SEÇİLİ RİSK VE BELİRSİZLİK ENDEKSLERİ İLE GELİŞMEKTE OLAN ÜLKE BORSALARI ARASİNDAKİ İLİŞKİLER: EKONOMETRİK BİR UYGULAMA
Author :
Abstract
Küresel dünyada menkul kıymet piyasalarının gelecekteki hareketlerinin tahmin edilmesinde pek çok sayıda çeşitli risk ve belirsizlik endeksleri gösterge olarak kullanılmaktadır. Bu çalışmanın amacı, EPU, FSI ve GPR'den oluşan seçilmiş risk ve belirsizlik endeksleri ile BIST 100, JTOPI, MOEX ve NIFTY 50’den oluşan gelişen borsalar arasındaki uzun dönemli eşbütünleşme ve nedensellik ilişkilerini belirlemektir. Çalışmada 01.01.2003-01.08.2019 dönemi için aylık logaritmik veriler kullanılmıştır. Değişkenler arasındaki ilişkilerin analizinde, bağımlı değişkenler birinci farka I(1) durağan olduğu için, ARDL sınır testi ve nedensellik testi Toda-Yamamoto uygulanmıştır. Sonuç olarak, LnBİST 100, LnJTOPİ ve LnNIFTY50 ile EPU, FSİ ve GPR seçili endeksleri arasında uzun dönemli eşbütünleşme ve LNGPRsaf’dan LNJTOPİ’ye doğru, teorik beklentiye uygun olarak, tek ve LNGPRrus ile LNMOEX ve LNEPUind ile LNNİFTY50 arasında çift yönlü nedensellik ilişkisi tespit edilmiştir. Bu çalışmanın sonuçları, borsa yatırımcılarına, politika uygulayıcılarına ve ilgili taraflara önemli bilgiler sunmaktadır.
Keywords
Abstract
Many various risk and uncertainty indices are used as indicators for the prediction of the future movements of the securities markets in the global world. The aim of this study is to determine the relationships between selected risk and uncertainty indices consisting of EPU, FSI, and GPR and emerging stock exchanges consisting of BIST 100, JTOPI, MOEX, and NIFTY 50. In the study, monthly logarithmic data were used for the period from 01.01.2003 to 01.08.2019. In the analysis of the relations between the variables, because the dependent variables have stationarity in first difference I (1), ARDL bounds test and the causality test Toda-Yamamoto causality test were used. As a result, long-term cointegrations between LnBIST 100, LnJTOPI and LnNIFTY50 and selected indices EPU, FSI and GPR were determined. Also, a unidirectional causal relationship from LNGPRsaf to LNJTOPI, in accordance with the theoretical expectation, and bidirectional causality between LNGPRrus and LNMOEX, and LNEPUind and LNNIFTY50 were determined. The results of the study provide important information to stock market investors, policy practitioners and interested sides.
Keywords
- Abel, A. B. (1983). Optimal investment under uncertainty. The American Economic Review, 73(1), 228–233.
- Akdağ, S., Yıldırım, H. & Kesebir, M. (2018). Jeopolitik risk ile borsa endeksleri arasındaki ilişki: Panel eşbütünleşme ve panel nedensellik analizi. Siyasi, Sosyal ve Kültürel Yönleriyle Türkiye ve Rusya, ed. İnanır, E., Köse, O. & Ulutürk, Y. Ankara: Berikan Yayınevi, 59-74.
- Akkuş, H. T. ve Sakarya, Ş. (2018). “Bist-100 ve BBist sektör endeksleri ile VIX endeksi arasindaki ilişkisinin analizi” Balıkesir University The Journal of Social Sciences Institute 351 Volume: 21- Issue: 40, December 2018.
- Al-Thaqeb, S. S and B. G. Algharabali, (2019). Economic policy uncertainty: A literature review. The Journal of Economic Asymmetries 20 (2019) e00133.
- Antonakakis, N.; I. Chatziantoniou; and G. Filis. (2013). “Dynamic Co-Movements Between Stock Market Returns and Policy Uncertainty.” Economics Letters 120, no. 1: 87–92.
- Apergis, N., Bonato, M., Gupta, R., & Kyei, C. (2018). Does geopolitical risks predict stock returns and volatility of leading defense companies? Evidence from a nonparametric approach. Defence and Peace Economics, 29(6), 684-696.
- Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. Quarterly Journal of Economics, 131(4), 1593–1636.
