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

Author

Listed:
  • Ibrahim Halil Eksi
  • Mehmet Senturk
  • H. Semih Yildirim

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 chemical-petroleum-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. Key words: Crude oil prices, Manufacturing sub-sectors, VAR.JEL: M21, O16, R11.

Suggested Citation

  • Ibrahim Halil Eksi & Mehmet Senturk & H. Semih Yildirim, 2012. "Sensitivity of Stock Market Indices to Oil Prices: Evidence from Manufacturing Sub-Sectors in Turkey," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 59(4), pages 463-474.
    • Handle: RePEc:voj:journl:v:59:y:2012:i:4:p:463-474:id:128
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    More about this item

    Keywords

    Crude oil prices; Manufacturing sub-sectors; VAR;
    All these keywords.

    JEL classification:

    • M21 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics - - - Business Economics
    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
    • R11 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes

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