Browsing by Author "Çaǧli, Efe Çaǧlar"

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Citation - Scopus: 8
The interactions between oil prices and Borsa Istanbul sector indices
(Inderscience Publishers, 2014) Efe Caglar Cagli; Dilvin Taşkın; Pinar Evrim-Mandaci; Mandaci, Pinar Evrim; Taşkin, Fatma Dilvin; Çaǧli, Efe Çaǧlar
This paper investigates the effects of the US crude oil prices (OIL) on some selected sub-sector indices of the Borsa Istanbul (BIST) including BIST-Chemical Petroleum Plastic (BIST-CHE) BIST-Textile-Leather (BIST-TEX) BIST-Metal Products Machinery (BIST-MET) BIST-Transportation (BIST-TRS) BIST-Electricity (BIST-ELC) BIST-Food Beverage (BIST-FOB) BIST-Wood-Paper- Printing (BIST-WPP) and BIST-Wholesale and Retail Trade (BIST-WRT). We employ the vector fractionally integrated autoregressive moving average (VARFIMA) model to examine the linkages between the OIL and the selected sub-sector indices by using daily data between 1997 and 2012 including the recent global financial crises. Our results indicate that while the stock price series of some sub-sector indices are non-stationary but mean-reverting those of some others are non-stationary and non-mean reverting. The changes in the oil prices have permanent effects on itself and on the levels of the selected subsector indices. The empirical results show that oil prices and the selected sub-sector indices are significantly interconnected. Copyright © 2014 Inderscience Enterprises Ltd. © 2020 Elsevier B.V. All rights reserved.