Asymmetric Responses of Stock Prices to Money Supply and Oil Prices Shocks: New Evidence from a Nonlinear ARDL Approach
International Journal of Economics and Financial Issues, cilt.8, sa.4, ss.45-53, 2018 (Hakemli Dergi)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 8 Sayı: 4
- Basım Tarihi: 2018
- Dergi Adı: International Journal of Economics and Financial Issues
- Derginin Tarandığı İndeksler: IBZ Online, ABI/INFORM, EconLit, Directory of Open Access Journals
- Sayfa Sayıları: ss.45-53
- Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
- Erciyes Üniversitesi Adresli: Evet
Özet
This study investigates how stock market prices react to oil prices and money supply shocks in Turkey using a nonlinearARDL approach. We establish
the time series properties of the data using both conventional linear unit root tests and the procedure advanced by Zivot andAndrews (1992) to consider
the possible existence of endogenous break in the series. Empirical evidence revealed asymmetric cointegration through Wald statistics of Pesaran and
Banerjee. Findings suggest asymmetric responses of Turkish stock market prices to oil prices and money supply shocks, confirming the importance of
non-linearity in macro-finance variables. Namely, in the long-run, we find a significant negative relation between oil prices and stock market prices.
Meanwhile, stock market prices react positively to negative (positive) shocks in money supply. The obtained evidence of the asymmetric behaviors
of stock prices should be taken into account by stock market participants when dealing with their portfolio diversification strategies.