Akademik Veri Yönetim Sistemi
ERCIYES UNIVERSITY JOURNAL OF FACULTY OF ECONOMICS AND ADMINISTRATIVE SCIENCES, cilt.62, ss.25-55, 2022 (Hakemli Dergi)
This paper investigates the nonlinear effects of three types of oil price shocks proposed by
Ready (2018), namely supply, demand, and risk shocks, on the BIST100 return using a recently
developed nonlinear autoregressive distributed lags (NARDL) model on monthly data from January
2003 to January 2019. Our results indicate that there is a nonlinear cointegration relationship between
oil price shocks and BIST100 return, and that the effects of positive and negative changes in oil price
shocks on stock market returns vary significantly in the short and long-run. The long-run coefficients
of positive and negative oil demand shocks, respectively, are positive and negative but the positive
demand shock is greater economic impact of the negative demand shock. This means that stock returns
are more affected by global demand growth in Turkey. Furthermore, positive oil supply and positive
risk shocks resulted in a decrease in stock return, while negative supply and negative risk shocks
resulted in an increase in stock return. In terms of total impact, both positive oil supply and positive oil
risk shocks have a greater impact on lowering stock returns during this period.