Research Article
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STRESS EFFECT ON FINANCIAL MARKETS: AN APPLICATION ON SECTOR STOCKS

Year 2024, Issue: 61, 257 - 268, 22.03.2024

Nazlıgül Gülcan Namıka Boyacıoğlu Arife Özdemir Höl

https://doi.org/10.30794/pausbed.1384474

Abstract

Financial stress, defined as a situation where the financial system is under pressure and disruptions occur in the normal functioning of financial markets, adversely affects markets through various channels, leading to the emergence of uncertainty and a slowdown in economic activity. This study investigates the impact of financial stress on the Istanbul Stock Exchange sector stock market. As part of the research, the Financial Stress Index has been considered as the indicator of financial stress, while the Istanbul Stock Exchange sector stock market includes the Istanbul Stock Exchange Banks, Electricity, Financials, Service, Holdings&Investments, Chemical, Petroleum&Plastic, Leasing and Factoring, Securities Investment Trusts, Primary Metal, Non-Metallic Minerals, Metal Products&Machinery, Wood, Paper&Printing, Industrial, Insurance, Textile&Leather, Wholesale&Retail Trade, Tourism, Transportation, Food&Beverage indices, in addition to the Istanbul Stock Exchange 100 Index. The dataset consists of monthly/closing data for the period March 1997-September 2022. According to the causality test results of Fourier Toda-Yamamoto (2016), a causality relationship has been found from financial stress towards the Istanbul Stock Exchange 100, Banks, Financials, Holdings&Investments, Chemical, Petroleum&Plastic, Securities Investment Trusts, Primary Metals, Non-Metallic Minerals, Metal Products&Machinery, Wood, Paper&Printing, Insurance, Textile&Leather, Wholesale&Retail Trade, and Tourism indices.

