationship between stock returns and oil price. Then in Section 3, we discuss data characteristics and methodology followed by empirical results in Section 4. Section 5 concludes and provides implications for investors, policy makers and further research.

This paper investigates the Granger causality relationship between Istanbul Stock Exchange 100 index returns, ISE electricity index returns and world spot oil market returns. The block exogeneity results from the VAR systems imply that a unidirectional Granger causality exists running from Turkish electricity index returns to oil returns. This unexpected result may be due to the fact that the stock returns of energy companies in Turkey may be following the same dynamics with the stock returns of global energy companies that do have an impact on the world oil markets or possibly that it is anticipating future movements. This poses a new question, which can be answered in an analysis that includes both the Turkish and global energy companies’ stock returns. A similar explanation can be used for the bi-directional Granger causality in variance between oil and electricity stock returns. In this emerging economy, Turkey, we find evidence that world spot oil returns Granger cause the electricity returns in variance and vice versa, but not the ISE100 returns. Hence, the volatility spillover is limited to the electricity index. Our results show that the lack of Granger causality in mean, as documented in the literature by several papers as well as by this paper, does not necessarily imply that changes in world oil prices have no impact on financial returns in Turkey. Hence, our results emphasize that the use of industry (or maybe even firm level) returns to examine the influence of oil price changes may provide new insights. Furthermore, our results also show that investigating Granger causality in variance may reveal transmission mechanisms that went unnoticed by tests of Granger causality in mean. The new line of literature on the effects of oil price changes on returns with disaggregated indices (or even with individual stocks) and variance causality will provide essential information to global investors and a promising venue for further research. A natural extension of our results would be to evaluate the impact of different energy prices (Lee and Lee [15]) as they can be viewed as separate markets with arbitrage opportunities.