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Jeopolitik Risk ve Belirsizlik Endeksleri ile BRICS Borsaları Arasındaki Volatilite Yayılımları

Yıl 2024, Cilt: 27 Sayı: 1, 258 - 273, 30.04.2024
https://doi.org/10.29249/selcuksbmyd.1440319

Öz

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.

Kaynakça

  • Adams, S., Adedoyin, F., Olaniran, E., ve Bekun, F. V. (2020). “Energy consumption, economic policy uncertainty and carbon emissions; causality evidence from resource rich economies”, Economic Analysis and Policy, 68, 179-190.
  • Agoraki, M. E. K., Kouretas, G. P., ve Laopodis, N. T. (2022). “Geopolitical risks, uncertainty, and stock market performance”, Economic and Political Studies, 10(3), 253-265.
  • Agoraki, M. E. K., Wu, H., Xu, T., ve Yang, M. (2023). “Money never sleeps: Capital flows under global risk and uncertainty”, Journal of International Money and Finance, 103013.
  • Agyapong, J. (2023). “World uncertainty and commodity currencies”, Applied Economics, DOI: 10.1080/00036846.2023.2273243
  • Ahir, H., Bloom N. and Furceri, D. (2022). “The world uncertainty index”, Technical report, National bureau of economic research.
  • Akyıldırım, E., Güneş, H., ve Çelik, İ. (2022). “Türkiye’de finansal varlıklar arasında dinamik bağlantılılık: TVP-VAR modelinden kanıtlar”. Gazi İktisat Ve İşletme Dergisi, 8(2), 346-363. https://doi.org/10.30855/gjeb.2022.8.2.010
  • Anser, M. K., Syed, Q. R., Lean, H. H., Alola, A. A., ve Ahmad, M. (2021). “Do economic policy uncertainty and geopolitical risk lead to environmental degradation? Evidence from emerging economies”, Sustainability, 13(11), 5866.
  • Antonakakis, N., ve Gabauer, D. (2017). “Refined measures of dynamic connectedness based on TVP-VAR”, MPRA Paper No. 78282.
  • Baele, L. (2005). “Volatility spillover effects in European equity markets”, Journal of Financial and Quantitative Analysis, 40(2), 373-401.
  • Baker, S. R., Bloom, N. ve Davis, S. J. (2016). “Measuring Economic Policy Uncertainty”, The Quarterly Journal of Economics, 131(4): 1593–1636. https://doi.org/10.1093/ qje/qjw024.
  • Balcilar, M., Bonato, M., Demirer, R., ve Gupta, R. (2018). “Geopolitical risks and stock market dynamics of the BRICS”, Economic Systems, 42(2), 295-306.
  • Bloom, N. (2014). “Fluctuations in uncertainty”, Journal of Economic Perspectives, Vol. 28, pp.153-176.
  • Bossman, A., Gubareva, M., ve Teplova, T. (2023). “Economic policy uncertainty, geopolitical risk, market sentiment, and regional stocks: asymmetric analyses of the EU sectors”, Eurasian Economic Review, 13(3), 321-372.
  • Caggiano, G., Castelnuovo, E. ve Groshenny, N. (2014). “Uncertainty shocks and unemployment dynamics in US recessions”, Journal of Monetary Economics, Vol. 67, pp.78-92.
  • Caglayan, M. O., Gong, Y., ve Xue, W. (2023). “Investigation of the effect of global EPU spillovers on country-level stock market idiosyncratic volatility”, The European Journal of Finance, 1-27.
  • Chan,Y.- C., Saffar, W. ve Wei, K. C. J. (2019). “How economic policy uncertainty affects the cost of raising equity capital: evidence from seasoned equity offerings”, Journal of Financial Stability, 53, 100841.
  • Chen, X., Sun, X., ve Wang, J. (2019). “Dynamic spillover effect between oil prices and economic policy uncertainty in BRIC countries: A wavelet-based approach”. Emerging Markets Finance and Trade, 55(12), 2703-2717.
  • Chiang, T. C. (2021). “Geopolitical risk, economic policy uncertainty and asset returns in Chinese financial markets”, China Finance Review International, 11(4), 474-501.
  • Caldara, D., ve Iacoviello, M. (2022). “Measuring geopolitical risk”, American Economic Review, 112(4), 1194-1225.
  • Canh, N. P., Binh, N. T., Thanh, S. D., ve Schinckus, C. (2020). “Determinants of foreign direct investment inflows: The role of economic policy uncertainty”, International Economics, 161, 159-172.
  • Demir, E., ve Danisman, G. O. (2021). “The impact of economic uncertainty and geopolitical risks on bank credit”, The North American Journal of Economics and Finance, 57, 101444.
  • Diebold, F. X., ve Yilmaz, K. (2009). “Measuring financial asset return and volatility spillovers, with application to global equity markets”, The Economic Journal, 119(534), 158–171.
  • Diebold, F. X., ve Yilmaz, K. (2012). “Better to give than to receive: Predictive directional measurement of volatility spillovers”, International Journal of Forecasting, 28(1), 57–66.
