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Abstract


The Analysis of the Causality Relationship Between Stock Prices, Gold Prices and Crude Oil Prices
The aim of this study is to analyze the relationship between stock prices, gold and crude oil prices in 2003:01 and 2018:06 periods. The stability of the variables was analyzed by a structural break (Zivot-Andrews) unit root test. Whether or not there is a long-term relationship between the variables was investigated by the Gregory-Hansen structural fracture cointegration test. The causality relationship between the variables was examined by the Hatemi-J (2012)Asymmetric Causality test and Balcılar and others (2010) a Boostrap Rolling Window Test. In the Hatemi-J Asymmetric Causality test, it is seen that there is a causality from negative shocks in oil prices to stock prices positive shocks. It is seen that there is a causality from stock prices positive shocks towards positive shocks in petroleum. Again, there is a causality from the stock prices negative shocks towards negative shocks in oil. Finally, there are causality from stock prices negative shocks to positive shocks in petroleum. In addition, stock prices negative shocks were found to have a causality towards negative shocks.

Keywords
Stock Prices, Gold Prices, Oil Prices, Financial Investment Tools, Cointegration Test, Causality Tes


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