İşletme ve Yönetim Bilimleri Fakültesi Koleksiyonu

Bu koleksiyon için kalıcı URI

https://hdl.handle.net/20.500.12415/13220
İşletme ve Yönetim Bilimleri Fakültesi Koleksiyonu

Güncel Gönderiler

Listeleniyor 1 - 1 / 1
  • Küçük Resim
    Yayın
    Oil price uncertainty index and stock market: New evidence from fourier-based approachs / Petrol fiyat belirsizliği ve hisse senedi piyasaları: Fourıer tabanlı yaklaşımlardan yeni kanıtlar
    (Nişantaşı Üniversitesi, 2024) Zeren, Feyyaz; Eryılmaz, Serkan; Doğan, Mesut; Gürsoy, Samet
    The aim of this study is to explain the relationship between oil price uncertainty and the stock markets of BRICS countries. For this purpose, monthly Oil Price Uncertainty (OPU) Index and stock market data of BRICS countries in the period between August 1997 and December 2019 are used. The results are as follows: (i) FARDL, ADL and RALS ADL test results indicated that OPU is cointegrated with all country markets except JSE Top 50. (ii) Fourier Granger and Fourier Toda-Yamamoto causality test results revealed that there is a unidirectional causality from OPU to IBOVESPA and RTS, while there is no causality relationship between OPU and other stock markets. (iii) There is a causality in variance from BRICS stock markets to OPU and volatility spillover from OPU to IBOVESPA, BSE 30 and JSE Top 50. Finally, the paper suggests some insightful implications for investors to effectively manage their portfolio strategies considering price uncertainty and for policymakers to mitigate the negative externalities associated with oil price uncertainty.