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Brent Petrol Fiyatının Havayolu Şirketlerinin Hisse Senedi Fiyatlarına Etkisi

Year 2016, Volume: 20 Issue: 1, 39 - 53, 30.06.2016

Kemal Eyüboğlu , Sinem Eyüboğlu

Abstract

Bu çalışmanın amacı, Ocak 2009-Kasım 2014 dönemi itibariyle petrol fiyatlarının havayolu şirketlerinin hisse senedi
fiyatları üzerinde nasıl ve ne ölçüde etkili olduğunu aylık veriler kullanarak test etmektir. Bu amaçla çalışmada
dünyada öne çıkan havayolu şirketlerinden Delta Airlines, Lufthansa, Air France ve Türk Hava Yolları şirketleri ile
brent petrolünün dolar bazlı fiyatları kullanılmıştır. Petrol fiyatları ile şirket hisse senedi fiyatları arasında uzun
dönemli ilişki olup olmadığı Engle-Granger (1987) eşbütünleşme yöntemi ile test edilmiştir. Elde edilen bulgular,
Delta Airlines, Lufthansa ve Türk Hava Yolları ile brent petrol fiyatı arasında uzun dönemli bir ilişki olduğunu
göstermiş ve buradan hata düzeltme modeline geçilmiştir. Hata düzeltme modeli sonuçları uzun dönemde petrol
fiyatları ile Delta Airlines arasındaki sapmaların her ay %14.1’inin; petrol fiyatları ile Lufthansa arasındaki sapmaların
her ay %24.4’ünün; petrol fiyatları ile THY arasındaki sapmaların her ay %49,4’ünün giderildiğini ortaya koymuştur.

Keywords

Petrol Fiyatları havayolu şirketleri Engle-Granger eşbütünleşme analizi Hata Düzeltme Modeli

