Araştırma Makalesi
BibTex RIS Kaynak Göster

THE IMPACT OF UNCERTAINTY IN GLOBAL GOLD AND OIL PRICES ON STOCK MARKET INDEX RETURNS: THE CASE OF THE MIST COUNTRIES

Yıl 2025, Cilt: 16 Sayı: 31, 550 - 577, 27.06.2025

Fahrettin Pala , Mehmet Ragıp Görgün , Mustafa Torusdağ , Furkan Demirtaş , Abdulkadir Barut

https://doi.org/10.36543/kauiibfd.2025.021

Öz

The current study explores the impact of global gold price uncertainty on the stock markets of the MIST countries: Mexico, Indonesia, South Korea, and Türkiye. The study examined the crisis periods that started with the COVID-19 pandemic and continued with the Russia-Ukraine war, which caused uncertainty in gold and oil prices. Based on this, the study's data set consists of the daily closing prices between March 11th, 2020, and January 31st, 2023. The obtained data were analyzed using the Least Squares (ICC) and panel quantile regression (PQR) methods. There is a significant positive correlation between oil prices and oil volatility index with stock prices for the economies of Türkiye, Indonesia, and Mexico, and a significant negative correlation between gold prices and gold volatility index with stock prices for developing countries. There is also a significant positive relationship between gold and oil prices and stock prices for the developed country, South Korea's economy. A significant negative correlation has also been proposed between gold and oil volatility indices and South Korean stock prices. This study provides a novel contribution to the literature by examining the impact of simultaneous global crises namely the COVID-19 pandemic and the Russia-Ukraine war—on the stock market indices of MIST countries through the lens of uncertainty in both gold and oil markets. While most existing studies focus on a single commodity or analyze crises in isolation, this research distinguishes itself by investigating the combined effects of two major global shocks and incorporating both price and volatility-based uncertainty indicators. The findings suggest that policymakers should develop country-specific and differentiated financial stability policies by taking into account the uncertainties in gold and oil markets during crisis periods.

Anahtar Kelimeler

Covid-19 Russia-Ukraine war gold volatility oil volatility index stock market index index oil prices gold prices MIST countries Panel Quantile Regression.