  • Diebold, F. X., ve Yilmaz, K. (2014). “On the network topology of variance decompositions: measuring the connectedness of financial firms”, Journal of Econometrics, 182(1), 119-134.
  • Emsen, H. S. (2022). “Effects of geopolitical risks and political uncertainties on stock markets: Country specific new generation panel data analysis for developing Asian countries”, Journal of process management and new technologies, 10(1-2), 82-101.
  • Federal Open Market Committee, Minutes of the December (2009). “Meeting”, available at http://www.federalreserve.gov/monetarypolicy/fomcminutes20091216.htm.
  • Feng, Z., Liu, X., ve Yao, Y. (2023). “Impact of geopolitical risk on the volatility spillovers among G7 and BRICS stock markets”, Procedia Computer Science, 221, 878-884.
  • Forbes, K. J. ve Rigobon, R. (2002). “No contagion, only interdependence: Measuring stockmarket comovements”, Journal of Finance, vol. 57(5) pp. 2223–61.
  • Hillen, M.A., Gutheil, C.M., Strout, T.D., Smets, E.M.A. ve Han, P.K.J. (2017). “Tolerance of uncertainty: conceptual analysis, integrativemodel, and implications for healthcare”, Social Science and Medicine,Vol. 180,pp. 62-75.
  • Tabii, işte kaynakçalar arasında boşluk bırakılarak düzenlenmiş hali:
  • Hu, J., Wang, K.H., Su, C.W. ve Umar, M. (2022). “Oil price, green innovation and institutional pressure: A China's perspective”, Resources Policy, 78:102788.
  • Hung, N. T. (2021). “Directional spillover effects between BRICS stock markets and economic policy uncertainty”. Asia-Pacific Financial Markets, 28(3), 429-448.
  • Ivanovski, K. ve Hailemariam, A. (2022). Time-varying geopolitical risk and oil prices. International Review of Economics & Finance, 77: 206–221.
  • Khan, A., Sun, C., Xu, Z., ve Liu, Y. (2023). “Geopolitical risk, economic uncertainty, and militarization: Significant agents of energy consumption and environmental quality”, Environmental Impact Assessment Review, 102, 107166.
  • Li, W., Su, Y. ve Wang, K. (2022). “How does economic policy uncertainty affect cross-border M&A: evidence from Chinese firms”, Emerging Markets Review, 52:100908.
  • Nguyen, T.T.T., Pham, B.T. ve Sala, H. (2022). “Being an emerging economy: to what extent do geopolitical risks hamper technology and FDI inflows?”, Economic Analysis and Policy, 74: 728–746.
  • Pan, W. F. (2019). “Geopolitical Risk and R&D investment”, Available at SSRN 3258111.
  • Rasoulinezhad, E., Taghizadeh-Hesary, F., Sung, J., ve Panthamit, N. (2020). “Geopolitical risk and energy transition in Russia: Evidence from ARDL bounds testing method”, Sustainability, 12(7), 2689.
  • Saint Akadiri, S., Eluwole, K. K., Akadiri, A. C., ve Avci, T. (2020). “Does causality between geopolitical risk, tourism and economic growth matter? Evidence from Turkey”, Journal of Hospitality and Tourism Management, 43, 273–277.
  • Sánchez-Gabarre, M. E. (2020). “Stock prices, uncertainty and risks: Evidence from developing and advanced economies”, European Journal of Government and Economics, 9(3), 265-279.
  • Su, C. W., Khan, K., Tao, R., ve Nicoleta-Claudia, M. (2019). “Does geopolitical risk strengthen or depress oil prices and financial liquidity? Evidence from Saudi Arabia”, Energy, 187, 116003.
  • Trinh, H. H., ve Tran, T. P. (2023). “Global Banking Systems, Financial Stability and Uncertainty: How have countries coped with Geopolitical Risk?”, http://dx.doi.org/10.2139/ssrn.4541043.
  • Tsai, I. C. (2017). “The source of global stock market risk: A viewpoint of economic policy uncertainty”, Economic Modelling, 60, 122-131.
  • https://tr.investing.com/
  • https://www.matteoiacoviello.com/gpr.htm
  • https://www.policyuncertainty.com/
  • https://worlduncertaintyindex.com/data/
  • Yu, X. ve Huang, Y. (2021). “The impact of economic policy uncertainty on stock volatility: evidence from GARCH– MIDAS approach”, Physica A: Statistical Mechanics and its Applications, 570:125794.
  • Wang, X., Wu, Y., ve Xu, W. (2019). “Geopolitical risk and investment”, Journal of Money, Credit and Banking.
  • Wang, K.H., Liu, L., Zhong, Y. ve Lobonţ, O.R., (2022). “Economic policy uncertainty and carbon emission trading market: A China's perspective”, Energy Economics, 115:106342.
  • Xu, Y., Wang, J., Chen, Z., ve Liang, C. (2021). “Economic policy uncertainty and stock market returns: New evidence”, The North American journal of economics and finance, 58, 101525.

