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Publication Details
AFRICAN RESEARCH NEXUS
SHINING A SPOTLIGHT ON AFRICAN RESEARCH
economics, econometrics and finance
Stock Returns, Crude Oil and Gold Prices in Turkey: Evidence from Rolling Window-Based Nonparametric Quantile Causality Test
Asia-Pacific Financial Markets, Year 2023
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Description
This study explores the time-varying effects of crude oil prices (OP) and gold prices (GP) on the Turkish stock market using a weekly data series from November 26, 1989 to July 10, 2022. For this purpose, we develop a new hybrid technique, the rolling window-based nonparametric quantile causality test, which allows the investigation of time-varying causality at various quantiles. The results reveal that (i) under all market conditions, there is time-varying causality from crude OP and GP to Turkish stock market returns (SMR) and volatility. (ii) The causal effects of both crude OP and GP on stock market volatility are larger than their causal effects on SMR. (iii) The crude OP have a greater impact on SMR than the GP, while the GP has a greater impact on stock market volatility than the crude OP. (iv) Both crude OP and GP have the strongest (least) causal impact on SMR and volatility under normal (bullish) market conditions. (v) Crude OP and GP have a greater impact on stock market volatility than on stock returns under all market conditions. Overall, our results highlight that OP and GP have a strong impact on the Turkish stock market, and this impact varies by returns and volatility. Therefore, financial investors should consider the volatility of crude OP and GP in the Turkish stock market. © 2023, The Author(s), under exclusive licence to Springer Japan KK, part of Springer Nature.
Authors & Co-Authors
Pata, Ugur Korkut
Turkey, Osmaniye
Osmaniye Korkut Ata University
Lebanon, Beirut
Lebanese American University
Azerbaijan, Baku
Azerbaijan State University of Economics Unec
Usman, Ojonugwa
Turkey, Istanbul
Istanbul Ticaret Üniversitesi
Olasehinde-Williams, Godwin Oluseye
Turkey, Istanbul
Istanbul Ticaret Üniversitesi
Ozkan, Oktay
Turkey, Tokat
Tokat Gaziosmanpaşa Üniversitesi
Statistics
Citations: 9
Authors: 4
Affiliations: 5
Identifiers
Doi:
10.1007/s10690-023-09430-x
ISSN:
13872834