Stock Returns, Crude Oil and Gold Prices in Turkey: Evidence from Rolling Window-Based Nonparametric Quantile Causality Test
Yükleniyor...
Tarih
2023
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Springer
Erişim Hakkı
info:eu-repo/semantics/embargoedAccess
Özet
This study explores the time-varying efects of crude oil prices (OP) and gold prices
(GP) on the Turkish stock market using a weekly data series from November 26,
1989 to July 10, 2022. For this purpose, we develop a new hybrid technique, the
rolling window-based nonparametric quantile causality test, which allows the inves tigation of time-varying causality at various quantiles. The results reveal that (i)
under all market conditions, there is time-varying causality from crude OP and GP
to Turkish stock market returns (SMR) and volatility. (ii) The causal efects of both
crude OP and GP on stock market volatility are larger than their causal efects on
SMR. (iii) The crude OP have a greater impact on SMR than the GP, while the GP
has a greater impact on stock market volatility than the crude OP. (iv) Both crude
OP and GP have the strongest (least) causal impact on SMR and volatility under
normal (bullish) market conditions. (v) Crude OP and GP have a greater impact on
stock market volatility than on stock returns under all market conditions. Overall,
our results highlight that OP and GP have a strong impact on the Turkish stock mar ket, and this impact varies by returns and volatility. Therefore, fnancial investors
should consider the volatility of crude OP and GP in the Turkish stock market.
Açıklama
Anahtar Kelimeler
Crude oil prices, Gold prices, Stock returns, Volatility, Rolling windows, Quantile causality test
Kaynak
Asia-Pacific Financial Markets
WoS Q Değeri
Q2
Scopus Q Değeri
N/A