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

Yıl 2024, Cilt: 27 Sayı: 1, 258 - 273, 30.04.2024
https://doi.org/10.29249/selcuksbmyd.1440319

Öz

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.

Kaynakça

  • Adams, S., Adedoyin, F., Olaniran, E., ve Bekun, F. V. (2020). “Energy consumption, economic policy uncertainty and carbon emissions; causality evidence from resource rich economies”, Economic Analysis and Policy, 68, 179-190.
  • Agoraki, M. E. K., Kouretas, G. P., ve Laopodis, N. T. (2022). “Geopolitical risks, uncertainty, and stock market performance”, Economic and Political Studies, 10(3), 253-265.
  • Agoraki, M. E. K., Wu, H., Xu, T., ve Yang, M. (2023). “Money never sleeps: Capital flows under global risk and uncertainty”, Journal of International Money and Finance, 103013.
  • Agyapong, J. (2023). “World uncertainty and commodity currencies”, Applied Economics, DOI: 10.1080/00036846.2023.2273243
  • Ahir, H., Bloom N. and Furceri, D. (2022). “The world uncertainty index”, Technical report, National bureau of economic research.
  • Akyıldırım, E., Güneş, H., ve Çelik, İ. (2022). “Türkiye’de finansal varlıklar arasında dinamik bağlantılılık: TVP-VAR modelinden kanıtlar”. Gazi İktisat Ve İşletme Dergisi, 8(2), 346-363. https://doi.org/10.30855/gjeb.2022.8.2.010
  • Anser, M. K., Syed, Q. R., Lean, H. H., Alola, A. A., ve Ahmad, M. (2021). “Do economic policy uncertainty and geopolitical risk lead to environmental degradation? Evidence from emerging economies”, Sustainability, 13(11), 5866.
  • Antonakakis, N., ve Gabauer, D. (2017). “Refined measures of dynamic connectedness based on TVP-VAR”, MPRA Paper No. 78282.
  • Baele, L. (2005). “Volatility spillover effects in European equity markets”, Journal of Financial and Quantitative Analysis, 40(2), 373-401.
  • Baker, S. R., Bloom, N. ve Davis, S. J. (2016). “Measuring Economic Policy Uncertainty”, The Quarterly Journal of Economics, 131(4): 1593–1636. https://doi.org/10.1093/ qje/qjw024.
  • Balcilar, M., Bonato, M., Demirer, R., ve Gupta, R. (2018). “Geopolitical risks and stock market dynamics of the BRICS”, Economic Systems, 42(2), 295-306.
  • Bloom, N. (2014). “Fluctuations in uncertainty”, Journal of Economic Perspectives, Vol. 28, pp.153-176.
  • Bossman, A., Gubareva, M., ve Teplova, T. (2023). “Economic policy uncertainty, geopolitical risk, market sentiment, and regional stocks: asymmetric analyses of the EU sectors”, Eurasian Economic Review, 13(3), 321-372.
  • Caggiano, G., Castelnuovo, E. ve Groshenny, N. (2014). “Uncertainty shocks and unemployment dynamics in US recessions”, Journal of Monetary Economics, Vol. 67, pp.78-92.
  • Caglayan, M. O., Gong, Y., ve Xue, W. (2023). “Investigation of the effect of global EPU spillovers on country-level stock market idiosyncratic volatility”, The European Journal of Finance, 1-27.
  • Chan,Y.- C., Saffar, W. ve Wei, K. C. J. (2019). “How economic policy uncertainty affects the cost of raising equity capital: evidence from seasoned equity offerings”, Journal of Financial Stability, 53, 100841.
