کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
244449 | 501950 | 2011 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Volatility spillover from world oil spot markets to aggregate and electricity stock index returns in Turkey
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی انرژی
مهندسی انرژی و فناوری های برق
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This study examines the inter-temporal links between world oil prices, ISE 100 and ISE electricity index returns unadjusted and adjusted for market effects. The traditional approaches could not detect a causal relationship running from oil returns to any of the stock returns. However, when we examine the causality using Cheung–Ng approach we discover that world oil prices Granger cause electricity index and adjusted electricity index returns in variance, but not the aggregate market index returns. Hence, our results show that the Cheung–Ng procedure with the use of disaggregated stock index returns can uncover new information that went unnoticed with the traditional causality tests using aggregated market indices.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Energy - Volume 88, Issue 1, January 2011, Pages 354–360
Journal: Applied Energy - Volume 88, Issue 1, January 2011, Pages 354–360
نویسندگان
Ugur Soytas, Adil Oran,