Kaynakça

  • Adam, P., Rianse, U., Cahyono, E., & Rahim, M. (2015). Modeling of the dynamic relationship between World crude oil prices and the stock market in Indonesia. International Journal of Energy Economics and Policy, 5(2), 550-557.
  • Afsal, E.M., & Haque, M.I. (2016). Market interactions in gold and stock markets: Evidence from Saudi Arabia. International Journal of Economics and Financial Issues, 6(3), 1025-1034.
  • Akgün, D., Şahin, E., & Yilmaz, B. (2013). The effect of variations in gold and oil prices on the BIST 100 index. Mediterranean Journal of Social Sciences, 4(10), 726-730. Doi:10.5901/mjss.2013.v4n10p726
  • Al-Ameer, M., Hammad, W., Ismail, A., & Hamdan, A. (2018). The relationship of gold price with the stock market: The case of the Frankfurt stock exchange. International Journal of Energy Economics and Policy, 8(5), 357-371.
  • Alamgir, F., & Amin, S.B. (2021). The nexus between oil price and stock market: Evidence from South Asia. Energy Reports, 7, 693-703. https://doi.org/10.1016/j.egyr.2021.01.027
  • Baek, J. (2022). Does COVID-19 play any role in the asymmetric relationship between oil prices and exchange rates? Evidence from South Korea. Economic Analysis and Policy, 74(2). DOI: 10.1016/j.eap.2022.03.015
  • Baig, M.M., Shahbaz, M., Imran, M., Jabbar, M., & Ain, Q.U. (2013). Relationship between gold and oil prices and stock market returns. Acta Unıversitatis Danubius, 9(5), 28-39.
  • Baykut, E., & Diyar, S. (2021). The eEffect of global risk indicators on developing country stock exchanges: The case of BRICS-T. Journal of Corporate Governance, Insurance, and Risk Management (JCGIRM), 8(1), 101-117.https://doi.org/10.51410/jcgirm.8.1.7
  • Benavides, D.R., García, M.A.M., & Reyes, L.F.H. (2019). Uncertainty of the international oil price and stock returns in Mexico through an SVAR-MGARCH. Contaduría y Administración, 64(3), 1-16. http://dx.doi.org/10.22201/fca.24488410e.2019.2340
  • Bouslama, N. (2023). Interdependence between the BRICS stock markets and the oil price since the onset of financial and economic crises. Journal of Risk and Financial Management, 16(7), 316.
  • Bhowmik, D. (2013). Stock market volatility: An evaluation. International Journal of Scientific and Research Publications, 3(10), 1-18.
  • CBOE. (2023). CBOE Gold ETF Volatility Index (GVZ). Retrieved Haziran 10, 2023, from https://www.cboe.com/us/indices/dashboard/gvz/
  • Demirdöğen, Y., & Emeç, A.S. (2022). Altın fiyatlarının BIST 100 endeksi üzerine etkisi: Varyansta nedensellik analizi. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 27(4), 547-561.
  • Denie, J., Surachman., Indrawati, N.K., & Rahayu, M. (2024). Nexus Between Oil, Gold Price and Dxy Index on Indonesian Stock Market During Geopolitical Events (2022 –2024). RGSA – Revista de Gestão Social e Ambiental, 18(6), 1.14. https://doi.org/10.24857/rgsa.v18n6-142
  • Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427-431. https://doi.org/10.2307/2286348
  • Drake, P.P. (2022). The gold-stock market relationship during COVID-19. Finance Research Letters, 44, 102111. https://doi.org/10.1016/j.frl.2021.102111
  • Dontoh, E.A., Idun, A.A.A., Adam, A.M., & Junior, P.O. (2024). Analysing COVID-19′s impact: Gold, oil, and stock markets in African oil-exporting economies. Scientific African, 25, e02330. https://doi.org/10.1016/j.sciaf.2024.e02330
  • Chkili, W. (2022). The links between gold, oil prices, and Islamic stock markets in a regime-switching environment. Eurasian Economic Review, 12, 169-186. https://doi.org/10.1007/s40822-022-00202-y
  • Engle, R. F., & Patton, A. J. (2001). What good is a volatility model?. Quantitative Finance, 1(2), 237-245. https://ssrn.com/abstract=1296430
  • Gencer, G., & Musoğlu, Z. (2014). The safe haven property of gold in Turkish financial markets: An investigation of the global financial crisis. Boğaziçi Journal Review of Social, Economic and Administrative Studies, 28(2), 75-89.
  • Ghanbari, H., Fooeik, A., Eskorouchi, A., & Mohammadi, E. (2022). Investigating the effect of the US dollar, gold, and oil prices on the stock market. Journal of Future Sustainability, 2(3), 97-104. DOI: 10.5267/j.jfs.2022.9.009
  • Gökmenoğlu, K.K., & Fazlollahi, N. (2015). The Interactions among gold, oil, and stock market: Evidence from S&P500. Procedia Economics and Finance, 25, 478-488. doi: 10.1016/S2212-5671(15)00760-1
  • Hadi, A., Yahya, M., & Shaari, A. (2009). The effect of oil price fluctuations on the Malaysian and Indonesian stock markets. Asian Journal of Business and Accounting, 2, 69-91.
  • Investing.com (2023). Brent petrol fiyatları. Retrieved May 23, 2023, from https://tr.investing.com
  • Investing.com. (2023). Crude oil volatility index and stock market indices data. Retrieved May 23, 2023, from https://tr.investing.com
  • Jareño, F., Escribano, A. & Umar, Z. (2023). The impact of the COVID-19 outbreak on the connectedness of the BRICS’s term structure. Humanit Soc Sci Commun, 10, 4. https://doi.org/10.1057/s41599-022-01500-1
  • Kakacak, K., Meriç, E., & Temizel, F. (2020). Petrol fiyatlarının BIST100 endeksi üzerine etkisinin var yöntemi ile analizi, BMIJ, 8(5), 3751-3771 doi: http://dx.doi.org/10.15295/bmij.v8i5.1532
  • Karakuş, R. (2021). Petrol ve doğalgaz fiyatları ile hisse senedi fiyatları ilişkisi: BİST sinai sektöründe ampirik bir araştırma. İşletme Araştırmaları Dergisi, 13 (3), 2072-2083.
  • Koenker, R., & Bassett Jr, G. (1978). Regression quantiles. Econometrica: Journal of the Econometric Society, 46(1), 33-50. https://doi.org/10.2307/1913643
  • Küçükçolak, A., Büyükakın, F., & Kucukcolak, NI. (2019). Cointegration of equity and gold markets: Evidence from Türkiye. International Journal of Economics and Financial Issues, 9(2), 32-40. http://orcid.org/0000-0002-7097-5423
  • Küçükoğlu, S. (2021). Covid-19 pandemi sürecinin küresel ekonomik göstergeleri ve Türkiye’de bankacılık ve finans sektörüne etkisi. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 20(42), 1269-1291.
  • Lee, C.C., & Zeng, J.H. (2011). The impact of oil price shocks on stock market activities: asymmetric effect with quantile regression. Math. Comput. Simulat. 81(9), 1910-1920. https://doi.org/10.1016/j.matcom.2011.03.004.
  • Li, S., Xu, Q., Lv, Y., &Yuan, D. (2022). Public attention, oil and gold markets during the COVID-19: Evidence from time-frequency analysis. Resources Policy, 78, 102868. https://doi.org/10.1016/j.resourpol.2022.102868
  • Lubis, S.W., Alfarisi, M.F., & Adrianto, F. (2021). The effect of oil prices, gold and exchanges on JCI during the Covid-19. Enrichment: Journal of Management, 12(1), 135-145.