  • Chen, X., Sun, X., ve Wang, J. (2019). “Dynamic spillover effect between oil prices and economic policy uncertainty in BRIC countries: A wavelet-based approach”. Emerging Markets Finance and Trade, 55(12), 2703-2717.
  • Chiang, T. C. (2021). “Geopolitical risk, economic policy uncertainty and asset returns in Chinese financial markets”, China Finance Review International, 11(4), 474-501.
  • Caldara, D., ve Iacoviello, M. (2022). “Measuring geopolitical risk”, American Economic Review, 112(4), 1194-1225.
  • Canh, N. P., Binh, N. T., Thanh, S. D., ve Schinckus, C. (2020). “Determinants of foreign direct investment inflows: The role of economic policy uncertainty”, International Economics, 161, 159-172.
  • Demir, E., ve Danisman, G. O. (2021). “The impact of economic uncertainty and geopolitical risks on bank credit”, The North American Journal of Economics and Finance, 57, 101444.
  • Diebold, F. X., ve Yilmaz, K. (2009). “Measuring financial asset return and volatility spillovers, with application to global equity markets”, The Economic Journal, 119(534), 158–171.
  • Diebold, F. X., ve Yilmaz, K. (2012). “Better to give than to receive: Predictive directional measurement of volatility spillovers”, International Journal of Forecasting, 28(1), 57–66.
  • Diebold, F. X., ve Yilmaz, K. (2014). “On the network topology of variance decompositions: measuring the connectedness of financial firms”, Journal of Econometrics, 182(1), 119-134.
  • Emsen, H. S. (2022). “Effects of geopolitical risks and political uncertainties on stock markets: Country specific new generation panel data analysis for developing Asian countries”, Journal of process management and new technologies, 10(1-2), 82-101.
  • Federal Open Market Committee, Minutes of the December (2009). “Meeting”, available at http://www.federalreserve.gov/monetarypolicy/fomcminutes20091216.htm.
  • Feng, Z., Liu, X., ve Yao, Y. (2023). “Impact of geopolitical risk on the volatility spillovers among G7 and BRICS stock markets”, Procedia Computer Science, 221, 878-884.
  • Forbes, K. J. ve Rigobon, R. (2002). “No contagion, only interdependence: Measuring stockmarket comovements”, Journal of Finance, vol. 57(5) pp. 2223–61.
  • Hillen, M.A., Gutheil, C.M., Strout, T.D., Smets, E.M.A. ve Han, P.K.J. (2017). “Tolerance of uncertainty: conceptual analysis, integrativemodel, and implications for healthcare”, Social Science and Medicine,Vol. 180,pp. 62-75.
  • Tabii, işte kaynakçalar arasında boşluk bırakılarak düzenlenmiş hali:
  • Hu, J., Wang, K.H., Su, C.W. ve Umar, M. (2022). “Oil price, green innovation and institutional pressure: A China's perspective”, Resources Policy, 78:102788.
  • Hung, N. T. (2021). “Directional spillover effects between BRICS stock markets and economic policy uncertainty”. Asia-Pacific Financial Markets, 28(3), 429-448.
  • Ivanovski, K. ve Hailemariam, A. (2022). Time-varying geopolitical risk and oil prices. International Review of Economics & Finance, 77: 206–221.
  • Khan, A., Sun, C., Xu, Z., ve Liu, Y. (2023). “Geopolitical risk, economic uncertainty, and militarization: Significant agents of energy consumption and environmental quality”, Environmental Impact Assessment Review, 102, 107166.
