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The Empirical Relationship Between Oil Prices and Stock Market Prices in Turkey: Evidence from Sectoral Analysis

Burcu KIRAN

Abstract


This paper investigates the long run relationship between oil prices and stock market prices of industrial, financial, services and technology indices for Turkey over the period from July 2000 to April 2010 by using Robinson(1994a) tests. The findings indicate that there is no fractional cointegration relationship between oil prices and sectoral index prices. We also repeat the same analysis by including dummy variables for February 2001 financial crisis and November 2008 Global crisis in the cointegrating regressions. In the context of structural breaks, the results show that there is no evidence of fractional cointegration relationship between oil prices and stock market index prices.

Keywords


Fractional Integration, Fractional Cointegration, Robinson Tests, Oil Prices, Sectoral Index Prices.

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