BIST SINAÎ, BIST KİMYA ENDEKSİ İLE DOĞAL GAZ VE PETROL FİYATLARI ARASINDAKİ NEDENSELLİK İLİŞKİSİ: TODA-YAMAMOTO YAKLAŞIMI
THE CAUSAL ASSOCIATION BETWEEN BIST INDUSTRIAL, BIST CHEMICAL INDEX AND NATURAL GAS AND CRUDE OIL PRICES: TODA-YAMAMOTO APPROACH

Summary/Abstract: The association between energy prices and economic indicators has attracted many researchers for many years and has been the topic of many researches. However, studies investigating the effect of energy prices on financial indicators seem to be limited. One of the factors that may affect the share price of the companies is the energy prices that the companies need in order to continue their activities. Energy prices are the main input of firms, especially in the industrial and chemical sectors. Hence, energy prices can directly affect the companies operating in these particular sectors. The aim of this study is to investigate the causal association between natural gas and crude oil prices and the index prices of industrial and chemical sectors traded in Stock Exchange using Toda-Yamamota (1995) approach. As a result of the analyses carried out using the monthly data of 2003: 8-2017: 1, it has been found that natural gas prices are the cause of both the industrial sector market price index (BIST XUSIN) and the chemical sector market price index (BIST XKMYA). However, we couldn’t find causal association between oil prices and indices of these sectors.

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