  • Ma, Z., Xu, R., & Dong, X. (2016). World oil prices and agricultural commodity prices: The evidence from China. Agricultural Economics (Zemědělská ekonomika), 61(12), 564-576. doi: 10.17221/6/2015-AGRICECON.
  • Marwanti, M.M., & Robiyanto, R. (2021). Oil and gold price volatility on Indonesian stock market in the period of Covid-19 pandemic. JMK, 23(2), 129-137. DOI: 10.9744/jmk.23.2.129–137
  • Memon, A., Aslam, B.F., Naveed, H.M., Ferreira, P., & Ganiev O. (2024). Influence of the Russia–Ukraine War and COVID-19 Pandemic on the Efficiency and Herding Behavior of Stock Markets: Evidence from G20 Nations. Economies, 12, 106. https://doi.org/10.3390/economies12050106
  • Morales Fernández Rafaelly, R., & Santillán-Salgado, R. (2020). Oil price effect on sectoral stock returns: A conditional covariance and correlation approach for Mexico. Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 16(1), 1-15. doi: https://doi.org/10.21919/remef.v16i1.571
  • Morema, K., & Bonga-Bonga, L. (2020). The impact of oil and gold price fluctuations on the South African equity market: Volatility spillovers and financial policy implications. Resources Policy, 68, 1-10. https://doi.org/10.1016/j.resourpol.2020.101740
  • Morina, F., Misiri, V., Dinaj, S.S., &Grima, S. (2024). The impact of the COVID-19 pandemic and the Russian invasion of Ukraine on Gold markets. 22(01), 17-32. DOI: 10.3846/bmee.2024.19799
  • Mutlu Çam, S. (2021). The impacts of oil prices, exchange rate and COVID-19 pandemic on BIST petrochemical market. World Journal of Applied Economics, 7(1), 17-33. doi: 10.22440/wjae.7.1.2
  • Ocaklı, D. (2020). Altın ve petrol fiyatları ile BIST100 endeksi arasındaki nedensellik ilişkisinin incelenmesi. Uluslararası İşletme ve Ekonomi Çalışmaları Dergisi, 2(2), 72-84.
  • Oktavia, S, H., Utary, A, R., & Defung, F. (2018). The effect of commodity price on the Indonesian rupiah exchange rate and the Dow Jones index on the Indonesian stock exchange. Jurnal Ekonomi dan Bisnis Jagaditha, 5(2), 109-118. http:// dx.doi.org/10.22225/jj.5.2.809.109-118
  • Ons Altın Fiyatı. (2023). Geçmiş yıllardaki ons altın değerleri. Retrieved Haziran 14, 2023, from https://www.onsaltinfiyati.com/gecmis-yillardaki-ons-altin-degerleri.php
  • O’Neill, J. (2011). The Growth Map: Economic Opportunity in the BRICs and Beyond. Portfolio/Penguin.
  • Raza, N., Shahzad, S.J.H., Tiwari, A.K., & Shahbaz, M. (2016). Asymmetric impact of gold, oil prices, and their volatilities on stock prices of emerging markets. Resources Policy, 49, 290-301. https://doi.org/10.1016/j.resourpol.2016.06.011
  • Salami, M.A., Tanrıvermiş, H., & Tanrıvermiş, Y. (2024). Influence of Ukraine invasion by Russia on Turkish markets. The Journal of Economic Asymmetries, 29, e00348. https://doi.org/10.1016/j.jeca.2023.e00348
  • Sandal, M., Çemrek, F., & Yıldız, Z. (2017). BIST100 endeksi ile altın ve petrol fiyatları arasındaki nedensellik ilişkisinin incelenmesi. Ç.Ü. Sosyal Bilimler Enstitüsü Dergisi, 26(3), 155-170.
  • Sevinç, D. (2022). Volatility spillovers among MIST stock markets. Data Science in Finance and Economics, 2(2), 80-95.
  • Shabbir, A., Kousar, S., & Batool, S.A. (2020). Impact of gold and oil prices on the stock market in Pakistan. Journal of Economics, Finance and Administrative Science, 25(50), 279-294. http://dx.doi.org/10.1108/jefas-04-2019-0053
  • Singhal, S., Choudhary, S., & Biswal, P.C. (2019). Return and volatility linkages among International crude oil price, gold price, exchange rate, and stock markets: Evidence from Mexico. Resources Policy, 60, 255-261. https://doi.org/10.1016/j.resourpol.2019.01.004
  • Sreenu, N. (2022). Impact of crude oil price uncertainty on indian stock market returns: Evidence from oil price volatility index. Energy Strategy Reviews, 44, 1-9. https://doi.org/10.1016/j.esr.2022.101002
  • Santillán-Salgado, R., Calderón-Villarreal, C., & Venegas-Martínez, F. (2017). Impact of oil prices on stock market in major Latin American countries (2000-2015). International Journal of Energy Economics and Policy, 7(4), 205-215.
  • Tekin, B., & Bastak, S.N. (2022). Panel kantil regresyon yaklaşımı ile getiriyi etkileyen içsel faktörlerin modellenmesi: BIST 100 örneği. KMÜ Sosyal ve Ekonomik Araştırmalar Dergisi, 24(42), 195-209.
  • Tsai, I.C. (2012). The relationship between stock price index and exchange rate in Asian markets: a quantile regression approach. J. Int. Financ. Mark. Inst. Money, 22(3), 609-621. https://doi.org/10.1016/j.intfin.2012.04.005.
  • Tuna, K. (2022). Covid–19 pandemi döneminde petrol fiyatı, altın fiyatı ve VIX endeksindeki oynaklıkların Türkiye BİST 100 endeksi üzerindeki etkileri. Istanbul Journal of Economics, 72(1), 39-54. https://doi.org/10.26650/ISTJECON2021-1034794
  • Tursoy, T., & Faisal, F. (2018). The impact of gold and crude oil prices on the stock market in Türkiye: Empirical evidence from the ARDL bounds test and combined cointegration. Resources Policy, Elsevier, 55(C), 49-54. DOI: 10.1016/j.resourpol.2017.10.014
  • Uygur, K., & Han, V. (2021). Finansal liberalizasyon ve gelir dağılımı ilişkisi: G 10 Ülkeleri için panel kantil regresyon analizi. Bingöl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5, Uluslararası İktisadi ve İdari Bilimler Kongresi: Krizler, Belirsizlikler ve Arayışlar Özel Sayısı, 11-30. DOI: 10.33399/biibfad.1029345.
  • Valdés, A., Durán, R., & Armenta, F. (2012). Conditional correlation between oil and stock market returns: The case of Mexico. Mexican Journal of Economics and Finance, 7 (1): 49-63. https://doi.org/10.21919/remef.v7i1.28
  • Wei, Y., & Guo, X. (2016). An empirical analysis of the relationship between oil prices and the Chinese macro-economy. Energy Economics, 56, 88-100. doi:http://dx.doi.org/10.1016/j.eneco.2016.02.023 0140-9883.
  • Xiaozhong, C., Yen-Ku, K., Maneengam, A., Cong, P., Quynh, N.N., Ageli, M.M., & Wisetsri, W. (2022). COVID-19 and oil and gold price volatilities: Evidence from the Chinese market. Resources Policy, 79, 1-10. https://doi.org/10.1016/j.resourpol.2022.103024
  • Yousef, I., & Shehadeh, E. (2020). The impact of COVID-19 on gold price volatility. International Journal of Economics and Business Administration, IIIV(4), 353-364.
  • Zeinedini, S., Karimi, M.S., & Khanzadi, A. (2022). Impact of global oil and gold prices on the Iranian stock market returns during the COVID-19 pandemic using the quantile regression approach. Resources Policy, 76, 1-9. https://doi.org/10.1016/j.resourpol. 2022. 102602
  • Zeren, F., & Güngör, S. (2021). BRICS-T borsaları ile altın ve brent petrol fiyatları arasındaki ilişkinin zamanla değişen nedensellik testi ile incelenmesi. Afyon Kocatepe Üniversitesi Sosyal Bilimler Dergisi, 23(4), 1453-1467.