References

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  • Apergis, N. & Miller, S. M. (2009). Do structural oil-market shocks affect stock prices?, Energy Econ, 31, 569-575.
  • Arouri, M. E. & Nguyen, D. (2010). Oil prices, stock markets and portfolio investment: evidence from sector analysis in Europe over the last decade, Energy Policy 38, 4528-4539.
  • ATAG (2014). Aviation benefits beyond borders, http://-aviationbenefits.org/- media/26786/-ATAG__AviationBenefits2014_FULL_LowRes.pdf, 22.04.2015.
  • Basher, S. A. & Sadorsky, P. (2006). Oil price risk and emerging stock markets, Global Finance Journal, 17, 224-251.
  • Boyer, M. M. & Filion, D. (2007). Common and fundamental factors in stock returns of canadian oil and gas companies, Energy Economics, 29(3), 428-453.
  • Dayanandan, A. & Donker, H. (2011). Oil prices and accounting profits of oil and gas companies, International Review of Financial Analysis 20, 252-257.
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  • Devlet Hava Meydanları İşletmesi Genel Müdürlüğü (2010). Stratejik Plan 2010-2014 http://www.sp.gov.tr/upload/xSPStratejikPlan/files/NRTzk+DHMI_SP_2010- 2014.pdf
  • Dickey, D. A. & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 49, 1057-1072.
  • Devlet Planlama Teşkilatı (2005). Devlet planlama teşkilatı müsteşarlığı 9.kalkınma planı havayolu ulaşımı ihtisas komisyonu raporu, DPT Yayını.
  • El-Sharif, I., Brown, D., Burton B., Nixon B. & Russell A. (2005). Evidence on the nature and extent of the relationship between oil prices and equity values in the UK, Energy Economics, 27, 819-830.
  • Engle, R. F. & Granger, C. W. J. (1987). Co-Integration and error correction representation, estimation and testing, Econometrica, 55, 251-276.
  • Faff, R. W. & Timothy, J. B. (1999). Oil price risk and the Australian stock market, Journal Energy Finance and Development 4, 69-87.
  • Havacılık ve Uzay Teknolojileri Genel Müdürlüğü (2014). Ulaşan erişen Türkiye 2014, 244-312.
  • Henriques, I. & Sadorsky, P. (2008). Oil prices and the stock prices of alternative energy companies, Energy Economics 30, 998-1010.
  • IATA, https://www.iata.org/whatwedo/Documents/economics/Central-forecast-Dec2014-Figures.pdf. Jones, C. M. & Kaul, G. (1996). Oil and the stock markets, Journal of Finance, 51, 463- 491.
  • Karatay, E., Şahin M., Yalçın, P. & Kırtıloğlu, Y. (2014). Sivil havacılık sektörünün ulusal ve uluslararası düzeyde incelenmesi,http://-mdk.anadolu.edu.tr/- sites/mdk.anadolu.edu.tr/files/files/6.pdf. 14.4.2015.
  • Lanza, A., Matteo M., Margherita G. & Massimo G. (2003). Long-run models of oil stock prices, Environmental Modelling and Software, 20, 1423-1430.
  • Lee, K., & Ni, S. (2002). On the dynamic effects of oil price shocks: a study using ındustry level data, Journal of Monetary Economics, 49, 823–852.
  • Luo, Y. & Esqueda, O. (2011). Cointegration and priority relationships between energy and oil prices, The Journal of Current Research in Global Business, 14(21), 22-32.
  • Mohanty, S., Nandha M., & Bota, G. (2010). Oil shocks and stock returns: the case of the Central and Eastern European (CEE) oil and gas sectors, Emerging Markets Review, 11, 358-372.
  • Mohanty, Sunil, Nandha Mohan, & Turkistani Abdullah, Alaitani (2011). “Oil Price Movements and Stock Market Returns: Evidence from Gulf Cooperation Council (GCC) Countries”, Global Finance Journal 22, 42-55.
  • Nandha, M. & Faff, R.(2008). Does oil move equity prices? a global view, Energy Economics, 30, 986-997.
  • Narayan, P.K. & Narayan, S. (2010). Modeling the ımpact of oil prices on Vietnam's stock prices, Applied Energy, 87, 356–361.
  • Papapetrou, E. (2001). Oil price shocks, stock market, economic activity and employment in Greece, Energy Economics, 23, 511–532.
  • Park, J. & Ratti, R. A. (2008). Oil price shocks and stock markets in the U.S. and 13 European countries, Energy Econ, 30, 2587-2608.
  • Phillips, C.B. P. & Pierre P. (1988). Testing for a unit root in time series regression”, Biomètrika, 75(2), 336-346.
  • Puah, C., Lay-Phin T. & A. H. Md I. (2009). Nexus between oil price and stock performance of power ındustry in Malaysia, MPRA Paper No. 31757.
  • Sadorsky, P. (2001). Risk factors in stock returns of Canadian oil and gas companies, Energy Economics, 23, 17-28.
  • Sadorsky, P. (2008). Assessing the ımpact of oil prices on firms of different sizes: its tough being in the middle, Energy Policy, 36, 3854-3861.
  • Scholtens, B. & Wang, L. (2008). Oil risk in oil stocks, The Energy Journal, 29(1), 89- 111
  • Sivil Havacılık Genel Müdürlüğü (2013). Sivil havacılık faaliyet raporu 2013, https://www.google.com.tr/webhp?sourceid=chromeinstant&ion=1&espv=2&ie=UTF-8#q=shgm
  • Sivil Havacılık Genel Müdürlüğü (2014). Sivil havacılık faaliyet raporu 2014, http://web.shgm.gov.tr/documents/sivilhavacilik/files/pdf/kurumsal/raporlar/20 14faaliyetraporuv2.pdf
  • T.C. Ulaştırma, Denizcilik ve Haberleşme Bakanlığı (2014), UBAK http://www.ubak.gov.tr/BLSM_WIYS/UBAK/tr/Ana_Plan_Stratejisi/3Rapor/2 0100518_171202_204_1_64.pdf
  • TOBB (2014). Türkiye Sivil Havacılık Meclisi Sektör Raporu 2013, http://www.tobb.org.tr/Documents/yayinlar/2014/TurkiyeSivilHavacilikSektor Raporu.pdf

