Enerji Fiyatlarının Borsa ile Etkileşimi.

The discount rate used in determining the price of stocks is a function of macroeconomic variables. It is expected that the indirect effect of energy prices through its effect on economic activities and its direct effect, as it is the main cost input of enterprises, will cause an effect on stock prices. In this study, the effect of energy prices on selected stock market indices between 2011 and 2020 was investigated. While investigating this effect, Johensen-Juselius cointegration test, Granger causality test and variance decomposition model based on VAR model were used. In the analyzes made, a long-term relationship was found in the models established as a result of the J-J cointegration test, while in the Granger causality analysis, only the causality relationship from natural gas to BIST-ELECTRIC and from petroleum to BIST-ELECTRIC was determined. In the variance decomposition model, the effect of oil and natural gas is negligible in the BIST-100, BISTELEKTRIC and BIST-SINAI indices; At the end of the 30-day period in the BIST-TUM index, 93.9% is affected by its own shocks, 4.78% is affected by the shock caused by petroleum and 1.23% is affected by the shock caused by natural gas. In summary, it has been determined that stock market indices are affected by energy prices, but this effect is very small. It is thought that other macroeconomic variables are more effective in stock market indices. [ABSTRACT FROM AUTHOR]