Causality between Natural Gas Prices and Stock Market Returns in Turkey

KANDIR S. Y., ÖZTÜRK I., Acaravci A.

ECONOMIA POLITICA, vol.30, no.2, pp.203-220, 2013 (SSCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 30 Issue: 2
  • Publication Date: 2013
  • Journal Name: ECONOMIA POLITICA
  • Journal Indexes: Social Sciences Citation Index (SSCI), Scopus
  • Page Numbers: pp.203-220
  • Çukurova University Affiliated: Yes

Abstract

This study investigates the long-run relationship between natural gas prices and stock returns in Turkey by using Johansen and Juselius, and bounds testing approach of cointegration tests using quarterly data from 1995 : 1 to 2009 : 3. Empirical findings suggest that there is no a unique long-term equilibrium relationship between natural gas prices, real GDP, real exchange rates and stock returns. On the other hand, Toda - Yamamoto causality approach results indicate that a unidirectional Granger causal relationship from stock prices to real GDP and natural gas prices and a unidirectional Granger causal relationship from real GDP to real exchange rates seem to exist in Turkey.

This study investigates the long-run relationship between natural gas prices and stock returns in Turkey by using Johansen and Juselius, and bounds testing approach of cointegration tests using quarterly data from 1995: 1 to 2009 : 3. Empirical findings suggest that there is no a unique long-term equilibrium relationship between natural gas prices, real GDP, real exchange rates and stock returns. On the other hand, Toda - Yamamoto causality approach results indicate that a unidirectional Granger causal relationship from stock prices to real GDP and natural gas prices and a unidirectional Granger causal relationship from real GDP to real exchange rates seem to exist in Turkey.