Enerji Fiyat Değişimleri İle Borsa Endeksleri Arasındaki İlişki: OECD Ülkeleri Üzerine Bir Uygulama

Since the early ages, energy has been at the forefront of humankind’s indispensable and fundamental sources. Energy is not only the main resource for the growth and development of the country's economies and businesses but also it is the main cost element. Because of its importance, the relationships between energy and businesses, capital markets and country economies are vital. The aim of this study is to show the relationship between energy price changes and the stock market indices of OECD member countries. In the study, a panel data set was prepared by using the quarterly data of 25 OECD member countries for the period of 2005-2017. The results of the Multiple Structural Break Cointegration has shown that long term cointegration relations exist between electricity, natural gas and oil price indices and OECD member countries’ stock market indices, that is energy variables and stock market indexes have been seen to move together. According to the results of the causality analysis; ıt has seen that there is a causality relation from stock market variable to oil prices, from natural gas to stock market variable, and there is no causality relation between electricity prices and stock market exchange.