Investigating the Impact of Energy Price Volatility on Borsa Istanbul Chemical Petroleum Plastic Index Returns#

Serkan Yilmaz Kandir () and Gozde Elbir Mermer ()
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Serkan Yilmaz Kandir: Department of Business Administration, Faculty of Economics and Administrative Sciences, Cukurova University, Balcali, Adana, Türkiye
Gozde Elbir Mermer: Institute of Social Sciences, Cukurova University, Balcali, Adana, Türkiye

International Journal of Energy Economics and Policy, 2025, vol. 15, issue 3, 37-46

Abstract: The study aims to investigate the impact of coal and electricity price volatility on Borsa Istanbul (BIST) chemical petroleum plastic index (CPPI) return. Sample of the study spans from August 2009 to December 2020. In this study, volatility in electricity and coal prices are modeled with autoregressive conditional heteroscedasticity models. In the regression model including the BIST CPPI return, it is investigated whether the electricity and coal price volatility coefficients are statistically significant. When we examine the models showing the impact of electricity and coal volatility on BIST CPPI return, we conclude that the electricity and coal price volatility coefficients are statistically insignificant.

Keywords: Volatility; Autoregressive Conditional Heteroscedasticity Models; Coal Prices; Electricity Prices; Index Return (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:v:15:y:2025:i:3:id:19201

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DOI: 10.32479/ijeep.19201

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