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Stock Returns, Crude Oil and Gold Prices in Turkey: Evidence from Rolling Window-Based Nonparametric Quantile Causality Test

Author

Listed:
  • Ugur Korkut Pata

    (Osmaniye Korkut Ata University
    Lebanese American University
    Azerbaijan State University of Economics (UNEC))

  • Ojonugwa Usman

    (Istanbul Ticaret University)

  • Godwin Olasehinde-Williams

    (Istanbul Ticaret University)

  • Oktay Ozkan

    (Tokat Gaziosmanpasa University)

Abstract

This study explores the time-varying effects of crude oil prices (OP) and gold prices (GP) on the Turkish stock market using a weekly data series from November 26, 1989 to July 10, 2022. For this purpose, we develop a new hybrid technique, the rolling window-based nonparametric quantile causality test, which allows the investigation of time-varying causality at various quantiles. The results reveal that (i) under all market conditions, there is time-varying causality from crude OP and GP to Turkish stock market returns (SMR) and volatility. (ii) The causal effects of both crude OP and GP on stock market volatility are larger than their causal effects on SMR. (iii) The crude OP have a greater impact on SMR than the GP, while the GP has a greater impact on stock market volatility than the crude OP. (iv) Both crude OP and GP have the strongest (least) causal impact on SMR and volatility under normal (bullish) market conditions. (v) Crude OP and GP have a greater impact on stock market volatility than on stock returns under all market conditions. Overall, our results highlight that OP and GP have a strong impact on the Turkish stock market, and this impact varies by returns and volatility. Therefore, financial investors should consider the volatility of crude OP and GP in the Turkish stock market.

Suggested Citation

  • Ugur Korkut Pata & Ojonugwa Usman & Godwin Olasehinde-Williams & Oktay Ozkan, 2024. "Stock Returns, Crude Oil and Gold Prices in Turkey: Evidence from Rolling Window-Based Nonparametric Quantile Causality Test," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(3), pages 779-797, September.
    • Handle: RePEc:kap:apfinm:v:31:y:2024:i:3:d:10.1007_s10690-023-09430-x
    DOI: 10.1007/s10690-023-09430-x
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