Keywords

Financial Stress Sector Stock Prices Fourier Toda-Yamamoto

Project Number

-

References

  • Aboura, S. ve Van Roye, B. (2017). “Financial Stress and Economic Dynamics: The Case of France”, International Economics, 149, 57-73. https://doi.org/10.1016/j.inteco.2016.11.001
  • Adanur Aklan, N., Çınar, M. ve Kanalıcı Akay, H. (2015). “Financial Stress and Economic Activity Relationship in Turkey: Post-2002 Period”, Yönetim ve Ekonomi, 22(2), 567-580.
  • Alsu, E. (2020). “Finansal Stres İndeksi ile Doğrudan Yabancı Yatırımlar, Portföy Yatırımları ve Dış Borç Stoku Arasındaki İlişki: ARDL Sınır Testi”, ETÜ Sentez İktisadi ve İdari Bilimler Dergisi, 1, 29-44. https://doi.org/10.47358/sentez.2020.2
  • Balakrishnan, R., Danninger, S., Elekdag, S. ve Tytell, I. (2009). “The Transmission of Financial Stress from Advanced to Emerging Economies”, IMF Working Paper, WP/09/133, 1-53.
  • Becker, R., Enders, W. ve Lee, J. (2006). “A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks”, Journal of Time Series Analysis, 27(3), 381-409.
  • Bülbül, H. ve Akgül, I. (2018). “Türkiye Finansal Stres Endeksi ve Markov Rejim Değişim Modeli ile Yüksek Stres Dönemlerinin Belirlenmesi”, Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 13(3), 125-140.
  • Cardarelli, R., Elekdag, S. ve Lall, S. (2011). “Financial Stress and Economic Contractions. Journal of Financial Stability”, 7, 78-97. https://doi.org/10.1016/j.jfs.2010.01.005
  • Cevik, E. I., Dibooglu, S. ve Kenc, T. (2013). “Measuring Financial Stress in Turkey. Journal of Policy Modeling”, 35(2), 370-383. https://doi.org/10.1016/j.jpolmod.2012.06.003
  • Dahalan, J., Abdullah, H. B. ve Umar, M. (2016). “Measuring Financial Stress Index for Malaysian Economy”, International Journal of Economics and Financial Issues, 6(3), 942-947.
  • Das, D., Kannadhasan, M. ve Bhattacharyya, M. (2019). “Do the Emerging Stock Markets React to International Economic Policy Uncertainty, Geopolitical Risk and Financial Stress Alike?”, North American Journal of Economics and Finance, 48, 1-19. https://doi.org/10.1016/j.najef.2019.01.008
  • Duprey, T., Klaus, B. ve Peltonen, T. (2017). “Dating Systemic Financial Stress Episodes in the EU Countries”, Journal of Financial Stability, 32, 30-56. http://dx.doi.org/10.1016/j.jfs.2017.07.004
  • Ekinci, A. (2013). “Financial Stress Index for Turkey”, Doğuş Üniversitesi Dergisi, 14(2), 213-229.
  • Elekdağ, S., Kanlı, İ. B., Samancıoğlu, Z. ve Sarıkaya, Ç. (2010). “Finansal Stres ve İktisadi Faaliyet”, Central Bank Review, 10(2), 1-8. http://www.tcmb.gov.tr/research/review
  • Ertuğrul, M. (2021). “Finansal Stresin Muhasebe Verilerinin Değer İlişkisine Etkisi”, Muhasebe Bilim Dünyası Dergisi, 23(1), 22-47. https://doi.org/10.31460/mbdd.723794
  • Federal Reserve Bank of St. Louis. (2022). St. Louis Fed Financial Stress Index, https://fred.stlouisfed.org/series/STLFSI2, Erişim Tarihi: 10.10.2022.
  • Federal Reserve Bank of St. Louis. (2024). St. Louis Fed Financial Stress Index [STLFSI4], https://fred.stlouisfed.org/series/STLFSI4, Erişim Tarihi: 19.02.2024.
  • Ferrer, R., Jammazi, R., Bolós, V. J. ve Benítez, R. (2018). “Interactions between Financial Stress and Economic Activity for the US: A Time-and Frequency-varying Analysis Using Wavelets”, Physica A: Statistical Mechanics and its Applications, 492, 446-462. https://doi.org/10.1016/j.physa.2017.10.044
  • Gujarati, D. N. (2003). Basic Econometrics (4. Baskı). McGraw-Hill, New York.
  • Hakkio, C. S. ve Keeton, W. R. (2009). “Financial Stress: What Is It, How Can It Be Measured, and Why Does It Matter”, Economic Review, 94(2), 5-50.
  • Illing, M. ve Liu, Y. (2006). “Measuring Financial Stress in a Developed Country: An Application to Canada”, Journal of Financial Stability, 2(3), 243-265. https://doi.org/10.1016/j.jfs.2006.06.002
  • Investing.com, https://tr.investing.com/ (Erişim Tarihi: 10.10.2022).
  • Ishrakieh, L. M., Dagher, L. ve El Hariri, S. (2020). “A Financial Stress Index for a Highly Dollarized Developing Country: The Case of Lebanon”, Central Bank Review, 20, 43-52. https://doi.org/10.1016/j.cbrev.2020.02.004
  • Kaya, E. ve Kılınç, A. (2016). “Türkiye için Finansal Sıkıntı Endeksinin Ölçümü ve Finansal Sıkıntı Endeksinin Reel Ekonomik Faaliyetler ile İlişkisi”, Uluslararası Yönetim İktisat ve İşletme Dergisi, ICAFR 16 Özel Sayısı, 402-413.
  • Kliesen, K. L. ve Smith, D. C. (2010). Measuring Financial Market Stress. Economic Synopses, Federal Reserve Bank of St. Louis.
  • Kremer, M. (2016). Macroeconomic Effects of Financial Stress and the Role of Monetary Policy: A VAR Analysis for the Euro Area”, International Economics and Economic Policy, 13(1), 105-138. https://doi.org/10.1007/s10368-015-0325-z
  • MacDonald, R., Sogiakas, V. ve Tsopanakis, A. (2018). “Volatility Co-movements and Spillover Effects within the Eurozone Economies: A Multivariate GARCH Approach Using the Financial Stress Index”, Journal of International Financial Markets, Institutions&Money, 52, 17-36. https://doi.org/10.1016/j.intfin.2017.09.003
  • MacDonald, J. (2019). Financial Market Stress: Measuring Spillover Effects Across Countries (Doctoral Dissertation, Bates College).
  • Magkonis, G. ve Tsopanakis, A. (2016). “The Financial and Fiscal Stress Interconnectedness: The Case of G5 Economies”, International Review of Financial Analysis, 46, 62-69. http://dx.doi.org/10.1016/j.irfa.2016.03.019
  • Monin, P. J. (2019). The OFR Financial Stress Index. Risks, 7(1), 25, 1-21. https://doi.org/10.3390/risks7010025
  • Nazlioglu, S., Gormus, A. ve Soytas, U. (2016). “Oil Prices and Real Estate Investment Trusts (REİTs): Gradual-shift Causality and Volatility Transmission Analysis”, Energy Economics, 60, 168-175.
  • Polat, O. (2021). “Petrol Fiyat Şokları ve Finansal Stres Arasındaki Zaman-Değişimli İlişki: AB Bölgesi için TVP-VAR Analizi”, Finansal Araştırmalar ve Çalışmalar Dergisi, 13(25), 689-702. https://doi.org/10.14784/marufacd.976465
  • Ranjbar, O., Chang, T., Elmi, Z. M. ve Lee, C. C. (2018). “A New Unit Root Test Against Asymmetric ESTAR Nonlinearity with Smooth Breaks”, Iranian Economic Review, 22(1), 51-62. https://doi.org/10.22059/IER.2018.65349
  • Reboredo, J. C. ve Uddin, G. S. (2016). “Do Financial Stress and Policy Uncertainty Have an Impact on the Energy and Metals Markets? A Quantile Regression Approach”, International Review of Economics and Finance, 43, 284-298. http://dx.doi.org/10.1016/j.iref.2015.10.043
  • Van Roye, B. (2014). “Financial Stress and Economic Activity in Germany”, Empirica, 41, 101-126. https://doi.org /10.1007/s10663-013-9224-0
  • https://www.borsaistanbul.com
  • https://fred.stlouisfed.org/series/STLFSI4
  • https://www.investing.com https://evds2.tcmb.gov.tr

