Gümüş, Gülüzar KurtDelice, Mehmet ErdemVardar, Gülin2023-06-162023-06-1620182619-94911309-2448https://doi.org/10.20409/berj.2018.104https://search.trdizin.gov.tr/yayin/detay/318533https://hdl.handle.net/20.500.14365/4056We analyze the dynamic relationship between daily Brent oil prices andselected sector index returns of Borsa İstanbul. To perform an elaborate analysis,because oil price fluctuations affect sectors differently, the sectoral index returns areclassified as oil-user, oil-related, oil-substitute, and financial. Employing Johansen andJuselius (1990) cointegrating technique, the long-run relationship is examined betweenthe oil price changes and sectoral stock returns. After the investigation of the causalrelationship between these two variables, Impulse Response Functions and VarianceDecomposition Analysis are used to evaluate how shocks to variables rebound througha system. Given that significant changes have occurred across capital marketsthroughout the period, it would appear to be worthwhile to investigate whether changesin interactions among oil prices and sectoral stock returns have occurred as a result. Thefindings indicate that; there is cointegration between returns of half of the sectoralindices analyzed and oil prices Granger causes sectoral index returns.eninfo:eu-repo/semantics/openAccessArticle10.20409/berj.2018.104