Causality between natural gas prices and stock market returns in Turkey
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Dosyalar
Tarih
2013
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Sprınger Internatıonal Publıshıng Ag
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
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.
Açıklama
WOS: 000325781500006
Anahtar Kelimeler
Kaynak
Economıa Polıtıca
WoS Q Değeri
Q4
Scopus Q Değeri
Cilt
30
Sayı
2