KÜRESEL ALTIN ​​VE PETROL FİYATLARINDAKİ BELİRSİZLİĞİN HİSSE SENETLERİ PİYASASI ENDEKS GETİRİLERİ ÜZERİNDEKİ ETKİSİ: MIST ÜLKELERİ ÖRNEĞİ

Yıl 2025, Cilt: 16 Sayı: 31, 550 - 577, 27.06.2025

Fahrettin Pala , Mehmet Ragıp Görgün , Mustafa Torusdağ , Furkan Demirtaş , Abdulkadir Barut

https://doi.org/10.36543/kauiibfd.2025.021

Öz

Bu çalışma MIST ülkeleri olan Meksika, Endonezya, Güney Kore ve Türkiye borsalarının küresel altın ve fiyatlardaki belirsizlikten etkilenip etkilenmediğini belirlemeye çalışmıştır. Çalışmada, Covid-19 pandemisi ile başlamış ve Rusya-Ukrayna savaşı ile devam etmekte olan, altın ve petrol fiyatlarında belirsizliğe neden olan kriz dönemleri incelenmiştir. Buna dayanarak, çalışmanın veri seti 11 Mart 2020 ile 31 Ocak 2023 arasındaki günlük kapanış fiyatlarından oluşmaktadır. Elde edilen veriler En Küçük Kareler (ICC) ve panel kantil regresyon yöntemleri kullanılarak analiz edilmiştir. Çalışmadan, Türkiye, Endonezya ve Meksika ekonomileri için petrol fiyatları ve petrol volatilite endeksi ile hisse senedi fiyatları arasında anlamlı ve pozitif bir korelasyon, gelişmekte olan ülkeler için altın fiyatları ve altın volatilite endeksi ile hisse senedi fiyatları arasında anlamlı ve negatif bir korelasyon olduğu sonucuna varılmıştır. Ayrıca, gelişmiş ülke Güney Kore ekonomisi için altın ve petrol fiyatları ile hisse senedi fiyatları arasında pozitif ve anlamlı bir ilişki olduğu sonucuna varılmıştır. Ayrıca Güney Kore ekonomisi için petrol volatilite endeksi ile altın volatilite endeksi ve hisse senedi fiyatları arasında anlamlı ve negatif bir ilişki olduğu tespit edilmiştir. Bu çalışma, COVID-19 pandemisi ve Rusya-Ukrayna savaşı gibi küresel krizlerin eşzamanlı olarak hem altın hem de petrol piyasalarında oluşturduğu belirsizliklerin MİST ülkeleri borsa endeksleri üzerindeki etkisini incelemesi açısından literatüre özgün bir katkı sunmaktadır. Literatürde çoğu çalışma ya sadece bir emtia üzerine odaklanmakta ya da krizleri tekil dönemler olarak ele almaktadır. Bu bağlamda, iki büyük küresel şokun ortak etkisini ve hem fiyat hem de volatilite düzeyinde belirsizlik göstergeleri kullanılarak yapılan analizler, çalışmanın özgün yönünü oluşturmaktadır. Elde edilen bulgular, politika yapıcıların kriz dönemlerinde altın ve petrol piyasalarındaki belirsizlikleri dikkate alarak ülke bazlı farklılaştırılmış finansal istikrar politikaları geliştirmesi gerektiğini ortaya koymaktadır.

Anahtar Kelimeler

Covid-19 Rusya-Ukrayna savaşı altın volatilitesi petrol volatilite endeksi borsa endeksi endeks petrol fiyatları altın fiyatları MIST ülkeleri panel kantil regresyonu

Etik Beyan

Since the study did not include research involving human participants or animal subjects, approval from an ethics committee was not necessary.

