Investigating the Impact of Energy Price Volatility on Borsa Istanbul Chemical Petroleum Plastic Index Returns#

Authors

  • Serkan Yilmaz Kandır Department of Business Administration, Faculty of Economics and Administrative Sciences, Cukurova University, Balcali, Adana, Türkiye
  • Gozde Elbir Mermer Institute of Social Sciences, Cukurova University, Balcali, Adana, Türkiye

DOI:

https://doi.org/10.32479/ijeep.19201

Keywords:

Volatility, Autoregressive Conditional Heteroscedasticity Models, Coal Prices, Electricity Prices, Index Return

Abstract

The study aims to investigate the impact of coal and electricity price volatility on Borsa Istanbul (BIST) chemical petroleum plastic index (CPPI) return. Sample of the study spans from August 2009 to December 2020. In this study, volatility in electricity and coal prices are modeled with autoregressive conditional heteroscedasticity models. In the regression model including the BIST CPPI return, it is investigated whether the electricity and coal price volatility coefficients are statistically significant. When we examine the models showing the impact of electricity and coal volatility on BIST CPPI return, we conclude that the electricity and coal price volatility coefficients are statistically insignificant.

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Published

2025-04-21

How to Cite

Kandır, S. Y., & Mermer, G. E. (2025). Investigating the Impact of Energy Price Volatility on Borsa Istanbul Chemical Petroleum Plastic Index Returns#. International Journal of Energy Economics and Policy, 15(3), 37–46. https://doi.org/10.32479/ijeep.19201

Issue

Vol. 15 No. 3 (2025)

Section

Articles

License

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