PETROL FİYATLARI VE BALTIK KURU YÜK ENDEKSİNİN SERMAYE PİYASALARI ÜZERİNDEKİ ETKİLERİNİN İNCELENMESİ: EKONOMETRİK BİR ARAŞTIRMA
Author :
Abstract
Çalışmada Baltık Kuru Yük Endeksi (BDI) ve ham petrol fiyatlarının, sermaye piyasaları üzerindeki etkisi; 09.07.2012-30.11.2021 tarihlerini kapsayan verilerle TVP-VAR modeliyle incelenmiştir. Ham petrol fiyatlarını temsilen WTI (West Texas Intermediate) vadeli sözleşme verileri, sermaye piyasalarını temsilen Morgan Stanley Capital International (MSCI) endeksleri kullanılmıştır. Morgan Stanley tarafından geliştirilen endekslerden hem gelişmiş ülkeler endeksi hem de gelişmekte olan ülkeler endeksi çalışmaya dahil edilmiştir. Çalışmanın bulguları; pandemi etkisinin zayıflamasıyla toparlanan BDI verilerinin yeni varyant haberleriyle tekrar düşüşe geçtiğini ve gelişmekte olan ülke endekslerinde pandeminin ilerleyen dönemlerinde gelişmiş ülkelere nazaran daha yüksek bir volatilite artışına neden olduğunu göstermektedir. Ayrıca, BDI ve MSCIWO değişkenlerinin volatiliteyi yayan, MSCIEF ve WTI değişkenlerinin ise volatiliteyi alan konumda olduğu tespit edilmiştir. Son olarak yatırımcılar, incelenen değişkenlere yatırım yaparak uluslararası portföy çeşitlendirmesinin faydalarından yararlanabileceklerdir.
Keywords
Abstract
In the study, the effect of the Baltic Dry Index (BDI) and crude oil prices on the capital markets; The data covering the dates 09.07.2012-30.11.2021 were analysed with the TVP-VAR model. WTI (West Texas Intermediate) futures data are used to represent crude oil prices, and Morgan Stanley Capital International (MSCI) indices to represent capital markets. Among the indices developed by Morgan Stanley, both the developed countries index and the developing countries index are included in the study. Findings of the study; It shows that the BDI data, which recovered with the weakening of the pandemic effect, started to decline again with the news of new variants and caused a higher volatility increase in developing country indices in the later stages of the pandemic compared to developed countries. In addition, it has been determined that BDI and MSCIWO are variables that spread volatility, while MSCIEF and WTI are variables that take volatility. Finally, investors will be able to benefit from the benefits of international portfolio diversification by investing in the variables studied.
Keywords
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