The relationship between energy prices and stock prices: A MARS analysis approach

Authors : Meltem Özdemir, Semra Bank

Pages : 97-112

Doi:10.30855/gjeb.2023.9.1.007

View : 8 | Download : 5

Publication Date : 2023-02-27

Article Type : Research

Abstract :Energy use can determine company strategies and investor decisions at the micro level while also determining national economic policies at the macro level. The importance of energy to the world economy has led many studies in the national and international literature to investigate the relationship between energy resources and stock prices. However, these studies have reached contradictory findings regarding the existence of such a relationship. In light of the contradictions in the national and international literature, this study re-examines the relationship between energy prices and stock prices using the multivariate adaptive regression splines (MARS) method over the eight Borsa Istanbul (BIST) manufacturing industry indices (XUSIN, XMANA, XMESY, XTAST, XTEKS, XGIDA, XKAGT, and XKMYA) in the period January 2010 – December 2019. The results show that oil prices have a significant effect on all index prices; however, natural gas and electricity prices have relatively different effect levels for each index.
Keywords : Pay fiyatları, enerji, MARS analizi.