Analysis of the Effect of Oil Price Changes on the BIST Index Returns

As oil is the most important energy source, it is important for all countries in the world. Oil reserves in the world are not evenly distributed, the remaining countries import oil, while a few countries are major oil exporters. Therefore, both oil exporters and oil importers countries have to deal with oil prices closely. For Turkey which imports more than 90% of its oil needs, being investigated the effect of changes in oil prices on the stock market is extremely important for investors and policymakers. In this study, the effects of the changes in oil prices on the BIST 100 national index and the yields of three sectoral indices (XULAS, XKMYA and XUSIN) closely related to oil were investigated. The study includes monthly datas from May 2001 - April 2017. The relationship was analyzed in terms of impact-response functions and variance decomposition based on the VAR method. According to findings, the effect of changes in oil prices depends on the sectors. Keywords: Oil Prices, ISE100, Stock Returns, VAR analysis Jel Codes: F30, F65, G12, G1