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Stock Returns, Crude Oil and Gold Prices in Turkey: Evidence from Rolling Window-Based Nonparametric Quantile Causality Test

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Abstract

This study explores the time-varying effects of crude oil prices (OP) and gold prices (GP) on the Turkish stock market using a weekly data series from November 26, 1989 to July 10, 2022. For this purpose, we develop a new hybrid technique, the rolling window-based nonparametric quantile causality test, which allows the investigation of time-varying causality at various quantiles. The results reveal that (i) under all market conditions, there is time-varying causality from crude OP and GP to Turkish stock market returns (SMR) and volatility. (ii) The causal effects of both crude OP and GP on stock market volatility are larger than their causal effects on SMR. (iii) The crude OP have a greater impact on SMR than the GP, while the GP has a greater impact on stock market volatility than the crude OP. (iv) Both crude OP and GP have the strongest (least) causal impact on SMR and volatility under normal (bullish) market conditions. (v) Crude OP and GP have a greater impact on stock market volatility than on stock returns under all market conditions. Overall, our results highlight that OP and GP have a strong impact on the Turkish stock market, and this impact varies by returns and volatility. Therefore, financial investors should consider the volatility of crude OP and GP in the Turkish stock market.

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Data Availability

The datasets used and/or analyzed during the current study are available from the corresponding author on a reasonable request.

Code Availability

The code conducted during the current study are available from the corresponding author on a reasonable request.

Notes

  1. For detailed information, see Balcilar et al., (2018; 2021a).

  2. Following the work of Jeong et al. (2012), it was confirmed that the rescale statistic is asymptotically distributed as standard normal.

  3. Since a two-sided test is implemented with the critical region given as \(T{h}^{p}\frac{{\widehat{J}}_{T}}{{\widehat{\sigma }}_{o}}>{z}_{\alpha /2}\), the significance level used for this study is 10%.

  4. The rolling windows approach is employed as it detects inconsistencies as a result of structural changes across different sub-samples (or windows).

  5. We utilize the rolling windows approach based on fixed-size windows rolling sequentially throughout the whole sample.

  6. The authors implemented these tests at 1%, 5%, and 10%. However, only results at 10% are reported for the purpose of brevity.

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Authors and Affiliations

  1. Faculty of Economics and Administrative Sciences, Department of Economics, Osmaniye Korkut Ata University, 80000, Merkez/Osmaniye, Turkey

    Ugur Korkut Pata

  2. Adnan Kassar School of Business, Lebanese American University, Beirut, Lebanon

    Ugur Korkut Pata

  3. Istanbul Ticaret University, Istanbul, Turkey

    Ojonugwa Usman & Godwin Olasehinde-Williams

  4. Department of Business Administration, Faculty of Economics and Administrative Sciences, Tokat Gaziosmanpasa University, Tokat, Turkey

    Oktay Ozkan

  5. Clinic of Economics, Azerbaijan State University of Economics (UNEC), Baku, AZ 1001, Azerbaijan

    Ugur Korkut Pata

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  1. Ugur Korkut Pata
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Appendix

Appendix

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Table 4 Unit root tests results
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Pata, U.K., Usman, O., Olasehinde-Williams, G. et al. Stock Returns, Crude Oil and Gold Prices in Turkey: Evidence from Rolling Window-Based Nonparametric Quantile Causality Test. Asia-Pac Financ Markets (2023). https://doi.org/10.1007/s10690-023-09430-x

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