Year 2016, Volume: 20 Issue: 1, 39 - 53, 30.06.2016

Kemal Eyüboğlu , Sinem Eyüboğlu

Abstract

References

  • Al-Mudhaf, A., & Goodwin, T.H. (1993). Oil shocks and oil stocks: evidence from the 1970s, Applied Economics 25,181-190
  • Apergis, N. & Miller, S. M. (2009). Do structural oil-market shocks affect stock prices?, Energy Econ, 31, 569-575.
  • Arouri, M. E. & Nguyen, D. (2010). Oil prices, stock markets and portfolio investment: evidence from sector analysis in Europe over the last decade, Energy Policy 38, 4528-4539.
  • ATAG (2014). Aviation benefits beyond borders, http://-aviationbenefits.org/- media/26786/-ATAG__AviationBenefits2014_FULL_LowRes.pdf, 22.04.2015.
  • Basher, S. A. & Sadorsky, P. (2006). Oil price risk and emerging stock markets, Global Finance Journal, 17, 224-251.
  • Boyer, M. M. & Filion, D. (2007). Common and fundamental factors in stock returns of canadian oil and gas companies, Energy Economics, 29(3), 428-453.
  • Dayanandan, A. & Donker, H. (2011). Oil prices and accounting profits of oil and gas companies, International Review of Financial Analysis 20, 252-257.
  • Devlet Hava Meydanları İşletme Genel Müdürlüğü, 2015-2019 Stratejik Plan, http://www.dhmi.gov.tr/getBinaryFile.aspx?Type=14&dosyaID=1723.
  • Devlet Hava Meydanları İşletmesi Genel Müdürlüğü (2010). Stratejik Plan 2010-2014 http://www.sp.gov.tr/upload/xSPStratejikPlan/files/NRTzk+DHMI_SP_2010- 2014.pdf
  • Dickey, D. A. & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 49, 1057-1072.
  • Devlet Planlama Teşkilatı (2005). Devlet planlama teşkilatı müsteşarlığı 9.kalkınma planı havayolu ulaşımı ihtisas komisyonu raporu, DPT Yayını.
  • El-Sharif, I., Brown, D., Burton B., Nixon B. & Russell A. (2005). Evidence on the nature and extent of the relationship between oil prices and equity values in the UK, Energy Economics, 27, 819-830.
  • Engle, R. F. & Granger, C. W. J. (1987). Co-Integration and error correction representation, estimation and testing, Econometrica, 55, 251-276.
  • Faff, R. W. & Timothy, J. B. (1999). Oil price risk and the Australian stock market, Journal Energy Finance and Development 4, 69-87.
  • Havacılık ve Uzay Teknolojileri Genel Müdürlüğü (2014). Ulaşan erişen Türkiye 2014, 244-312.
  • Henriques, I. & Sadorsky, P. (2008). Oil prices and the stock prices of alternative energy companies, Energy Economics 30, 998-1010.
  • IATA, https://www.iata.org/whatwedo/Documents/economics/Central-forecast-Dec2014-Figures.pdf. Jones, C. M. & Kaul, G. (1996). Oil and the stock markets, Journal of Finance, 51, 463- 491.
  • Karatay, E., Şahin M., Yalçın, P. & Kırtıloğlu, Y. (2014). Sivil havacılık sektörünün ulusal ve uluslararası düzeyde incelenmesi,http://-mdk.anadolu.edu.tr/- sites/mdk.anadolu.edu.tr/files/files/6.pdf. 14.4.2015.
  • Lanza, A., Matteo M., Margherita G. & Massimo G. (2003). Long-run models of oil stock prices, Environmental Modelling and Software, 20, 1423-1430.
