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https://www.um.edu.mt/library/oar/handle/123456789/66615
Title: | Impact of oil price shocks on stock returns In Turkey : a sectoral analysis based on Hilbert-Huang transform and event study |
Authors: | Bogeh, Cho Kien Bozcuk, Aslihan Ersoy |
Keywords: | Petroleum -- Economic aspects Hilbert-Huang transform Petroleum products -- Prices -- Mathematical models Petroleum industry and trade Price regulation |
Issue Date: | 2021-01 |
Publisher: | Ahmet Gökgöz |
Citation: | Bogeh, C. K., & Bozcuk, A. E. (2021). Impact of oil price shocks on stock returns In Turkey : a sectoral analysis based on Hilbert-Huang transform and event study. Journal of Accounting, Finance and Auditing Studies, 7(1), 138-154. |
Abstract: | Purpose of the study: This paper intended to analyze the sectoral index which can possibly be affected by oil price shocks in Turkey. Research method: The study used Hilbert-Huang transform (HHT) to quantify oil price shock intensities based on daily West Texas Intermediate spot prices obtained from energy information administration website for the year 2000 to 2019 and target shocks were selected for event study. Later event study methodology was used to assess the impact of oil price shocks on sectoral indexes of six sectors in Istanbul stock exchange of Turkey based on data collected from investing.com website. Findings: Empirical results show that oil price shocks negatively affect real estate sector (XGMYO), financials (XUMAL) and transportation (XULAS), but positively affects industrials (XUSIN) and food and beverage (XGIDA) sectors. Originality/Value: The study contributes to theoretical and empirical literature. It also demonstrated that it is reasonable to combine HHT and event study to evaluate sectoral effects of oil price shocks on Turkey. |
URI: | https://www.um.edu.mt/library/oar/handle/123456789/66615 |
Appears in Collections: | Journal of Accounting, Finance and Auditing Studies, Volume 7, Issue 1 Journal of Accounting, Finance and Auditing Studies, Volume 7, Issue 1 |
Files in This Item:
File | Description | Size | Format | |
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JAFAS7(1)A7.pdf | 1.16 MB | Adobe PDF | View/Open |
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