The effect of oil and natural gas prices on stock yields of the companies in the energy sector: A study on companies in Turkey

In the study conducted to investigate the effect of oil and natural gas prices on the stock yield of companies operating in the energy sector, monthly data of 15 companies traded in Borsa Istanbul were used. In the study covering the period of 2013:06-2019:12, stock yield was the dependent variable, and Brent Oil and Natural Gas prices were included as independent variables in the model established. Industrial production index value, foreign currency (USD) rate and market interest rate are the control variables of the research. In the study in which Panel Time Series Analysis was applied, Fisher Extended Dickey Fuller (Fisher ADF) test was used for the stationarity of the series and Panel Granger Causality Analysis was performed. The model was estimated with the Panel VAR model, the Generalized Moments (GMM, Holtz-Eakin, Newey and Rosen) Estimator, and Panel VAR analysis was applied. As a result of the analysis made by Impulse Response Functions and Variance Decomposition Method, oil prices are effective on stock yield. There is a bidirectional causality between the two variables. There is no causality from natural gas prices to stock yield.