Düşük volatilite ve yüksek volatilite rejimleri altında petrol fiyatı şokları ve gelişen piyasalarda hisse senedi getirileri

This study examines the relations of oil price shocks and stock returns of emerging markets in Brazil, China, Chile, Jordan, India, Mexico, South Africa, Taiwan and Turkey under the low volatility and high volatility regimes. Monthly data was used for the period of January 1997- April 2017 in the study. Markov Switching (MS) model was employed to examine the impact of crude oil prices on stock returns. Crude oil price shocks seem to have a significant impact on the emerging stock market returns. For oil-exporting markets, oil price increases have a more significant impact on stock market returns than an oil price decreases in general. On the other hand, for most oil-importing countries, both increases and decreases of crude oil prices have a null or minimal impact on stock returns in the low volatility regime. However, both increases and decreases of crude oil prices have a significant and negative impact on stock returns in the high volatility regime for most oil-importing countries