- Balcilar, M., Bonato, M., Demirer, R., & Gupta, R. (2018). Geopolitical risks and stock market dynamics of the BRICS. Economic Systems, 42(2), 295-306.
- Bayar, Y., & Aytemiz, L. (2015). Economic Policy Uncertainty and Stock Market Returns in Selected Eurozone Countries. Journal of Applied Economic Sciences, 31, 152-158.
- Bhagat, S., Ghosh, P., and Rangan, S.P., (2013). Economic Policy Uncertainty and Economic Growth in India, Research Paper No. 407. Indian Institute of Management (IIM), Bangalore, India.
- Bouras, C., Christou, C., Gupta, R., & Suleman, T. (2019). Geopolitical risks, returns, and volatility in emerging stock markets: Evidence from a panel GARCH model. Emerging Markets Finance and Trade, 55(8), 1841-1856.
- Bouri, E., Demirer, R., Gupta, R., & Marfatia, H. A. (2019). Geopolitical risks and movements in Islamic bond and equity markets: A note. Defence and Peace Economics, 30(3), 367
- Brogaard, J., and A. Detzel. (2013). “The Asset Pricing Implications of Government Economic Policy Uncertainty.” Working paper series.
- Carlson, M. A. K. F. Lewis, and W. R. Nelson. (2014). “Using Policy Intervention to Identify Financial Stress.” International Journal of Finance and Economics 19, no. 1 (2014, January): 59-72.
- Carney, M. (2016). “Uncertainty, the economy and policy," Bank of England.
- Chen, J., Jiang, F., & Tong, G. (2017). Economic policy uncertainty in China and stock market expected returns. Accounting& Finance, 57(5), 1265-1286.
- Chiang, T. C. (2019). Empirical Analysis of Economic Policy Uncertaint and Stock Returns in Asian Markets (pp.63-87), (ed. Lee and Yu) In: Advances in Pacific Basin Business, Economics and Finance, UK: Emerald Publishing Ltd.
- Dikmen, N. (2012). Ekonometri: Temel Kavramlar ve Uygulamalar. Bursa: DoraYayıncılık.
- Donadelli, M. (2015). Asian stock markets, US economic policy uncertainty and US macro- shocks. New Zealand Economic Papers, 49(2), 103-133.
- Engle, R. F. ve Granger, C. W. J. (1987). Co-integration and Error Correction:Representation, Estimation and Testing. Econometrica, 55 (2), 251-276.
- Federal Open Market Committee, 2009. Minutes of the December 2009 Meeting, http://www.federalreserve.gov/monetarypolicy/fomcminutes20091216.htm.
- Flint, C. (2016). Introduction to geopolitics. Routledge.
- Grimaldi, M. B. (2010). “Detecting and Interpreting Financial Stress in the Euro Area.” ECB Working Paper Series No. 1214, Frankfurt: European Central Bank, June 2010.
- Grimaldi, M. B. (2011). “Up for Count? Central Bank Words and Financial Stress.” Sveriges Riksbank Working Paper Series No. 252, Stockholm: Sveriges Riksbank, April 2011.
- Gujarati, D. (2015). Örneklerle Ekonometri (N. Bolatoğlu, Çev.). Ankara: BB101 Yayınları.
- Gürsoy, S. (2020). “Investigation of The Relationship Between VIX Index and BRICS Countries Stock Markets: An Econometric Application.” MAKÜ-Uyg. Bil. Derg., 4(2), 397-413, 2020
- Hakkio, C. and W. R. Keeton. (2009). “Financial stress: What is it, how can it be measured, and why does it matter?” Federal Reserve Bank of Kansas City Economic Review, Second Quarter 2009.
- Hatzius, J. P. Hooper, F. S. Mishkin, K. L. Schoenholtz, M. W. Watson. (2010). “Financial Conditions Indexes: A Fresh Look After the Financial Crisis.” NBER Working Paper 16150, Cambridge: National Bureau of Economic Research, July 2010.
- Hu, Z., Kutan, A. M., & Sun, P. W. (2018). Is US economic policy uncertainty priced in China's A-shares market? Evidence frommarket, industry, and individual stocks. International Review of Financial Analysis, 57, 207-220.
- İltas, Y., Arslan, H., & Kayhan, T. (2017). The stock return predictability: Comparing P/E and EV/Ebitda. Journal of Economics, Finance and Accounting, 4(3), 262-274.
- Jeon, J. H. (2019). Uncertainty and manufacturing stock market in Korea. J. of Industrial Distribution & Business, 10(1), 29-37.