FİNANSAL PİYASALARDA STRES ETKİSİ: SEKTÖR PAY SENETLERİ ÜZERİNE BİR UYGULAMA

Year 2024, Issue: 61, 257 - 268, 22.03.2024

Nazlıgül Gülcan Namıka Boyacıoğlu Arife Özdemir Höl

https://doi.org/10.30794/pausbed.1384474

Abstract

Finansal sistemin baskı altında olduğu ve finansal piyasaların normal işleyişinde kesintilerin yaşandığı durum olarak tanımlanan finansal stres, piyasaları çeşitli kanallar vasıtasıyla olumsuz etkileyerek belirsizlik ortamının oluşmasına ve ekonomik aktivitenin yavaşlamasına neden olmaktadır. Bu çalışmada finansal stresin Borsa İstanbul sektör pay senetleri piyasasına etkisi araştırılmıştır. Araştırma kapsamında finansal stres göstergesi olarak Finansal Stres Endeksi, Borsa İstanbul sektör pay senetleri olarak Borsa İstanbul Bankalar, Elektrik, Finansallar, Hizmet, Holding&Yatırımlar, Kimyasal, Petrol&Plastik, Leasing ve Factoring, Menkul Kıymet Yatırım Ortaklığı, Metal Ana, Metal Harici Mineral Ürünleri, Metal Ürünleri&Makineler, Odun, Kağıt&Baskı, Sınai, Sigorta, Tekstil&Deri, Toptan Satış&Perakende Ticaret, Turizm, Ulaştırma, Yiyecek&İçecek endeksleri ve ayrıca Borsa İstanbul 100 Endeksi dikkate alınmıştır. Veri seti Mart 1997-Eylül 2022 dönemi aylık/kapanış verilerinden oluşmaktadır. Fourier Toda-Yamamoto (2016) nedensellik testi sonucuna göre finansal stresten Borsa İstanbul 100, Bankalar, Finansallar, Holding&Yatırımlar, Kimyasal, Petrol&Plastik, Menkul Kıymet Yatırım Ortaklığı, Metal Ana, Metal Harici Mineral Ürünleri, Metal Ürünleri&Makineler, Odun, Kağıt&Baskı, Sigorta, Tekstil&Deri, Toptan Satış&Perakende Ticaret ve Turizm endekslerine doğru nedensellik ilişkisine ulaşılmıştır.

