This study analyzes oil price exposure of the oil-gas sector stock returns for the fragile five countries based on a multi-factor asset pricing model using daily data from 29 May 1996 to 27 January 2020. The endogenous structural break test suggests the presence of serious parameter...

This paper analyses the effects of oil prices and exchange rates on sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. After estimating a benchmark linear model, the possible presence of structural breaks is investigated using the Bai and Perron...

This paper analyses the effects of oil prices and exchange rates on sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. After estimating a benchmark linear model, the possible presence of structural breaks is investigated using the Bai and Perron...

This paper aims to analyze the time-varying relationship among electricity, fossil fuel prices and exchange rate in Turkey based on quarterly data for the period 1988Q1 and 2016Q1. The time-varying responses imply that impact of fossil fuel prices and exchange rate on the electricity prices...

This article examines the relationship between crude oil and fuel prices in Turkey by using monthly data covering the period January 1987 and October 2013. Asymmetric cointegration tests and regime-dependent responses and variance decompositions derived from the TVAR models confirm the asymmetry...