Kaynakça

  • Adam, P., Rianse, U., Cahyono, E., & Rahim, M. (2015). Modeling of the dynamic relationship between World crude oil prices and the stock market in Indonesia. International Journal of Energy Economics and Policy, 5(2), 550-557.
  • Afsal, E.M., & Haque, M.I. (2016). Market interactions in gold and stock markets: Evidence from Saudi Arabia. International Journal of Economics and Financial Issues, 6(3), 1025-1034.
  • Akgün, D., Şahin, E., & Yilmaz, B. (2013). The effect of variations in gold and oil prices on the BIST 100 index. Mediterranean Journal of Social Sciences, 4(10), 726-730. Doi:10.5901/mjss.2013.v4n10p726
  • Al-Ameer, M., Hammad, W., Ismail, A., & Hamdan, A. (2018). The relationship of gold price with the stock market: The case of the Frankfurt stock exchange. International Journal of Energy Economics and Policy, 8(5), 357-371.
  • Alamgir, F., & Amin, S.B. (2021). The nexus between oil price and stock market: Evidence from South Asia. Energy Reports, 7, 693-703. https://doi.org/10.1016/j.egyr.2021.01.027
  • Baek, J. (2022). Does COVID-19 play any role in the asymmetric relationship between oil prices and exchange rates? Evidence from South Korea. Economic Analysis and Policy, 74(2). DOI: 10.1016/j.eap.2022.03.015
  • Baig, M.M., Shahbaz, M., Imran, M., Jabbar, M., & Ain, Q.U. (2013). Relationship between gold and oil prices and stock market returns. Acta Unıversitatis Danubius, 9(5), 28-39.
  • Baykut, E., & Diyar, S. (2021). The eEffect of global risk indicators on developing country stock exchanges: The case of BRICS-T. Journal of Corporate Governance, Insurance, and Risk Management (JCGIRM), 8(1), 101-117.https://doi.org/10.51410/jcgirm.8.1.7
  • Benavides, D.R., García, M.A.M., & Reyes, L.F.H. (2019). Uncertainty of the international oil price and stock returns in Mexico through an SVAR-MGARCH. Contaduría y Administración, 64(3), 1-16. http://dx.doi.org/10.22201/fca.24488410e.2019.2340
  • Bouslama, N. (2023). Interdependence between the BRICS stock markets and the oil price since the onset of financial and economic crises. Journal of Risk and Financial Management, 16(7), 316.
  • Bhowmik, D. (2013). Stock market volatility: An evaluation. International Journal of Scientific and Research Publications, 3(10), 1-18.
  • CBOE. (2023). CBOE Gold ETF Volatility Index (GVZ). Retrieved Haziran 10, 2023, from https://www.cboe.com/us/indices/dashboard/gvz/
  • Demirdöğen, Y., & Emeç, A.S. (2022). Altın fiyatlarının BIST 100 endeksi üzerine etkisi: Varyansta nedensellik analizi. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 27(4), 547-561.
  • Denie, J., Surachman., Indrawati, N.K., & Rahayu, M. (2024). Nexus Between Oil, Gold Price and Dxy Index on Indonesian Stock Market During Geopolitical Events (2022 –2024). RGSA – Revista de Gestão Social e Ambiental, 18(6), 1.14. https://doi.org/10.24857/rgsa.v18n6-142
  • Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427-431. https://doi.org/10.2307/2286348
  • Drake, P.P. (2022). The gold-stock market relationship during COVID-19. Finance Research Letters, 44, 102111. https://doi.org/10.1016/j.frl.2021.102111
  • Dontoh, E.A., Idun, A.A.A., Adam, A.M., & Junior, P.O. (2024). Analysing COVID-19′s impact: Gold, oil, and stock markets in African oil-exporting economies. Scientific African, 25, e02330. https://doi.org/10.1016/j.sciaf.2024.e02330
  • Chkili, W. (2022). The links between gold, oil prices, and Islamic stock markets in a regime-switching environment. Eurasian Economic Review, 12, 169-186. https://doi.org/10.1007/s40822-022-00202-y
  • Engle, R. F., & Patton, A. J. (2001). What good is a volatility model?. Quantitative Finance, 1(2), 237-245. https://ssrn.com/abstract=1296430
  • Gencer, G., & Musoğlu, Z. (2014). The safe haven property of gold in Turkish financial markets: An investigation of the global financial crisis. Boğaziçi Journal Review of Social, Economic and Administrative Studies, 28(2), 75-89.
  • Ghanbari, H., Fooeik, A., Eskorouchi, A., & Mohammadi, E. (2022). Investigating the effect of the US dollar, gold, and oil prices on the stock market. Journal of Future Sustainability, 2(3), 97-104. DOI: 10.5267/j.jfs.2022.9.009
  • Gökmenoğlu, K.K., & Fazlollahi, N. (2015). The Interactions among gold, oil, and stock market: Evidence from S&P500. Procedia Economics and Finance, 25, 478-488. doi: 10.1016/S2212-5671(15)00760-1
  • Hadi, A., Yahya, M., & Shaari, A. (2009). The effect of oil price fluctuations on the Malaysian and Indonesian stock markets. Asian Journal of Business and Accounting, 2, 69-91.
