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Sensitivity of Stock Market Indices to Oil Prices: Evidence from Manufacturing Sub-Sectors in Turkey

Ibrahim Halil Eksi (), Mehmet Senturk () and H. Semih Yildirim ()
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Ibrahim Halil Eksi: Faculty of Economics and Administrative Sciences, Kilis 7 Aralik University, Turkey
Mehmet Senturk: Department of Foreign Trade, Vocational High School, Kilis 7 Aralik University, Turkey

Panoeconomicus, 2012, vol. 59, issue 4, 463-474

Abstract: Crude oil price is a critical cost factor for manufacturing industries that are of vital importance for economic growth. This study examines the relationship between crude oil prices and the indices of seven Turkish manufacturing sub-sectors over the period 1997:01-2009:12. The error correction model results reveal the long term causality from crude oil prices to chemicalpetroleum-plastic and basic metal sub-sectors indicating that these sub-sectors are highly sensitive to crude oil prices. We find no causal relationship for other sector indices for short or long time periods.

Keywords: Crude oil prices; Manufacturing sub-sectors; VAR (search for similar items in EconPapers)
JEL-codes: M21 O16 R11 (search for similar items in EconPapers)
Date: 2012
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Handle: RePEc:voj:journl:v:59:y:2012:i:4:p:463-474