EXAMINING THE RELATIONSHIP BETWEEN THE GLOBAL COMMODITY PRICES AND STOCK RETURNS: AN APPLICATION TO KARDEMIR AND IZDEMIR

The relationship between global commodity prices and stock markets has been examined by a number of studies in the literature. the purpose of this study is to test the effects of the volatility of global commodity prices on the stock returns. for this purpose, steel price changes and stock prices of companies in bist basic metals indices were analyzed with cointegration, vector error correction and causality tests in the period of 1999:01-2012:06. in the study with rebar and wire rod prices kardemir(d) and izdemir(b) stock return indices are used. as a result of this study it has been determined that there is a long-term cointegration relationship between iron and steel prices and stock returns, but found there is no causality relationship between them.