Keywords

Finansal Stres Sektör Pay Fiyatları Fourier Toda-Yamamoto

Ethical Statement

-

Supporting Institution

-

Project Number

-

Thanks

-

References

  • Aboura, S. ve Van Roye, B. (2017). “Financial Stress and Economic Dynamics: The Case of France”, International Economics, 149, 57-73. https://doi.org/10.1016/j.inteco.2016.11.001
  • Adanur Aklan, N., Çınar, M. ve Kanalıcı Akay, H. (2015). “Financial Stress and Economic Activity Relationship in Turkey: Post-2002 Period”, Yönetim ve Ekonomi, 22(2), 567-580.
  • Alsu, E. (2020). “Finansal Stres İndeksi ile Doğrudan Yabancı Yatırımlar, Portföy Yatırımları ve Dış Borç Stoku Arasındaki İlişki: ARDL Sınır Testi”, ETÜ Sentez İktisadi ve İdari Bilimler Dergisi, 1, 29-44. https://doi.org/10.47358/sentez.2020.2
  • Balakrishnan, R., Danninger, S., Elekdag, S. ve Tytell, I. (2009). “The Transmission of Financial Stress from Advanced to Emerging Economies”, IMF Working Paper, WP/09/133, 1-53.
  • Becker, R., Enders, W. ve Lee, J. (2006). “A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks”, Journal of Time Series Analysis, 27(3), 381-409.
  • Bülbül, H. ve Akgül, I. (2018). “Türkiye Finansal Stres Endeksi ve Markov Rejim Değişim Modeli ile Yüksek Stres Dönemlerinin Belirlenmesi”, Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 13(3), 125-140.
  • Cardarelli, R., Elekdag, S. ve Lall, S. (2011). “Financial Stress and Economic Contractions. Journal of Financial Stability”, 7, 78-97. https://doi.org/10.1016/j.jfs.2010.01.005
  • Cevik, E. I., Dibooglu, S. ve Kenc, T. (2013). “Measuring Financial Stress in Turkey. Journal of Policy Modeling”, 35(2), 370-383. https://doi.org/10.1016/j.jpolmod.2012.06.003
  • Dahalan, J., Abdullah, H. B. ve Umar, M. (2016). “Measuring Financial Stress Index for Malaysian Economy”, International Journal of Economics and Financial Issues, 6(3), 942-947.
  • Das, D., Kannadhasan, M. ve Bhattacharyya, M. (2019). “Do the Emerging Stock Markets React to International Economic Policy Uncertainty, Geopolitical Risk and Financial Stress Alike?”, North American Journal of Economics and Finance, 48, 1-19. https://doi.org/10.1016/j.najef.2019.01.008
  • Duprey, T., Klaus, B. ve Peltonen, T. (2017). “Dating Systemic Financial Stress Episodes in the EU Countries”, Journal of Financial Stability, 32, 30-56. http://dx.doi.org/10.1016/j.jfs.2017.07.004
  • Ekinci, A. (2013). “Financial Stress Index for Turkey”, Doğuş Üniversitesi Dergisi, 14(2), 213-229.
  • Elekdağ, S., Kanlı, İ. B., Samancıoğlu, Z. ve Sarıkaya, Ç. (2010). “Finansal Stres ve İktisadi Faaliyet”, Central Bank Review, 10(2), 1-8. http://www.tcmb.gov.tr/research/review
  • Ertuğrul, M. (2021). “Finansal Stresin Muhasebe Verilerinin Değer İlişkisine Etkisi”, Muhasebe Bilim Dünyası Dergisi, 23(1), 22-47. https://doi.org/10.31460/mbdd.723794
  • Federal Reserve Bank of St. Louis. (2022). St. Louis Fed Financial Stress Index, https://fred.stlouisfed.org/series/STLFSI2, Erişim Tarihi: 10.10.2022.
  • Federal Reserve Bank of St. Louis. (2024). St. Louis Fed Financial Stress Index [STLFSI4], https://fred.stlouisfed.org/series/STLFSI4, Erişim Tarihi: 19.02.2024.
  • Ferrer, R., Jammazi, R., Bolós, V. J. ve Benítez, R. (2018). “Interactions between Financial Stress and Economic Activity for the US: A Time-and Frequency-varying Analysis Using Wavelets”, Physica A: Statistical Mechanics and its Applications, 492, 446-462. https://doi.org/10.1016/j.physa.2017.10.044
