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  • Küçük Resim
    Öğe
    Causality between natural gas prices and stock market returns in Turkey
    (Sprınger Internatıonal Publıshıng Ag, 2013) Kandir, Serkan Yilmaz; Öztürk, İlhan; Acaravci, Ali
    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.
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    Öğe
    Investigation of the Impact of Changes in Value Added Tax and Special Consumption Tax Rates on Stock Returns
    (Maliye Bakanligi, 2019) Kandir, Serkan Yilmaz; Yakar, Soner; Elbir, Gozde
    Value Added Tax (VAT) and Special Consumption Tax (SCT) are taxes that can be reflected to consumers through price mechanism. Therefore, reduction in tax rates may lead to decrease in prices and consequently increase in sales. This situation may in turn enhance profitability of the companies. In this study, impact of reduction in VAT and SCT rates on the stock returns is examined by event study methodology. Event study is conducted for a tax rate reduction announcement and two consecutive tax rate reduction extension announcements in the years of 2018 and 2019. The reduction announcement appears to have a significant impact on stock returns, while extension announcements do not seem to effect stock returns significantly. Therefore, stock market appears to be efficient in semi-strong form.
  • Küçük Resim
    Öğe
    İnvestıgatıng exchange rate exposure of energy fırms: evıdence from Turkey
    (PUnıv economıcs-prague, 2015) Kandir, Serkan Yilmaz; Erismis, Ahmet; Öztürk, İlhan
    This study investigates the exchange rate exposure of Turkish energy firms from 2002 to 2010. We employed a regression model that is constructed by adding exchange rate and oil price factors to Fama-French Three Factor Model. Empirical results suggest that exchange rate risk appears to impact energy firms diversely. Among the 9 energy firms in our sample, only 2 firms seem to be exposed to exchange rate risk. These two energy firms appear to have larger open foreign currency positions and do not use any hedging methods. On the contrary, rest of the energy firms that are not found to be affected by exchange rate risk either seem to have smaller open foreign currency positions or employ hedging methods to manage exchange rate risk. Overall, our results provide evidence that energy firms exposed to exchange rate risk share similar characteristics.
  • Küçük Resim
    Öğe
    Natural gas prices and stock prices: Evidence from EU-15 countries
    (ELSEVIER SCIENCE BV, 2012) Acaravci, Ali; Öztürk, İlhan; Kandir, Serkan Yilmaz
    This study investigates the long-run relationship between natural gas prices and stock prices by using the Johansen and Juselius cointegration test and error-correction based Granger causality models for the EU-15 countries. We employ quarterly data covering the period from 1990:1 to 2008:1. Empirical findings suggest that there is a unique long-term equilibrium relationship between natural gas prices, industrial production and stock prices in Austria, Denmark, Finland, Germany and Luxembourg. However, no relationship is found between these variables in the other ten EU-15 countries. Although we detect a significant long-run relationship between stock prices and natural gas prices, Granger causality test results imply an indirect Granger causal relationship between these two variables. In addition, we investigate the Granger causal relationship between stock returns, industrial production growth and natural gas price increase for Austria, Denmark, Finland, Germany and Luxembourg. As a result, increase in natural gas prices seem to impact industrial production growth at the first place. In turn, industrial production growth appears to affect stock returns.