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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

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  • Akbulaev, Nurkhodzha
  • Aliyeva, Basti
  • Rzayeva, Shehla

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.

Suggested Citation

  • Akbulaev, Nurkhodzha & Aliyeva, Basti & Rzayeva, Shehla, 2021. "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," Public Finance Quarterly, Corvinus University of Budapest, vol. 66(1), pages 151-166.
    • Handle: RePEc:pfq:journl:v:66:y:2021:i:1:p:151-166
    DOI: https://doi.org/10.35551/PFQ_2021_1_8
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    References listed on IDEAS

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    1. Fan, Qinbin & Jahan-Parvar, Mohammad R., 2012. "U.S. industry-level returns and oil prices," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 112-128.
    2. Rehana Siddiqui, 2004. "Energy and Economic Growth in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 43(2), pages 175-200.
    3. Dhaoui, Abderrazak & Khraief, Naceur, 2014. "Empirical linkage between oil price and stock market returns and volatility: Evidence from international developed markets," Economics Discussion Papers 2014-12, Kiel Institute for the World Economy (IfW Kiel).
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    More about this item

    Keywords

    stocks; correlation; selection criteria; Gretl environment; sample condition; share price forecast; stock market; oil price;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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