  • Investing.com (2023). Brent petrol fiyatları. Retrieved May 23, 2023, from https://tr.investing.com
  • Investing.com. (2023). Crude oil volatility index and stock market indices data. Retrieved May 23, 2023, from https://tr.investing.com
  • Jareño, F., Escribano, A. & Umar, Z. (2023). The impact of the COVID-19 outbreak on the connectedness of the BRICS’s term structure. Humanit Soc Sci Commun, 10, 4. https://doi.org/10.1057/s41599-022-01500-1
  • Kakacak, K., Meriç, E., & Temizel, F. (2020). Petrol fiyatlarının BIST100 endeksi üzerine etkisinin var yöntemi ile analizi, BMIJ, 8(5), 3751-3771 doi: http://dx.doi.org/10.15295/bmij.v8i5.1532
  • Karakuş, R. (2021). Petrol ve doğalgaz fiyatları ile hisse senedi fiyatları ilişkisi: BİST sinai sektöründe ampirik bir araştırma. İşletme Araştırmaları Dergisi, 13 (3), 2072-2083.
  • Koenker, R., & Bassett Jr, G. (1978). Regression quantiles. Econometrica: Journal of the Econometric Society, 46(1), 33-50. https://doi.org/10.2307/1913643
  • Küçükçolak, A., Büyükakın, F., & Kucukcolak, NI. (2019). Cointegration of equity and gold markets: Evidence from Türkiye. International Journal of Economics and Financial Issues, 9(2), 32-40. http://orcid.org/0000-0002-7097-5423
  • Küçükoğlu, S. (2021). Covid-19 pandemi sürecinin küresel ekonomik göstergeleri ve Türkiye’de bankacılık ve finans sektörüne etkisi. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 20(42), 1269-1291.
  • Lee, C.C., & Zeng, J.H. (2011). The impact of oil price shocks on stock market activities: asymmetric effect with quantile regression. Math. Comput. Simulat. 81(9), 1910-1920. https://doi.org/10.1016/j.matcom.2011.03.004.
  • Li, S., Xu, Q., Lv, Y., &Yuan, D. (2022). Public attention, oil and gold markets during the COVID-19: Evidence from time-frequency analysis. Resources Policy, 78, 102868. https://doi.org/10.1016/j.resourpol.2022.102868
  • Lubis, S.W., Alfarisi, M.F., & Adrianto, F. (2021). The effect of oil prices, gold and exchanges on JCI during the Covid-19. Enrichment: Journal of Management, 12(1), 135-145.
  • Ma, Z., Xu, R., & Dong, X. (2016). World oil prices and agricultural commodity prices: The evidence from China. Agricultural Economics (Zemědělská ekonomika), 61(12), 564-576. doi: 10.17221/6/2015-AGRICECON.
  • Marwanti, M.M., & Robiyanto, R. (2021). Oil and gold price volatility on Indonesian stock market in the period of Covid-19 pandemic. JMK, 23(2), 129-137. DOI: 10.9744/jmk.23.2.129–137
  • Memon, A., Aslam, B.F., Naveed, H.M., Ferreira, P., & Ganiev O. (2024). Influence of the Russia–Ukraine War and COVID-19 Pandemic on the Efficiency and Herding Behavior of Stock Markets: Evidence from G20 Nations. Economies, 12, 106. https://doi.org/10.3390/economies12050106
  • Morales Fernández Rafaelly, R., & Santillán-Salgado, R. (2020). Oil price effect on sectoral stock returns: A conditional covariance and correlation approach for Mexico. Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 16(1), 1-15. doi: https://doi.org/10.21919/remef.v16i1.571
  • Morema, K., & Bonga-Bonga, L. (2020). The impact of oil and gold price fluctuations on the South African equity market: Volatility spillovers and financial policy implications. Resources Policy, 68, 1-10. https://doi.org/10.1016/j.resourpol.2020.101740
  • Morina, F., Misiri, V., Dinaj, S.S., &Grima, S. (2024). The impact of the COVID-19 pandemic and the Russian invasion of Ukraine on Gold markets. 22(01), 17-32. DOI: 10.3846/bmee.2024.19799
  • Mutlu Çam, S. (2021). The impacts of oil prices, exchange rate and COVID-19 pandemic on BIST petrochemical market. World Journal of Applied Economics, 7(1), 17-33. doi: 10.22440/wjae.7.1.2
  • Ocaklı, D. (2020). Altın ve petrol fiyatları ile BIST100 endeksi arasındaki nedensellik ilişkisinin incelenmesi. Uluslararası İşletme ve Ekonomi Çalışmaları Dergisi, 2(2), 72-84.
  • Oktavia, S, H., Utary, A, R., & Defung, F. (2018). The effect of commodity price on the Indonesian rupiah exchange rate and the Dow Jones index on the Indonesian stock exchange. Jurnal Ekonomi dan Bisnis Jagaditha, 5(2), 109-118. http:// dx.doi.org/10.22225/jj.5.2.809.109-118
  • Ons Altın Fiyatı. (2023). Geçmiş yıllardaki ons altın değerleri. Retrieved Haziran 14, 2023, from https://www.onsaltinfiyati.com/gecmis-yillardaki-ons-altin-degerleri.php
  • O’Neill, J. (2011). The Growth Map: Economic Opportunity in the BRICs and Beyond. Portfolio/Penguin.
