Causality between Natural Gas Prices and Stock Market Returns in Turkey
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Date
2013
Journal Title
Journal ISSN
Volume Title
Publisher
Springer International Publishing Ag
Access Rights
info:eu-repo/semantics/closedAccess
Abstract
This study investigates the long-run relationship between natural gas prices and stock returns in Turkey by using Johansen and Juselius, and bounds testing approach of cointegration tests using quarterly data from 1995: 1 to 2009 : 3. Empirical findings suggest that there is no a unique long-term equilibrium relationship between natural gas prices, real GDP, real exchange rates and stock returns. On the other hand, Toda - Yamamoto causality approach results indicate that a unidirectional Granger causal relationship from stock prices to real GDP and natural gas prices and a unidirectional Granger causal relationship from real GDP to real exchange rates seem to exist in Turkey.
Description
Keywords
Efficient Capital-Markets, Time-Series Evidence, Energy-Consumption, Economic-Growth, Error-Correction, Canadian Oil, Cointegration, Countries, Shocks, Companies
Journal or Series
Economia Politica
WoS Q Value
Q4
Scopus Q Value
Volume
30
Issue
2
