Asymmetric Responses of Stock Prices to Money Supply and Oil Prices Shocks in Turkey: New Evidence from a Nonlinear ARDL Approach
Halil Altintas and
Kassouri Yacouba ()
Additional contact information
Halil Altintas: Department of Economics, Erciyes University, Faculty of Economics and Administrative Sciences, Kayseri, 38039, Turkey.
International Journal of Economics and Financial Issues, 2018, vol. 8, issue 4, 45-53
Abstract:
This study investigates how stock market prices react to oil prices and money supply shocks in Turkey using a nonlinear ARDL approach. We establish the time series properties of the data using both conventional linear unit root tests and the procedure advanced by Zivot-Andrews (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.
Keywords: Stock Price; Oil Price; Money Supply (search for similar items in EconPapers)
JEL-codes: C58 E44 E52 Q43 (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (5)
Downloads: (external link)
https://www.econjournals.com/index.php/ijefi/article/download/6546/pdf (application/pdf)
https://www.econjournals.com/index.php/ijefi/article/view/6546/pdf (text/html)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2018-04-7
Access Statistics for this article
International Journal of Economics and Financial Issues is currently edited by Ilhan Ozturk
More articles in International Journal of Economics and Financial Issues from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().