Investigating the Impact of Energy Price Volatility on Borsa Istanbul Chemical Petroleum Plastic Index Returns

KANDIR S. Y., Mermer G. E.

International Journal of Energy Economics and Policy, cilt.15, sa.3, ss.37-46, 2025 (Scopus) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 15 Sayı: 3
  • Basım Tarihi: 2025
  • Doi Numarası: 10.32479/ijeep.19201
  • Dergi Adı: International Journal of Energy Economics and Policy
  • Derginin Tarandığı İndeksler: Scopus, ABI/INFORM, EconLit, Directory of Open Access Journals
  • Sayfa Sayıları: ss.37-46
  • Anahtar Kelimeler: Autoregressive Conditional Heteroscedasticity Models, Coal Prices, Electricity Prices, Index Return, Volatility
  • Çukurova Üniversitesi Adresli: Evet

Özet

The study aims to investigate the impact of coal and electricity price volatility on Borsa Istanbul (BIST) chemical petroleum plastic index (CPPI) return. Sample of the study spans from August 2009 to December 2020. In this study, volatility in electricity and coal prices are modeled with autoregressive conditional heteroscedasticity models. In the regression model including the BIST CPPI return, it is investigated whether the electricity and coal price volatility coefficients are statistically significant. When we examine the models showing the impact of electricity and coal volatility on BIST CPPI return, we conclude that the electricity and coal price volatility coefficients are statistically insignificant.