- Johansen, S. (1988). Statistical Analysis of Cointegrating Vectors. Journal of Economic Dynamics and Control, 12 (2-3), 231-254.
- International Monetary Fund, 2012. “World Economic Outlook: Coping with High Debt and Sluggish Growth,” October, IMF Press.
- International Monetary Fund, (2013). “World Economic Outlook: Hopes, Realities, Risks,” April, IMF Press.
- Kliesen, K. L. M. T. Owyang, and E. K. Vermann. (2012). “Disentangling Diverse Measures: A Survey of Financial Stress Indexes.” Federal Reserve Bank of St. Louis Review 94, no. 5 (September/October 2012): 369-97.
- Korkmaz, Ö., & Güngör, S. (2018). Küresel ekonomi politika belirsizliğinin borsa istanbul’da işlem gören seçilmiş endeks getirileri üzerindeki etkisi. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 6(ICEESS’18), 211-219.
- Ko, J. H., & Lee, C.M. (2015). International economic policy uncertainty and stock prices: Wavelet approach. Economics Letters, 134, 118–122.
- Li, X. M., Zhang, B., & Gao, R. (2015). Economic policy uncertainty shocks and stock–bond correlations: Evidence from the US market. Economics Letters, 132, 91-96.
- Louzis, D. P. and A. T. Vouldis. (2013). “A Financial Systemic Stress Index for Greece.” ECB Working Paper No 1563, Frankfurt: European Central Bank, July 2013.
- Monin, P. (2017). “The OFR Financial Stress Index.” OFR Working Paper. 17-04.
- Pan, W. F. (2018). Stock markets, booms, and geopolitical risk: Evidence from emerging markets. SSRN Electronic Journal, https://ssrn.com/abstract=3222468.
- Pástor, L., and P. Veronesi. (2012). “Uncertainty About Government Policy and Stock Prices.” Journal of Finance 67, no. 4:1219–1264.
- Pástor, L., and P. Veronesi. (2013). “Political uncertainty and risk premia.” Journal of Financial Economics 110, no. 3: 520–545.
- Pesaran, M. H., Shin, Y., ve Smith, R. J. (2001). “Bounds Testing Approaches to the Analysis of Level Relationships.” Journal of Applied Econometrics, 16(3):289–326.
- Phillips, P. C. B. ve Ouliaris, S. (1990). Asymptotic Properties of Residual Based Tests for Cointegration. Econometrica, 58 (1), 165-193.
- Polat, M., and Gemici, E., (2017). Analysis of the relationship between BIST and BRICS stocks in terms of portfolio diversification: cointegration analysis with ARDL boundary test. Journal of Economics, Finance and Accounting (JEFA), V.4, Iss.4, p.393-404.
- Sandahl, J. F. M. Holmfeldt, A. Ryden, and M. Stromqvist. (2011). “An Index of Financial Stress for Sweden.” Sveriges Riksbank Economic Review, July 10, 2011. No 2, p 49-67.
- Sum, V. (2012a). “The Impulse Response Functions of Stock Market Returns to Economic Policy Uncertainty.” International Review of Applied Financial Issues and Economics (forthcoming).
- Sum, V. (2012b). “Economic Policy Uncertainty and Stock Market Performance: Evidence from the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine.” Journal of Money, Investment and Banking 25: 99–104.
- Sum, V. (2012c). “The Reaction of Stock Markets in BRIC Countries to Economic Policy Uncertainty in the United States” Working paper series (available at http://ssrn.com/abstract=2094697).
- Tarı, R. (2014). Ekonometri. Kocaeli: Umuttepe Yayınları.
- Tiryaki, H. N. and Tiryaki, A. (2019). “Determinants of Turkish Stock Returns under the Impact of Economic Policy Uncertainty.” International Journal of Economic and Administrative Studies, (22):147-162.
- Toda, H. Y. & Yamamoto, T. (1995). Statistical inference in vector auto regressions with possibly integrated processes. Journal of Econometrics, (66), 225-250.
- Wu, T. P., Liu, S. B., & Hsueh, S. J. (2016). The causal relationship between economic policy uncertainty and stock market: a panel data analysis. International Economic Journal, 30(1), 109-122.
- Yavuz, N. Ç. (2006) Türkiye’de turizm gelirlerinin ekonomik büyümeye etkisinin testi: Yapısal kırılma ve nedensellik analizi. Doğuş Üniversitesi Dergisi, 7(2), 162-171.
