Jeopolitik Risk ve Belirsizlik Endeksleri ile BRICS Borsaları Arasındaki Volatilite Yayılımları

Year 2024, Volume: 27 Issue: 1, 258 - 273, 30.04.2024

Burhan Erdoğan Mesut Dogan

https://doi.org/10.29249/selcuksbmyd.1440319

Abstract

Dünya ekonomisi teknolojinin gelişmesi, sermaye birikiminin artması ve yatırımcıların risk algılarının değişmesi gibi nedenlerden dolayı son yüzyılda daha fazla bütünleşik bir görünüme ulaşmıştır. Bu bütünleşik yapı neticesinde herhangi bir coğrafyada/piyasada gerçekleşen olayın yansımaları diğer ekonomiler üzerinde de görülür hale gelmiştir. Bu çalışmada dünya ekonomisi üzerinde önemli olarak görülen WUI (World Uncertainty Index), EPU (Economic Policy Uncertainty Index) ve GPR (Geopolitical Risk Index) endeksleri ile BRICS ülke borsaları (Brezilya-Bovespa, Rusya-MOEX, Hindistan/Bharat-BSE SENSEX, Çin- Shanghai Composite (SSEC) ve Güney Afrika-FTSE South Africa) arasındaki ilişkinin analizi amaçlanmıştır. Çalışma kapsamında 01.01.2008-01.11.2023 tarihleri arsındaki aylık veriler TVP-VAR (Time-Varying Parameter Vector Autoregressive Models) yöntemi kullanılarak analiz edilmiştir. Çalışma sonucunda Rusya borsasının WUI, EPU ve GPR endekslerine, Brezilya borsasının WUI ve EPU endekslerine ve Çin borsasının ise GPR endeksine volatilite yaydığı tespit edilmiştir.

Keywords

Dünya Belirsizlik Endeksi (WUI), Ekonomik Politika Endeksi (EPU), Jeopolitik Risk Endeksi (GPR), Volatilite, Zamanla-Değişen Parametreli Vektör Otoregresif (TVP-VAR)

Volatility Spillovers Between Geopolitical Risk And Uncertainty Indices With BRICS Stock Markets

Abstract

The world economy has become more integrated in the last century due to the development of technology, increased capital accumulation and changes in investors' risk perceptions. As a result of this integrated structure, the repercussions of an event occurring in one geography/market have become visible in other economies. In this study, it is aimed to analyze the relationship between WUI (World Uncertainty Index), EPU (Economic Policy Uncertainty Index) and GPR (Geopolitical Risk Index) indices, which are seen as important on the world economy, and BRICS country stock markets (Brazil-Bovespa, Russia-MOEX, India/Bharat-BSE SENSEX, China-Shanghai Composite (SSEC) and South Africa-FTSE South Africa). Within the scope of the study, monthly data between 01.01.2008-01.11.2023 were analyzed using the TVP-VAR (Time-Varying Parameter Vector Autoregressive Models) method. The results of the study revealed that the Russian stock market spreads volatility to the WUI, EPU and GPR indices, the Brazilian stock market spreads volatility to the WUI and EPU indices and the Chinese stock market spreads volatility to the GPR index.

Keywords

World Uncertainty Index (WUI), Economic Policy Uncertainty Index (EPU), Geopolitical Risk Index (GPR), Volatility, Time-Varying Parameter Vector Autoregressive Models (TVP-VAR)

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