Impacts of Oil Price Shocks on Turkish Financial System around Global Financial Crisis; Evidence from Istanbul Stock Exchange

摘要

This paper investigates the impacts of oil price shocks on Turkish Stock Exchange around credit crunch period. We have identified the stocks that are related with energy business and ISE-100 index separately to capture the effects properly. The main methodology, conducted on daily crude oil prices and stock returns, is unrestricted VAR. Results show that positive oil price shocks have a negative and significant impact on ISE-100 with a lag of 2 days during the whole period. Moreover, stocks and ISE- 100 respond more significantly during post-crisis period when compared with pre-credit crunch sub- period.