Analysis of the Influence of the Price of Raw Oil and Natural Gas on the Prices of Indices and Shares of the Turkish Stock Exchange

Public Finance Quarterly 2021/1. (p. 151-166.)

16 Pages Posted: 3 May 2021

See all articles by Nurkhodzha Akbulaev

Nurkhodzha Akbulaev

Azerbaijan State University Of Economics (UNEC)

Basti Aliyeva

Azerbaijan State University of Economics (UNEC)

Shehla Rzayeva

Azerbaijan State University of Economics (UNEC)

Date Written: April 25, 2021

Abstract

This article is a review on the impact of prices and their dependence on the cost of oil and natural gas on the world stock markets. The main studies and results achieved in the field of the impact of prices on both the stock index and industrial stocks and the dependence on the level of oil prices are presented. The paper presents an econometric study on the choice of offers on the securities market that allows us to identify the main specifics of changes in prices for the stock index and industrial shares in the daily period from 13. 05. 2012 to 01. 12. 2019. The article uses methods for estimating the impact of the price of natural gas and WTI crude oil using the Gretl statistical program, taking into account the selection of the main correlation features of the price matrix. Of the 13 proposed research models, only one model showed its statistical insignificance. A paired linear model of the CocaCola share price dependence and its dependence on NGFO prices was presented and analyzed in detail. Based on the results of econometric modeling, linear regression models were constructed for the dependence of stock prices on the NGFO and WTISPOT prices. The Gretl environment allows you to evaluate the situation in the econometric environment and make a forecast based on the obtained models of the dependence of stock prices and make appropriate conclusions

Keywords: stocks, correlation, selection criteria, Gretl environment, sample condition, share price forecast, stock market, oil price

JEL Classification: C12, C58, G12

Suggested Citation

Akbulaev, Nurkhodzha and Aliyeva, Basti and Rzayeva, Shehla, Analysis of the Influence of the Price of Raw Oil and Natural Gas on the Prices of Indices and Shares of the Turkish Stock Exchange (April 25, 2021). Public Finance Quarterly 2021/1. (p. 151-166.), Available at SSRN: https://ssrn.com/abstract=3833742

Nurkhodzha Akbulaev (Contact Author)

Azerbaijan State University Of Economics (UNEC) ( email )

Istiglaliyyat street 6
Baku, AZ Az1001
Azerbaijan
+994507404522 (Phone)

Basti Aliyeva

Azerbaijan State University of Economics (UNEC) ( email )

Istiglaliyyat street 6
Baku, AZ Az1001
Azerbaijan

Shehla Rzayeva

Azerbaijan State University of Economics (UNEC) ( email )

Istiglaliyyat street 6
Baku, AZ Az1001
Azerbaijan

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
6
Abstract Views
75
PlumX Metrics