Research Article
BibTex RIS Cite

COVID-19 salgınında döneminde petrol fiyatı dalgalanmalarının Borsa İstanbul havayolu şirket hisse getirilerine bulaşma etkisi: Bir VAR-VECH-TARCH uygulaması

Year 2020, Volume: 5 Issue: 4, 699 - 716, 31.12.2020
https://doi.org/10.29106/fesa.800357

Abstract

Ham petrolün sektörler üzerindeki etkisi, ilgili iş kolunun bağımlılığına göre farklılıklar göstermektedir. Bu nedenle, havayolları şirketleri, operasyonel maliyetlerin önemli bir bölümünü oluşturduğundan, ham petrol fiyatlarındaki değişikliklere genellikle duyarlıdır. Çalışmamızda getiri bulaşma etkisi, vektör otoregresif model (VAR modeli) ile belirlenirken, ham petrol fiyatı ile hava yolu şirketleri hisse senedi getirileri arasındaki volatilite bulaşma etkisi varyans denklemleri ile belirlenir. Asimetrik haber etkisini de yakalamak için ise VECH-TARCH modeli tercih edilmiştir. Model sonuçlarına göre, ham petrol fiyatı ile havayolları hisse senedi getirileri arasındaki oynaklık yayılma etkisi, getiri yayılma etkisine göre daha belirgindir. Kısa vadede ham petrol fiyatı ile Türk Hava Yolları hisse senedi fiyatı arasındaki oynaklık yayılma etkisi Pegasus Hava Yolları (PGSUS) ve BİST ulaştırma endeksine göre daha belirgindir. İkinci olarak, uzun vadede ham petrol fiyatları ile üç varlık arasındaki oyaklık yayılma etkisi son derece belirgindir. Üçüncü olarak, ham petrol fiyatları ile Pegasus Havayolları hisse senetleri ve ulaştırma endeksi arasında asimetrik bir haber etkisi saptanamamış olsa da Türk Hava Yolları hisselerinde asimetrik haber etkisi görülmektedir. Ham petrol piyasalarından gelen iyi haberler ise Türk Hava Yolları hisse getirilerinde oynaklığı arttırmaktadır.

