Causality between Natural Gas Prices and Stock Market Returns in Turkey


KANDIR S. Y. , ÖZTÜRK I., Acaravci A.

ECONOMIA POLITICA, cilt.30, ss.203-220, 2013 (SSCI İndekslerine Giren Dergi) identifier identifier

  • Cilt numarası: 30 Konu: 2
  • Basım Tarihi: 2013
  • Dergi Adı: ECONOMIA POLITICA
  • Sayfa Sayısı: ss.203-220

Özet

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.