The Asymmetric Impacts of Oil Prices and Selected Macroeconomic Variables on Stock Markets: The Case of Turkey

Akçağlayan A., Tuzcu S. E.

SOSYOEKONOMI, cilt.31, sa.55, ss.125-149, 2023 (ESCI)

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 31 Sayı: 55
  • Basım Tarihi: 2023
  • Doi Numarası: 10.17233/sosyoekonomi.2023.01.07
  • Dergi Adı: SOSYOEKONOMI
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), TR DİZİN (ULAKBİM)
  • Sayfa Sayıları: ss.125-149
  • Ankara Üniversitesi Adresli: Evet

Özet

This paper investigates the asymmetric impacts of crude oil prices and other selected macroeconomic variables on the Turkish stock market for the period between 2005:01-2021:06 through the combination of the NARDL model and the quantile regression approach. The findings support the existence of cointegration between the stock market and oil prices. The variations in oil prices have asymmetric impacts in the long run. A positive shock by 1% decreases stock returns by 0.67%, while oil price declines have no significant impact. Quantile regressions show that the effects of oil price shocks are more visible at the low levels of the stock market.