  • Raza, N., Shahzad, S.J.H., Tiwari, A.K., & Shahbaz, M. (2016). Asymmetric impact of gold, oil prices, and their volatilities on stock prices of emerging markets. Resources Policy, 49, 290-301. https://doi.org/10.1016/j.resourpol.2016.06.011
  • Salami, M.A., Tanrıvermiş, H., & Tanrıvermiş, Y. (2024). Influence of Ukraine invasion by Russia on Turkish markets. The Journal of Economic Asymmetries, 29, e00348. https://doi.org/10.1016/j.jeca.2023.e00348
  • Sandal, M., Çemrek, F., & Yıldız, Z. (2017). BIST100 endeksi ile altın ve petrol fiyatları arasındaki nedensellik ilişkisinin incelenmesi. Ç.Ü. Sosyal Bilimler Enstitüsü Dergisi, 26(3), 155-170.
  • Sevinç, D. (2022). Volatility spillovers among MIST stock markets. Data Science in Finance and Economics, 2(2), 80-95.
  • Shabbir, A., Kousar, S., & Batool, S.A. (2020). Impact of gold and oil prices on the stock market in Pakistan. Journal of Economics, Finance and Administrative Science, 25(50), 279-294. http://dx.doi.org/10.1108/jefas-04-2019-0053
  • Singhal, S., Choudhary, S., & Biswal, P.C. (2019). Return and volatility linkages among International crude oil price, gold price, exchange rate, and stock markets: Evidence from Mexico. Resources Policy, 60, 255-261. https://doi.org/10.1016/j.resourpol.2019.01.004
  • Sreenu, N. (2022). Impact of crude oil price uncertainty on indian stock market returns: Evidence from oil price volatility index. Energy Strategy Reviews, 44, 1-9. https://doi.org/10.1016/j.esr.2022.101002
  • Santillán-Salgado, R., Calderón-Villarreal, C., & Venegas-Martínez, F. (2017). Impact of oil prices on stock market in major Latin American countries (2000-2015). International Journal of Energy Economics and Policy, 7(4), 205-215.
  • Tekin, B., & Bastak, S.N. (2022). Panel kantil regresyon yaklaşımı ile getiriyi etkileyen içsel faktörlerin modellenmesi: BIST 100 örneği. KMÜ Sosyal ve Ekonomik Araştırmalar Dergisi, 24(42), 195-209.
  • Tsai, I.C. (2012). The relationship between stock price index and exchange rate in Asian markets: a quantile regression approach. J. Int. Financ. Mark. Inst. Money, 22(3), 609-621. https://doi.org/10.1016/j.intfin.2012.04.005.
  • Tuna, K. (2022). Covid–19 pandemi döneminde petrol fiyatı, altın fiyatı ve VIX endeksindeki oynaklıkların Türkiye BİST 100 endeksi üzerindeki etkileri. Istanbul Journal of Economics, 72(1), 39-54. https://doi.org/10.26650/ISTJECON2021-1034794
  • Tursoy, T., & Faisal, F. (2018). The impact of gold and crude oil prices on the stock market in Türkiye: Empirical evidence from the ARDL bounds test and combined cointegration. Resources Policy, Elsevier, 55(C), 49-54. DOI: 10.1016/j.resourpol.2017.10.014
  • Uygur, K., & Han, V. (2021). Finansal liberalizasyon ve gelir dağılımı ilişkisi: G 10 Ülkeleri için panel kantil regresyon analizi. Bingöl Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 5, Uluslararası İktisadi ve İdari Bilimler Kongresi: Krizler, Belirsizlikler ve Arayışlar Özel Sayısı, 11-30. DOI: 10.33399/biibfad.1029345.
  • Valdés, A., Durán, R., & Armenta, F. (2012). Conditional correlation between oil and stock market returns: The case of Mexico. Mexican Journal of Economics and Finance, 7 (1): 49-63. https://doi.org/10.21919/remef.v7i1.28
  • Wei, Y., & Guo, X. (2016). An empirical analysis of the relationship between oil prices and the Chinese macro-economy. Energy Economics, 56, 88-100. doi:http://dx.doi.org/10.1016/j.eneco.2016.02.023 0140-9883.
  • Xiaozhong, C., Yen-Ku, K., Maneengam, A., Cong, P., Quynh, N.N., Ageli, M.M., & Wisetsri, W. (2022). COVID-19 and oil and gold price volatilities: Evidence from the Chinese market. Resources Policy, 79, 1-10. https://doi.org/10.1016/j.resourpol.2022.103024
  • Yousef, I., & Shehadeh, E. (2020). The impact of COVID-19 on gold price volatility. International Journal of Economics and Business Administration, IIIV(4), 353-364.
  • Zeinedini, S., Karimi, M.S., & Khanzadi, A. (2022). Impact of global oil and gold prices on the Iranian stock market returns during the COVID-19 pandemic using the quantile regression approach. Resources Policy, 76, 1-9. https://doi.org/10.1016/j.resourpol. 2022. 102602
  • Zeren, F., & Güngör, S. (2021). BRICS-T borsaları ile altın ve brent petrol fiyatları arasındaki ilişkinin zamanla değişen nedensellik testi ile incelenmesi. Afyon Kocatepe Üniversitesi Sosyal Bilimler Dergisi, 23(4), 1453-1467.
Toplam 64 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Sermaye Piyasaları, Makro İktisat (Diğer)
Bölüm Makaleler
Yazarlar

