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Non-linear ARDL approach to the oil-stock nexus: Detailed sectoral analysis of the Turkish stock market

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  • Civcir, Irfan
  • Akkoc, Ugur

Abstract

This study explores the dynamic and asymmetric impacts of oil price changes on the Turkish sectoral stock index. We used the Nonlinear ARDL approach to investigate both the short and long-run asymmetries on the oil-stock nexus by using the post-global crisis daily data between January 2009 and May 2019. Our findings show that oil prices have a negative impact on the Turkish stock market in the short term, and this negative impact varies greatly across sectors. The results show that non-linearities are important and dynamic multipliers prove that asymmetries matter in the oil-stock nexus. The results also show that the short-run impacts are more pronounced than the long-run impacts, and negative oil price movements have more impact than the positive ones in the short run. Finally, in the case of short-term asymmetry, dynamic multipliers show that changes in oil prices lead to a bear market in Turkish stocks, regardless of the direction of the change in oil prices.

Suggested Citation

  • Civcir, Irfan & Akkoc, Ugur, 2021. "Non-linear ARDL approach to the oil-stock nexus: Detailed sectoral analysis of the Turkish stock market," Resources Policy, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721004335
    DOI: 10.1016/j.resourpol.2021.102424
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    4. Salah A. Nusair & Jamal A. Al-Khasawneh, 2023. "Changes in oil price and economic policy uncertainty and the G7 stock returns: evidence from asymmetric quantile regression analysis," Economic Change and Restructuring, Springer, vol. 56(3), pages 1849-1893, June.
    5. Xiuwen Chen, 2023. "Are the shocks of EPU, VIX, and GPR indexes on the oil-stock nexus alike? A time-frequency analysis," Applied Economics, Taylor & Francis Journals, vol. 55(48), pages 5637-5652, October.
    6. Sanusi Yakubu Muhammad & Isah Auwal & Bello Abdulmajeed Kumo & Yusuf Fadimah, 2023. "Oil Price and Stock Market Nexus in Nigeria: An Asymmetric Cointegration Based on Non-Linear Ardl Approach," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 7(11), pages 573-591, November.

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    More about this item

    Keywords

    Oil prices; Exchange rate; Stock market; Nonlinear ARDL; Turkey;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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