Investigation the relationship between energy prices and Borsa İstanbul sub-indices

Oil and natural gas, which are the most used energy sources, affect financial markets and macroeconomic indicators since they are used as raw materials in many areas. Therefore Turkey, as an energy importing and developing country, may be affected adversely because of increases in energy prices. The aim of this study is to examine the long-run and short-run relationships between energy prices (oil and natural gas) and 19 sub-indices in Borsa Istanbul using daily data between 01.01.2007 and 31.10.2017. In this study, which is used ADF (Augmented Dickey Fuller), PP (Phillips-Perron) unit root tests, Johansen cointegration, VAR (Vector Autoregression), Granger causality tests and impulse-response functions, a long-run relationship between energy prices and Borsa Istanbul sub- indices could not be found. In the short term, there is a relationship between natural gas prices with Banks, Bist 30, Bist 50, Financials, Bist All Shares, Transportation indices and oil prices with Food Beverage, Chemical Petrol Plastic, Industrials, Investment Trusts indices. Besides, according to the Granger causality test results, oil prices Granger cause natural gas prices, Chemical Petrol Plastic and Food Beverage indices and natural gas prices Granger cause Bist 30.