Stock Returns, Crude Oil and Gold Prices in Turkey: Evidence from Rolling Window-Based Nonparametric Quantile Causality Test

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dc.authorid0000-0002-2853-4106en_US
dc.contributor.authorPata, Ugur Korkut
dc.contributor.authorUsman, Ojonugwa
dc.contributor.authorOlasehinde-Williams, Godwin
dc.contributor.authorOzkan, Oktay
dc.date.accessioned2023-11-13T13:18:05Z
dc.date.available2023-11-13T13:18:05Z
dc.date.issued2023en_US
dc.departmentFakülteler, İşletme Fakültesi, İktisat Bölümüen_US
dc.description.abstractThis 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.en_US
dc.identifier.doi10.1007/s10690-023-09430-xen_US
dc.identifier.scopus2-s2.0-85173078202en_US
dc.identifier.scopusqualityN/Aen_US
dc.identifier.urihttps://hdl.handle.net/11467/7029
dc.identifier.urihttps://doi.org/10.1007/s10690-023-09430-x
dc.identifier.wosWOS:001076658600001en_US
dc.identifier.wosqualityQ2en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherSpringeren_US
dc.relation.ispartofAsia-Pacific Financial Marketsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/embargoedAccessen_US
dc.subjectCrude oil prices, Gold prices, Stock returns, Volatility, Rolling windows, Quantile causality testen_US
dc.titleStock Returns, Crude Oil and Gold Prices in Turkey: Evidence from Rolling Window-Based Nonparametric Quantile Causality Testen_US
dc.typeArticleen_US

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