  • Lee, K., & Ni, S. (2002). On the dynamic effects of oil price shocks: a study using ındustry level data, Journal of Monetary Economics, 49, 823–852.
  • Luo, Y. & Esqueda, O. (2011). Cointegration and priority relationships between energy and oil prices, The Journal of Current Research in Global Business, 14(21), 22-32.
  • Mohanty, S., Nandha M., & Bota, G. (2010). Oil shocks and stock returns: the case of the Central and Eastern European (CEE) oil and gas sectors, Emerging Markets Review, 11, 358-372.
  • Mohanty, Sunil, Nandha Mohan, & Turkistani Abdullah, Alaitani (2011). “Oil Price Movements and Stock Market Returns: Evidence from Gulf Cooperation Council (GCC) Countries”, Global Finance Journal 22, 42-55.
  • Nandha, M. & Faff, R.(2008). Does oil move equity prices? a global view, Energy Economics, 30, 986-997.
  • Narayan, P.K. & Narayan, S. (2010). Modeling the ımpact of oil prices on Vietnam's stock prices, Applied Energy, 87, 356–361.
  • Papapetrou, E. (2001). Oil price shocks, stock market, economic activity and employment in Greece, Energy Economics, 23, 511–532.
  • Park, J. & Ratti, R. A. (2008). Oil price shocks and stock markets in the U.S. and 13 European countries, Energy Econ, 30, 2587-2608.
  • Phillips, C.B. P. & Pierre P. (1988). Testing for a unit root in time series regression”, Biomètrika, 75(2), 336-346.
  • Puah, C., Lay-Phin T. & A. H. Md I. (2009). Nexus between oil price and stock performance of power ındustry in Malaysia, MPRA Paper No. 31757.
  • Sadorsky, P. (2001). Risk factors in stock returns of Canadian oil and gas companies, Energy Economics, 23, 17-28.
  • Sadorsky, P. (2008). Assessing the ımpact of oil prices on firms of different sizes: its tough being in the middle, Energy Policy, 36, 3854-3861.
  • Scholtens, B. & Wang, L. (2008). Oil risk in oil stocks, The Energy Journal, 29(1), 89- 111
  • Sivil Havacılık Genel Müdürlüğü (2013). Sivil havacılık faaliyet raporu 2013, https://www.google.com.tr/webhp?sourceid=chromeinstant&ion=1&espv=2&ie=UTF-8#q=shgm
  • Sivil Havacılık Genel Müdürlüğü (2014). Sivil havacılık faaliyet raporu 2014, http://web.shgm.gov.tr/documents/sivilhavacilik/files/pdf/kurumsal/raporlar/20 14faaliyetraporuv2.pdf
  • T.C. Ulaştırma, Denizcilik ve Haberleşme Bakanlığı (2014), UBAK http://www.ubak.gov.tr/BLSM_WIYS/UBAK/tr/Ana_Plan_Stratejisi/3Rapor/2 0100518_171202_204_1_64.pdf
  • TOBB (2014). Türkiye Sivil Havacılık Meclisi Sektör Raporu 2013, http://www.tobb.org.tr/Documents/yayinlar/2014/TurkiyeSivilHavacilikSektor Raporu.pdf
There are 36 citations in total.

Details

Primary Language Turkish
Journal Section Research Articles
Authors

Kemal Eyüboğlu

Sinem Eyüboğlu

Publication Date June 30, 2016
Submission Date June 1, 2017
Published in Issue Year 2016 Volume: 20 Issue: 1

Cite

APA Eyüboğlu, K., & Eyüboğlu, S. (2016). Brent Petrol Fiyatının Havayolu Şirketlerinin Hisse Senedi Fiyatlarına Etkisi. Çukurova Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 20(1), 39-53.
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