The impact of oil prices on the stock returns in Turkey: A TVP-VAR approach
Elif Akay Toparlı,
Nazif Catik () and
Physica A: Statistical Mechanics and its Applications, 2019, vol. 535, issue C
This paper aims to analyze the effect of crude oil price shocks and macroeconomic variables on the Turkish stock market. To this aim, a time-varying parameter vector autoregression model (TVP-VAR) is estimated by using monthly data covering the period from February 1988 to March 2017. The time-varying responses and forecast error decompositions indicate that the impact of the variables on the stock market returns show substantial time variation. The effect of real crude oil price shocks is lower compared to those of exchange rate and interest rate. Output shock has a positive effect on stock returns, as expected. The time-varying forecast error decomposition suggest that stock returns are largely explained by the variations in exchange rate and interest rate.
Keywords: Oil prices; Stock returns; TVP-VAR model; Turkey (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119313755
Access Statistics for this article
Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis
More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().