  • Li, W., Su, Y. ve Wang, K. (2022). “How does economic policy uncertainty affect cross-border M&A: evidence from Chinese firms”, Emerging Markets Review, 52:100908.
  • Nguyen, T.T.T., Pham, B.T. ve Sala, H. (2022). “Being an emerging economy: to what extent do geopolitical risks hamper technology and FDI inflows?”, Economic Analysis and Policy, 74: 728–746.
  • Pan, W. F. (2019). “Geopolitical Risk and R&D investment”, Available at SSRN 3258111.
  • Rasoulinezhad, E., Taghizadeh-Hesary, F., Sung, J., ve Panthamit, N. (2020). “Geopolitical risk and energy transition in Russia: Evidence from ARDL bounds testing method”, Sustainability, 12(7), 2689.
  • Saint Akadiri, S., Eluwole, K. K., Akadiri, A. C., ve Avci, T. (2020). “Does causality between geopolitical risk, tourism and economic growth matter? Evidence from Turkey”, Journal of Hospitality and Tourism Management, 43, 273–277.
  • Sánchez-Gabarre, M. E. (2020). “Stock prices, uncertainty and risks: Evidence from developing and advanced economies”, European Journal of Government and Economics, 9(3), 265-279.
  • Su, C. W., Khan, K., Tao, R., ve Nicoleta-Claudia, M. (2019). “Does geopolitical risk strengthen or depress oil prices and financial liquidity? Evidence from Saudi Arabia”, Energy, 187, 116003.
  • Trinh, H. H., ve Tran, T. P. (2023). “Global Banking Systems, Financial Stability and Uncertainty: How have countries coped with Geopolitical Risk?”, http://dx.doi.org/10.2139/ssrn.4541043.
  • Tsai, I. C. (2017). “The source of global stock market risk: A viewpoint of economic policy uncertainty”, Economic Modelling, 60, 122-131.
  • https://tr.investing.com/
  • https://www.matteoiacoviello.com/gpr.htm
  • https://www.policyuncertainty.com/
  • https://worlduncertaintyindex.com/data/
  • Yu, X. ve Huang, Y. (2021). “The impact of economic policy uncertainty on stock volatility: evidence from GARCH– MIDAS approach”, Physica A: Statistical Mechanics and its Applications, 570:125794.
  • Wang, X., Wu, Y., ve Xu, W. (2019). “Geopolitical risk and investment”, Journal of Money, Credit and Banking.
  • Wang, K.H., Liu, L., Zhong, Y. ve Lobonţ, O.R., (2022). “Economic policy uncertainty and carbon emission trading market: A China's perspective”, Energy Economics, 115:106342.
  • Xu, Y., Wang, J., Chen, Z., ve Liang, C. (2021). “Economic policy uncertainty and stock market returns: New evidence”, The North American journal of economics and finance, 58, 101525.
Toplam 51 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Finans
Bölüm Araştırma Makalesi
Yazarlar

Burhan Erdoğan 0000-0002-6171-0554

Mesut Dogan 0000-0001-6879-1361

Yayımlanma Tarihi 30 Nisan 2024
Gönderilme Tarihi 20 Şubat 2024
Kabul Tarihi 21 Mart 2024
Yayımlandığı Sayı Yıl 2024 Cilt: 27 Sayı: 1

Kaynak Göster

APA Erdoğan, B., & Dogan, M. (2024). Jeopolitik Risk ve Belirsizlik Endeksleri ile BRICS Borsaları Arasındaki Volatilite Yayılımları. Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu Dergisi, 27(1), 258-273. https://doi.org/10.29249/selcuksbmyd.1440319

Selçuk Üniversitesi Sosyal Bilimler Meslek Yüksekokulu Dergisi Creative Commons Atıf-GayriTicari 4.0 Uluslararası Lisansı (CC BY NC) ile lisanslanmıştır.