References

  • Arouri, M.E.H., Lahiani, A., Nguyen, D, K., 2011. Return and volatility transmission between world oil prices and stock markets of the GCC countries. Economic Modelling. Vol. 28, Issue 4, pp. 1815-1825
  • Bouri, E., 2015. Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis. Energy Economics. Vol. 51. issue C, pp. 590-598 Ding, Z., Liu Z., Zhang, Y. and Long, R. 2017. The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment. Applied Energy. Vo. 187, pp. 27-36
  • Du, L., He, Y. 2015. Extreme risk spillovers between crude oil and stock markets. Energy Economics. Vol. 51, issue C, 455-465
  • Engle, R, F., 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, Vol. 50, pp. 987-1007 Engle, R, F., Victor K. Ng, 1993, Measuring and testing the impact of news on volatility, Journal of Finance 48, pp. 1749-1778.
  • Engle, R, F., Kroner, K, F. 1995. Multivariate Simultaneous Generalized ARCH. Econometric Theory, Vol. 11, issue 1, pp. 122-150
  • Gillen, D, and Lall, A, 2003. International transmission of shocks in the airline industry. Journal of Air Transport Management, 9, pp. 37–49
  • Glosten, L. R., R. Jagannathan, and D. E. Runkle. 1993. On the Relation between the Expected Value and the Volatility of the Nominal Excess Returns on Stocks. Journal of Finance 48: 1779-1801.
  • Gomes, M, and Chaibi, A. 2014. Volatility Spillovers Between Oil Prices and Stock Returns: A Focus on Frontier Markets. Post-Print hal-02314397, HAL.
  • Hatty, H., 2002. Airline strategies against crises. Presentation at 5th Hamburg Aviation Conference. 14 February, Hamburg Jones, C., M. and Kaul, G. 1996. Oil and the Stock Markets. Journal of Finance. Vol. 51 No. 2., pp. 463-491.
  • Malik, F. and Hammoudeh, S. 2007. Shock and volatility transmission in the oil, US, and Gulf equity markets. International Review of Economics and Finance. Vol. 16, issue 3, pp. 357-368
  • Miller, J.I. and Ratti, R.A. 2009. Crude oil and stock markets: Stability, instability, and bubbles. Energy Economics, 31(4), pp. 559-568
  • Mohanty, S, K. and Nandha, M, 2011. Oil Risk Exposure: The Case of the U.S. Oil and Gas Sector. Financial Review, Vol. 46, No. 1, pp. 165-19
  • Narayan, P, K., Sharma, S, S., 2011. New evidence on oil price and firm returns, Journal of Banking & Finance, Elsevier, vol. 35(12), pp. 3253-3262.
  • Liu, Z, Ding, Z, Li, R, Jiang, X, Wu, and Lv, T. 2017. Research on differences of spillover effects between international crude oil price and stock markets in China and America. Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards. Springer; International Society for the Prevention and Mitigation of Natural Hazards. Vol. 88(1), pp. 575-590
  • Ling, S., & McAleer, M. 2003. Asymptotic Theory for a Vector ARMA-GARCH Model. Econometric Theory. Vol. 19(2), pp. 280-310
  • Phan, D, H, B., Sharma,S, S,. and Narayan, P, K, 2015. Oil price and stock returns of consumers and producers of crude oil. Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pp. 245-262.
  • Reboredo, J.C., 2015. Is there dependence and systemic risk between oil and renewable energy stock prices? Energy Econ. 48, 32–45
  • Soyemi, K.A., Akingunola, R.O.O., Ogebe, J., 2018. Effects of oil price shock on stock returns of energy firms in Nigeria. Kasetsart J. Soc. Sci.
  • Uddin, S., G., Hernandez, A., J, Shahzad, H., J., S., and Kang, H., S., 2020. Characteristics of spillovers between the US stock market and precious metals and oil. Resources Policy Vol. 66, 101601
  • Ulusoy, V., Ozdurak, C., 2018. The Impact of Oil Price Volatility to Oil and Gas Company Stock Returns and Emerging Economies. International Journal of Energy Economics and Policy, 8(1), pp. 144-158.
  • Turkish Airlines March 2020 Traffic Results, reached on 18.06.2020 from https://investor.turkishairlines.com/documents/march-2020-traffic_web.pdf
  • Pegasus Airlines March 2020 Traffic Results, reached on 18.06.2020 from http://www.pegasusinvestorrelations.com/medium/image/march-2020-traffic-data_966/view.aspx

Spillover effect of oil price fluctuations on airlines stock returns in Borsa İstanbul during the COVID-19 pandemic: A VAR-VECH-TARCH Application

Year 2020, Volume: 5 Issue: 4, 699 - 716, 31.12.2020
https://doi.org/10.29106/fesa.800357

Abstract

The impact of crude oil on the industries is different based on the dependency of the related business line. Thus, airlines are usually sensitive to the changes in crude oil price changes since is composes a considerable proportion of the operational costs. In our study, the return spillover effect is determined by the mean equation set as vector autoregressive model (VAR model) while the volatility spillover effect between crude oil price and the stock price of airlines companies is determined via the variance equation set as the VECH-TARCH model to catch the asymmetric news impact as well. According to the model results the volatility spillover effect between crude oil price and airlines’ stock price is more significant compared to the return spillover effect. In the short term the volatility spillover effect between crude oil price and Turkish Airlines stock price is more significant compared to Pegasus Airlines (PGSUS) and transportation index. Secondly, in the long run the volatility spillover effect between crude oil prices and all three assets are strongly significant. Third, there is no asymmetric news impact between crude oil prices and Pegasus Airlines stocks and transportation index. However, asymmetry exists for Turkish Airlines stocks. Good news from crude oil markets to Turkish Airlines increase the volatility as well.

