The relation between crude oil prices and financial market indicators: a copula approach

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Tezin Türü: Yüksek Lisans

Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, Uygulamalı Matematik Enstitüsü, Aktüerya Bilimleri Anabilim Dalı, Türkiye

Tezin Onay Tarihi: 2014

Tezin Dili: İngilizce

Öğrenci: DERYA EZGİ ÖZTÜRK

Asıl Danışman (Eş Danışmanlı Tezler İçin): Sevtap Ayşe Kestel

Eş Danışman: Coşkun Küçüközmen

Özet:

Oil prices have far reaching effects on the economy and financial markets since oil market is one of the most important markets in the world due to its crucial role of oil within economic activity. Although most of the economies are expected to be affected by the changes of oil prices, the magnitude of the effects may change from country to country. Oil-export/import dependent countries are expected to be more open to impacts arousing from changes in oil prices. Turkey, as a heavily oil importing country, is also expected to be affected by the changes in oil prices substantially. This study aims to explore the dependence structure between crude oil prices and exchange rates and stock market indices of several countries as well as Turkish financial market indicators in a detailed context using Copula approach. By covering a broad time period, the study aims to investigate the effect of global financial crisis on the mentioned dependence structure. Also, the study includes 1 to 30 days analysis to capture the variation of dependence day by day. For serving these aims, the time series data methods are used to filter the data and several copula measures are used to illustrate the level of the association. Findings of the study are expected to have important implications for portfolio management and financial risk management as well as monetary and fiscal policies.