Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/74397
Authors: 
Berk, Istemi
Aydogan, Berna
Year of Publication: 
2012
Series/Report no.: 
EWI Working Paper 12/15
Abstract: 
The purpose of this study is to investigate the impacts of crude oil price variations on the Turkish stock market returns. We have employed vector autoregression (VAR) model using daily observations of Brent crude oil prices and Istanbul Stock Exchange National Index (ISE-100) returns for the period between January 2, 1990 and November 1, 2011. We have also tested the relationship between oil prices and stock market returns under global liquidity conditions by incorporating a liquidity proxy variable, Chicago Board of Exchange’s (CBOE) S&P 500 market volatility index (VIX), into the model. Variance decomposition test results suggest little empirical evidence that crude oil price shocks have been rationally evaluated in the Turkish stock market. Rather, it was global liquidity conditions that were found to account for the greatest amount of variation in stock market returns.
Subjects: 
Oil Price Shocks
Stock Returns
Liquidity
VAR Model
JEL: 
C58
G15
Q43
Q47
Document Type: 
Working Paper

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