دورية
The interactions between oil prices and Borsa Istanbul sector indices
| العنوان: | The interactions between oil prices and Borsa Istanbul sector indices |
|---|---|
| المؤلفون: | Çağlı, Efe Çağlar, Taşkın, Fatma Dilvin, Mandacı, Pınar Evrim |
| المصدر: | International Journal of Economic Policy in Emerging Economies; January 2014, Vol. 7 Issue: 1 p55-65, 11p |
| مستخلص: | This paper investigates the effects of the US crude oil prices (OIL) on some selected sub-sector indices of the Borsa Istanbul (BIST) including BIST-Chemical Petroleum, Plastic, (BIST-CHE), BIST-Textile-Leather (BIST-TEX), BIST-Metal Products, Machinery (BIST-MET), BIST-Transportation (BIST-TRS), BIST-Electricity (BIST-ELC), BIST-Food Beverage (BIST-FOB), BIST-Wood-Paper-Printing (BIST-WPP), and BIST-Wholesale and Retail Trade (BIST-WRT). We employ the vector fractionally integrated autoregressive moving average (VARFIMA) model to examine the linkages between the OIL and the selected sub-sector indices by using daily data between 1997 and 2012 including the recent global financial crises. Our results indicate that while the stock price series of some sub-sector indices are non-stationary, but mean-reverting, those of some others are non-stationary and non-mean reverting. The changes in the oil prices have permanent effects on itself and on the levels of the selected subsector indices. The empirical results show that oil prices and the selected sub-sector indices are significantly interconnected. |
| قاعدة البيانات: | Supplemental Index |
| تدمد: | 17520452 17520460 |
|---|---|
| DOI: | 10.1504/IJEPEE.2014.059895 |