Econometric analysis of the effect of international agricultural commodty prices on the stock market: An application on Turkey

The basic source of nutrition for billions of people in the world is agricultural products. Agricultural products are also used as raw materials and semi-finished products for some industries. In addition to this important role of the agricultural industry, it provides an important employment area around the world. The increase in the world population, global warming, depletion of water resources, and decrease in arable land bring along security problems on national and international grounds. The possible imbalances in agricultural supply and demand in the global sense can increase the prices of agricultural products. In this respect, international prices of agricultural products, which are called the strategic products of the future, have the potential to have important consequences on economic and financial indicators. Identifying and examining the factors that may have an impact on the stock markets and determining the relationship between them is a very important issue for market participants. In this direction, the aim of the study can be expressed as the examination of the effect of international agricultural commodity prices on the stock market index. In the study, the BIST100 price index variable was used as the dependent variable and was obtained from the official website of the Central Bank of the Republic of Turkey. The independent variables are the international prices of meat, logs, rice, rubber, sugar, tea, wheat and soybean oil, compiled from the official website of the World Bank. The data are annual and cover the period 1986-2019. As a result of the analyzes made within the framework of the ARDL Boundary test, it can be said that there is a long-term equilibrium connection between the BIST100 index and the international prices of meat, logs, rice, rubber, sugar, tea, wheat and soybean oil. The increase in the international prices of rice, rubber and soybean oil creates a statistically significant increase in the BIST 100 index. Moreover the increase in the international prices of sugar, tea and wheat causes a statistically significant decrease in the BIST 100 index. Although meat prices have a negative effect, timber prices have a positive effect on the stock market index, these findings are not statistically significant.