Fahrettin Pala 0000-0001-9565-8638

Mehmet Ragıp Görgün 0000-0003-1618-3844

Mustafa Torusdağ 0000-0002-8839-0562

Furkan Demirtaş 0000-0003-2233-6835

Abdulkadir Barut 0000-0001-8315-9727

Yayımlanma Tarihi 27 Haziran 2025
Gönderilme Tarihi 4 Mart 2025
Kabul Tarihi 27 Mayıs 2025
Yayımlandığı Sayı Yıl 2025 Cilt: 16 Sayı: 31

Kaynak Göster

APA Pala, F., Görgün, M. R., Torusdağ, M., Demirtaş, F., vd. (2025). THE IMPACT OF UNCERTAINTY IN GLOBAL GOLD AND OIL PRICES ON STOCK MARKET INDEX RETURNS: THE CASE OF THE MIST COUNTRIES. Kafkas Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 16(31), 550-577. https://doi.org/10.36543/kauiibfd.2025.021
 Kapak Resmi İndir

KAÜİİBFD, Kafkas Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergi Yayıncılığı'nın kurumsal dergisidir.

KAÜİİBFD 2022 yılından itibaren Web of Science'a dahil edilerek, Clarivate ürünü olan Emerging Sources Citation Index (ESCI) uluslararası alan endeksinde taranmaya başlamıştır. 

2025 Haziran ve Aralık sayısı İşletme alanı kotası dolmuştur. Bir sonraki duyuruya kadar İşletme alanındaki gönderiler değerlendirmeye alınmayacaktır. Dergimizin kapsamındaki diğer alanların makale kabul ve değerlendirmeleri devam etmektedir.