  • Gujarati, D. N. (2003). Basic Econometrics (4. Baskı). McGraw-Hill, New York.
  • Hakkio, C. S. ve Keeton, W. R. (2009). “Financial Stress: What Is It, How Can It Be Measured, and Why Does It Matter”, Economic Review, 94(2), 5-50.
  • Illing, M. ve Liu, Y. (2006). “Measuring Financial Stress in a Developed Country: An Application to Canada”, Journal of Financial Stability, 2(3), 243-265. https://doi.org/10.1016/j.jfs.2006.06.002
  • Investing.com, https://tr.investing.com/ (Erişim Tarihi: 10.10.2022).
  • Ishrakieh, L. M., Dagher, L. ve El Hariri, S. (2020). “A Financial Stress Index for a Highly Dollarized Developing Country: The Case of Lebanon”, Central Bank Review, 20, 43-52. https://doi.org/10.1016/j.cbrev.2020.02.004
  • Kaya, E. ve Kılınç, A. (2016). “Türkiye için Finansal Sıkıntı Endeksinin Ölçümü ve Finansal Sıkıntı Endeksinin Reel Ekonomik Faaliyetler ile İlişkisi”, Uluslararası Yönetim İktisat ve İşletme Dergisi, ICAFR 16 Özel Sayısı, 402-413.
  • Kliesen, K. L. ve Smith, D. C. (2010). Measuring Financial Market Stress. Economic Synopses, Federal Reserve Bank of St. Louis.
  • Kremer, M. (2016). Macroeconomic Effects of Financial Stress and the Role of Monetary Policy: A VAR Analysis for the Euro Area”, International Economics and Economic Policy, 13(1), 105-138. https://doi.org/10.1007/s10368-015-0325-z
  • MacDonald, R., Sogiakas, V. ve Tsopanakis, A. (2018). “Volatility Co-movements and Spillover Effects within the Eurozone Economies: A Multivariate GARCH Approach Using the Financial Stress Index”, Journal of International Financial Markets, Institutions&Money, 52, 17-36. https://doi.org/10.1016/j.intfin.2017.09.003
  • MacDonald, J. (2019). Financial Market Stress: Measuring Spillover Effects Across Countries (Doctoral Dissertation, Bates College).
  • Magkonis, G. ve Tsopanakis, A. (2016). “The Financial and Fiscal Stress Interconnectedness: The Case of G5 Economies”, International Review of Financial Analysis, 46, 62-69. http://dx.doi.org/10.1016/j.irfa.2016.03.019
  • Monin, P. J. (2019). The OFR Financial Stress Index. Risks, 7(1), 25, 1-21. https://doi.org/10.3390/risks7010025
  • Nazlioglu, S., Gormus, A. ve Soytas, U. (2016). “Oil Prices and Real Estate Investment Trusts (REİTs): Gradual-shift Causality and Volatility Transmission Analysis”, Energy Economics, 60, 168-175.
  • Polat, O. (2021). “Petrol Fiyat Şokları ve Finansal Stres Arasındaki Zaman-Değişimli İlişki: AB Bölgesi için TVP-VAR Analizi”, Finansal Araştırmalar ve Çalışmalar Dergisi, 13(25), 689-702. https://doi.org/10.14784/marufacd.976465
  • Ranjbar, O., Chang, T., Elmi, Z. M. ve Lee, C. C. (2018). “A New Unit Root Test Against Asymmetric ESTAR Nonlinearity with Smooth Breaks”, Iranian Economic Review, 22(1), 51-62. https://doi.org/10.22059/IER.2018.65349
  • Reboredo, J. C. ve Uddin, G. S. (2016). “Do Financial Stress and Policy Uncertainty Have an Impact on the Energy and Metals Markets? A Quantile Regression Approach”, International Review of Economics and Finance, 43, 284-298. http://dx.doi.org/10.1016/j.iref.2015.10.043
  • Van Roye, B. (2014). “Financial Stress and Economic Activity in Germany”, Empirica, 41, 101-126. https://doi.org /10.1007/s10663-013-9224-0
  • https://www.borsaistanbul.com
  • https://fred.stlouisfed.org/series/STLFSI4
  • https://www.investing.com https://evds2.tcmb.gov.tr
There are 37 citations in total.

