Analysis of the Influence of the Price of Raw Oil and Natural Gas on the Prices of Indices and Shares of the Turkish Stock Exchange

Nurkhodzha Akbulaev, Basti Aliyeva and Shehla Rzayeva

Public Finance Quarterly, 2021, vol. 66, issue 1, 151-166

Abstract: This article is a review on the impact of prices and their dependence on the cost of oil and natural gas on the world stock markets. The main studies and results achieved in the field of the impact of prices on both the stock index and industrial stocks and the dependence on the level of oil prices are presented. The paper presents an econometric study on the choice of offers on the securities market that allows us to identify the main specifics of changes in prices for the stock index and industrial shares in the daily period from 13. 05. 2012 to 01. 12. 2019. The article uses methods for estimating the impact of the price of natural gas and WTI crude oil using the Gretl statistical program, taking into account the selection of the main correlation features of the price matrix. Of the 13 proposed research models, only one model showed its statistical insignificance. A paired linear model of the CocaCola share price dependence and its dependence on NGFO prices was presented and analyzed in detail. Based on the results of econometric modeling, linear regression models were constructed for the dependence of stock prices on the NGFO and WTISPOT prices. The Gretl environment allows you to evaluate the situation in the econometric environment and make a forecast based on the obtained models of the dependence of stock prices and make appropriate conclusions.

Keywords: stocks; correlation; selection criteria; Gretl environment; sample condition; share price forecast; stock market; oil price (search for similar items in EconPapers)
JEL-codes: C12 C58 G12 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://unipub.lib.uni-corvinus.hu/8632/ (application/pdf)

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:pfq:journl:v:66:y:2021:i:1:p:151-166

DOI: 10.35551/PFQ_2021_1_8

Access Statistics for this article

More articles in Public Finance Quarterly from Corvinus University of Budapest Contact information at EDIRC.
Bibliographic data for series maintained by Adam Hoffmann ().