Türkiye'deki Makroekonomik Verilerin Petrol Ve Doğalgaz Firmalarının Hisse Senetleri Getirileri Üzerine Etkisinin Arbitraj Fiyatlama Modeli İle Analizi

Abstract

Significance and effect of macroeconomic factors on the return of oil and natural gasshares in Turkey are investigated in the study. For this purpose, Arbitrage PricingModel has been applied by using monthly data for the term 2008:1-2012:09. Based onthe analysis results obtained from the Arbitrage Model; it was determined that there is apositive relationship between share certificates of the energy market in Turkey andIMKB price index, in addition there is a negative relationship between the natural gasprice and exchange rate. However, no statistically significant relationship wasdetermined between the interest rate, money supply, inflation, balance of trade and oilprice and share certificate returns. According to correlation coefficient, Oil price andgas price analyzed individually because of the high relation between these twovariables. In the first step we use two models for realizing the relation betweendependent variable and macro economic variables.