References

  • Arouri, M.E.H., Lahiani, A., Nguyen, D, K., 2011. Return and volatility transmission between world oil prices and stock markets of the GCC countries. Economic Modelling. Vol. 28, Issue 4, pp. 1815-1825
  • Bouri, E., 2015. Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis. Energy Economics. Vol. 51. issue C, pp. 590-598 Ding, Z., Liu Z., Zhang, Y. and Long, R. 2017. The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment. Applied Energy. Vo. 187, pp. 27-36
  • Du, L., He, Y. 2015. Extreme risk spillovers between crude oil and stock markets. Energy Economics. Vol. 51, issue C, 455-465
  • Engle, R, F., 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, Vol. 50, pp. 987-1007 Engle, R, F., Victor K. Ng, 1993, Measuring and testing the impact of news on volatility, Journal of Finance 48, pp. 1749-1778.
  • Engle, R, F., Kroner, K, F. 1995. Multivariate Simultaneous Generalized ARCH. Econometric Theory, Vol. 11, issue 1, pp. 122-150
  • Gillen, D, and Lall, A, 2003. International transmission of shocks in the airline industry. Journal of Air Transport Management, 9, pp. 37–49
  • Glosten, L. R., R. Jagannathan, and D. E. Runkle. 1993. On the Relation between the Expected Value and the Volatility of the Nominal Excess Returns on Stocks. Journal of Finance 48: 1779-1801.
  • Gomes, M, and Chaibi, A. 2014. Volatility Spillovers Between Oil Prices and Stock Returns: A Focus on Frontier Markets. Post-Print hal-02314397, HAL.
  • Hatty, H., 2002. Airline strategies against crises. Presentation at 5th Hamburg Aviation Conference. 14 February, Hamburg Jones, C., M. and Kaul, G. 1996. Oil and the Stock Markets. Journal of Finance. Vol. 51 No. 2., pp. 463-491.
  • Malik, F. and Hammoudeh, S. 2007. Shock and volatility transmission in the oil, US, and Gulf equity markets. International Review of Economics and Finance. Vol. 16, issue 3, pp. 357-368
  • Miller, J.I. and Ratti, R.A. 2009. Crude oil and stock markets: Stability, instability, and bubbles. Energy Economics, 31(4), pp. 559-568
  • Mohanty, S, K. and Nandha, M, 2011. Oil Risk Exposure: The Case of the U.S. Oil and Gas Sector. Financial Review, Vol. 46, No. 1, pp. 165-19
  • Narayan, P, K., Sharma, S, S., 2011. New evidence on oil price and firm returns, Journal of Banking & Finance, Elsevier, vol. 35(12), pp. 3253-3262.
  • Liu, Z, Ding, Z, Li, R, Jiang, X, Wu, and Lv, T. 2017. Research on differences of spillover effects between international crude oil price and stock markets in China and America. Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards. Springer; International Society for the Prevention and Mitigation of Natural Hazards. Vol. 88(1), pp. 575-590
  • Ling, S., & McAleer, M. 2003. Asymptotic Theory for a Vector ARMA-GARCH Model. Econometric Theory. Vol. 19(2), pp. 280-310
  • Phan, D, H, B., Sharma,S, S,. and Narayan, P, K, 2015. Oil price and stock returns of consumers and producers of crude oil. Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pp. 245-262.
  • Reboredo, J.C., 2015. Is there dependence and systemic risk between oil and renewable energy stock prices? Energy Econ. 48, 32–45
  • Soyemi, K.A., Akingunola, R.O.O., Ogebe, J., 2018. Effects of oil price shock on stock returns of energy firms in Nigeria. Kasetsart J. Soc. Sci.
  • Uddin, S., G., Hernandez, A., J, Shahzad, H., J., S., and Kang, H., S., 2020. Characteristics of spillovers between the US stock market and precious metals and oil. Resources Policy Vol. 66, 101601
  • Ulusoy, V., Ozdurak, C., 2018. The Impact of Oil Price Volatility to Oil and Gas Company Stock Returns and Emerging Economies. International Journal of Energy Economics and Policy, 8(1), pp. 144-158.
  • Turkish Airlines March 2020 Traffic Results, reached on 18.06.2020 from https://investor.turkishairlines.com/documents/march-2020-traffic_web.pdf
  • Pegasus Airlines March 2020 Traffic Results, reached on 18.06.2020 from http://www.pegasusinvestorrelations.com/medium/image/march-2020-traffic-data_966/view.aspx
There are 22 citations in total.

Details

Primary Language English
Subjects Economics
Journal Section Araştırma Makaleleri
Authors

Caner Ozdurak 0000-0003-0793-7480

Publication Date December 31, 2020
Submission Date September 25, 2020
Acceptance Date December 9, 2020
Published in Issue Year 2020 Volume: 5 Issue: 4

Cite

APA Ozdurak, C. (2020). Spillover effect of oil price fluctuations on airlines stock returns in Borsa İstanbul during the COVID-19 pandemic: A VAR-VECH-TARCH Application. Finans Ekonomi Ve Sosyal Araştırmalar Dergisi, 5(4), 699-716. https://doi.org/10.29106/fesa.800357