The impact of gold and crude oil prices on stock market in Turkey: Empirical evidences from ARDL bounds test and combined cointegration

Türsoy, Turgut; Faisal, Fahad

doi:10.1016/j.resourpol.2017.10.014

Cited by 131 publications

(90 citation statements)

References 26 publications

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“…Based on Pesaran et al (2001), the regressand and should be I (1). Therefore, to apply the bounds test for cointegration, we used unit root tests to examine the order of integration of the variables and to ensure that none of them was I (2) (Faisal et al, 2017a, b and Tursoy and Faisal, 2017, 2018Faisal et al, 2018a, b).…”

Section: Resultsmentioning

confidence: 99%

Does financial depth impact economic growth in North Cyprus?

Türsoy

Faisal

2018

Financ Innov

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This study purpose is to connect the proxy of financial development which is total banking sector's deposits with the economic growth in North Cyprus. The reason for using the total deposit differently with the existing literature is because North Cyprus is bank-based financial system. Therefore, this study provides an analysis of the connection between finance-growth nexus in North Cyprus from 1978 through 2015, using the autoregressive distributed lag (ARDL) model and combined cointegration to evaluate and verify the relationship. In addition, this research added the inflation rate to the model specification to investigate the inflation-growth interaction. The results revealed that both methods of cointegration provided robust evidence for a long-run relationship between financial debt and growth. The ARDL long-run and short-run coefficients showed the positive impact of depth and the negative impact of inflation on economic growth, thereby confirming the strength of the financegrowth and inflation-growth connections. Moreover, financial depth had a larger coefficient than the inflation rate. Finally, the VECM Granger causality test provided evidence for unidirectional causality from the total deposits and inflation rate to economic growth in North Cyprus. These results are significant for the policymakers of North Cyprus because the findings show that economic growth can be improved by enhancing the deposit rates in the financial system.

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Section: Resultsmentioning

confidence: 99%

Does financial depth impact economic growth in North Cyprus?

Türsoy

Faisal

2018

Financ Innov

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“…Based on Tursoy and Faisal (Tursoy & Faisal, 2018), the conventional unit root test cannot identify evidence of the structural break. Also, Türsoy and Faisal (Türsoy & Faisal, 2018) using conventional and breakpoint unit root tests to determine the correct order of integration.…”

Section: Methodsmentioning

confidence: 99%

“…Tursoy and Faisal (Tursoy & Faisal, 2018) determine the relationship between stock prices, crude oil, and gold prices in Turkey. Likewise, Granger et al (Granger et al, 2000) explore the link between two variables in the bivariate form by looking at stock prices and another variable.…”

Section: Literature Reviewmentioning

confidence: 99%

The interaction between stock prices and interest rates in Turkey: empirical evidence from ARDL bounds test cointegration

Türsoy

2019

Financ Innov

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This paper demonstrates a significant, long-running relationship between stock prices and domestic interest rates in Turkey's financial markets for the period of 2001 M1 -2017 M4. Cointegration analysis is investigated using the autoregressivedistributed lag bounds (ARDL Bounds) test and vector autoregressive cointegration. Additionally, cointegrating equations such as the fully modified ordinary least square, dynamic ordinary least squares, and canonical cointegrating regression are applied to check the long-run elasticities in the concerned relationship. The ARDL Bounds and Johansen Cointegration test results show that, dynamically, both prices are significantly related to each other. The cointegrating equation outcomes demonstrate elasticities whereby both coefficients have negative signs. Additionally, the same results are corroborated by the impulse response where all variables respond negatively to each other.

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“…Furthermore, Marques et al (2016) points out a fourth advantage, noting that unlike traditional cointegration techniques, the inclusion of dummy variables does not vitiate the efficiency of the model. Therefore, in view to these advantages, the number of studies employing ARDL in estimating relationships amongst various time-series variables of interest has skyrocketed significantly over the last 17 years (example, Tursoy and Faisal, 2017;Sun et al, 2017;Rahman and Kashem, 2017;Marques et al, 2016;Narayan, 2002Narayan, , 2014Murthy and Okunade, 2016;Odhiambo, 2009;Fuinhas and Marques, 2012;Acaravci, 2010, 2011, to mention just very few).…”

Section: Model Specifications -The Ardlmentioning

confidence: 99%

The effect of transitioning to renewable energy consumption on the Nigerian oil and gas exports

Waziri

Hassan

Kouhy

2018

IJESM

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Purpose: Net Energy Importing Countries (NEICs) pursue strategic policies to reduce the consumption of energy from conventional sources and increase that of renewable energy to attain energy security and sustainable development. However, Net Energy Exporting Countries (NEECs) rely substantially on the proceeds realised from oil and gas exports to mainly NEICs to finance government activities. In this paper, we investigate the effect of increased consumption of renewable energy in developed NEICs on the Nigeria's oil and gas exports. Design/Methodology: The study was undertaken by analysing macro-economic annual time-series dataset using Autoregressive Distributed Lag (ARDL) bounds testing approach. Findings: Both the short-run and the long-run results of the ARDL modelling reveal that renewable energy consumption in developed NEICs is affecting Nigeria's oil and gas exports negatively, thereby causing significant decrease in the amounts of revenue being generated therefrom. Research limitations: Like most empirical studies, the conduct of this research has encountered some challenges. Thus, the use of rather small sample in terms of period covered , annual frequency of data and focus on one NEEC (Nigeria) are the key limitations of this paper. While the first two challenges were dealt with by using ARDL, future research can focus on other NEECs to extend the study. Practical implications: Our findings have several policy implications including the need for Nigeria to focus on developing internal market trajectories to increase domestic utilisation of its conventional energy rather than depending on external markets. Our results also suggest the need for public policy makers to develop a strategic plan that will effectively address the external economic threat arising from the influence of global energy transition. Originality/Value: To the best of our knowledge, this paper represents the first effort to empirically examine the effect of renewable energy consumption by developed NEICs on the Nigeria's oil and gas exports. The paper contributes to the literature by providing insight into, and documenting evidence that the world is taking transitioning to cleaner energy sources very seriously.

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The impact of gold and crude oil prices on stock market in Turkey: Empirical evidences from ARDL bounds test and combined cointegration

Cited by 131 publications

References 26 publications

Does financial depth impact economic growth in North Cyprus?

Does financial depth impact economic growth in North Cyprus?

The interaction between stock prices and interest rates in Turkey: empirical evidence from ARDL bounds test cointegration

The effect of transitioning to renewable energy consumption on the Nigerian oil and gas exports

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