Asymmetric Responses of Stock Prices to Money Supply and Oil Prices Shocks: New Evidence from a Nonlinear ARDL Approach


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Altıntaş H. , Kassouri Y.

International Journal of Economics and Financial Issues, cilt.8, ss.45-53, 2018 (Diğer Kurumların Hakemli Dergileri)

  • Cilt numarası: 8 Konu: 4
  • Basım Tarihi: 2018
  • Dergi Adı: International Journal of Economics and Financial Issues
  • Sayfa Sayıları: ss.45-53

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.