Details

Primary Language Turkish
Subjects Financial Markets and Institutions
Journal Section Research Article
Authors

Nazlıgül Gülcan 0000-0002-1390-0820

Namıka Boyacıoğlu 0000-0002-8338-3574

Arife Özdemir Höl 0000-0002-9902-9174

Project Number -
Early Pub Date March 22, 2024
Publication Date March 22, 2024
Submission Date November 1, 2023
Acceptance Date February 26, 2024
Published in Issue Year 2024 Issue: 61

Cite

APA Gülcan, N., Boyacıoğlu, N., & Özdemir Höl, A. (2024). FİNANSAL PİYASALARDA STRES ETKİSİ: SEKTÖR PAY SENETLERİ ÜZERİNE BİR UYGULAMA. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi(61), 257-268. https://doi.org/10.30794/pausbed.1384474
AMA Gülcan N, Boyacıoğlu N, Özdemir Höl A. FİNANSAL PİYASALARDA STRES ETKİSİ: SEKTÖR PAY SENETLERİ ÜZERİNE BİR UYGULAMA. PAUSBED. March 2024;(61):257-268. doi:10.30794/pausbed.1384474
Chicago Gülcan, Nazlıgül, Namıka Boyacıoğlu, and Arife Özdemir Höl. “FİNANSAL PİYASALARDA STRES ETKİSİ: SEKTÖR PAY SENETLERİ ÜZERİNE BİR UYGULAMA”. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, no. 61 (March 2024): 257-68. https://doi.org/10.30794/pausbed.1384474.
EndNote Gülcan N, Boyacıoğlu N, Özdemir Höl A (March 1, 2024) FİNANSAL PİYASALARDA STRES ETKİSİ: SEKTÖR PAY SENETLERİ ÜZERİNE BİR UYGULAMA. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 61 257–268.
IEEE N. Gülcan, N. Boyacıoğlu, and A. Özdemir Höl, “FİNANSAL PİYASALARDA STRES ETKİSİ: SEKTÖR PAY SENETLERİ ÜZERİNE BİR UYGULAMA”, PAUSBED, no. 61, pp. 257–268, March 2024, doi: 10.30794/pausbed.1384474.
ISNAD Gülcan, Nazlıgül et al. “FİNANSAL PİYASALARDA STRES ETKİSİ: SEKTÖR PAY SENETLERİ ÜZERİNE BİR UYGULAMA”. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 61 (March 2024), 257-268. https://doi.org/10.30794/pausbed.1384474.
JAMA Gülcan N, Boyacıoğlu N, Özdemir Höl A. FİNANSAL PİYASALARDA STRES ETKİSİ: SEKTÖR PAY SENETLERİ ÜZERİNE BİR UYGULAMA. PAUSBED. 2024;:257–268.
MLA Gülcan, Nazlıgül et al. “FİNANSAL PİYASALARDA STRES ETKİSİ: SEKTÖR PAY SENETLERİ ÜZERİNE BİR UYGULAMA”. Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, no. 61, 2024, pp. 257-68, doi:10.30794/pausbed.1384474.
Vancouver Gülcan N, Boyacıoğlu N, Özdemir Höl A. FİNANSAL PİYASALARDA STRES ETKİSİ: SEKTÖR PAY SENETLERİ ÜZERİNE BİR UYGULAMA. PAUSBED. 2024(61):257-68.
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