Abstract
Effect of Change in Energy Prices on Stock Prices: An Application on BIST Electricity Index
In this study, the relationship between the electricity index traded on Istanbul Stock
Exchange and energy prices are examined with Nonlinear Autoregressive Distributed
Lag Model (NARDL), which can include asymmetric relationships. As the data set,
quarterly data between March 2010 and March 2019 were used. BIST Electricity Index
(XELKT) was used as the dependent variable; electricity prices (EL), gas prices (GAS)
and brent oil prices (BR) were used as independent variables. According to the NARDL
limit test results, there is a negative and significant relationship between BIST Electricity
Index and gas prices in the long run. Relationship among BIST Electricity Index and
electricity prices and brent oil prices is not significant. According to the results of the
error correction model, almost all independent variables are correlated with BIST
Electricity Index contrary to the long run. In the short term, the relationship between
the BIST Electricity Index (XELKT), positive component of electricity prices (EL+) and
brent petrol prices (BR) is positive. In the short term, the relationship between BIST
Electricity Index (XELKT), negatif component of electricity prices (EL-) and naturel gas
prices (GAS) variables may be positive or negative depending on delays.
Keywords
BIST, Stock, Electricity Index, Nonlinear Autoregressive Distributed Lag Model, Energy Price
