The Impact of Oil Price Fluctuations on Stock Return Volatility: An Application on Sub-Indices in Turkey
Journal Title: Muhasebe ve Finansman Dergisi - Year 2015, Vol 17, Issue 67
Abstract
In this study, with data in the period of 04.01.2000-18.03.2014, which Chemical, Industrial, BIST 100 Index and closing price of Brent Oil changes in oil prices on the stock market has tried to expose the effects. Brent oil price changes in recent research conducted in these indices (BIST100, BISTSINAİ, the BISTKİMYA) return volatility on the explanatory variable determining whether established for the ARMA-GARCH model, the variance equation Brent Oil price change as explanatory variables were added, ARCH and GARCH term did not show a significant change and Brent Oil is added to the variance equation after the coefficient of returns negative, although not statistically significant which have been identified. This result, on BIST100, BISTSINAİ ve BISTKİMYA return volatility of Brent oil price changes prove not to be a statistically significant effect.
Authors and Affiliations
İsmail ÇELİK, Arife ÖZDEMİR, Nazlıgül GÜLCAN
Keywords
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