Research Article
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The Impact of Global Economic Policy Uncertainty on Stock Returns of Selected Index Traded on Istanbul Stock Exchange

Year 2018, , 211 - 219, 15.12.2018
https://doi.org/10.18506/anemon.452749

Abstract

The
uncertainty in global democratic decision-making mechanisms causes the economic
consequences of world countries to take place in a volatile structure and it
effects investors’ confidence to economies negatively. The purpose of this
study is to determine the impact of the global economic policy uncertainty on
returns of the companies traded in the Istanbul Stock Exchange with the models
of volatility. Accordingly, it has been used from 1997:1 to 2018:4 period data
in the study. It has been considered monthly global economic policy uncertainty
index and ISE-Electric, ISE-Chemical, Petroleum, Plastic, ISE-Industrial and
ISE-Main Metal Return Indexes in the study. According to the estimation results
of the volatility model for ISE-Electric, ISE-Chemical, Petroleum, Plastic
Return Indexes and ISE-Main Metal Return Index series, it has been determined
that the impact of global economic policy uncertainty on the volatility of the
stock returns of companies traded in the related sectors is statistically
significant and positive.

References

  • Akkuş, Ö. (2017). Ekonomik Politika Belirsizliği ve Politik İstikrarsızlığın Büyüme Üzerindeki Etkisi. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 17(3), 27-42.
  • Bacık, E., Özer, M., & Altınırmak, S. (2017). Terörün Volatiliteye Etkisi: Türkiye BIST 100 Endeksinde Bir Uygulama. Optimum Ekonomi ve Yönetim Bilimleri Dergisi, 4(2), 55-75.
  • Baker, S., Bloom, N., & Davis, S. J. (2012). Policy Uncertainty: A New Indicator. Centre Piece Winter 2011/12, 21-23. (Erişim: 22.06.2018), http://cep.lse.ac.uk/pubs/download/cp362.pdf
  • Baker, S., Bloom, N., & Davis, S. J. (2013). Measuring Economic Policy Uncertainty. (Erişim: 22.06.2018), http://www.policyuncertainty.com/media/EPU_BBD_2013.pdf.
  • Baker, S., Bloom, N., & Davis, S. J. (2015). Measuring Economic Policy Uncertainty. (Erişim: 22.06.2018), http://www.policyuncertainty.com/media/BakerBloomDavis.pdf.
  • Baker, S., Bloom, N., & Davis, S.J. (2016). Measuring Economic Policy Uncertainty. Quarterly Journal of Economics, 131(4), 1539-1636.
  • Bernanke, B. S. (1983). Irreversibility, Uncertainty, and Cyclical Investment. Quarterly Journal of Economics, 98, 85– 106.
  • Brown, K. D., Harlow, W. V., & Tinic, S. M. (1988). Risk aversion: Uncertain Information, and Market Efficiency. Journal of Financial Economics, 22, 355−385.
  • Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 37, 307-327.
  • Davis, S. J. (2016). An Index of Global Economic Policy Uncertainty. NBER Working Paper No. 22740. (Erişim: 22.06.2018), http://faculty.chicagobooth.edu/steven.davis/pdf/Global%20Economic%20Policy%20Uncertainty%209%20October%202016.pdf
  • Davis, S. J. (2016). Global Economic Policy Uncertainty Index Data. (Erişim: 22.06.2018), http://www.policyuncertainty.com/global_monthly.html
  • Demir, E., & Ersan, O. (2018). The impact of economic policy uncertainty on stock returns of Turkish tourism companies. Current Issues in Tourism, 21(8), 847–855.
  • Engle, R. F. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of the United Kingdom Inflation. Econometrica, 50(4), 987-1007.
  • Fang, L., Chen, B., Yu, H., & Qian, Y. (2018). The importance of global economic policy uncertainty in predicting gold futures market volatility: A GARCH-MIDAS approach. Wiley Future Markets, 38, 413-422.
  • Guo, P., Zhu, H., & You, W. (2017). Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach. Finance Research Letters, 25, 251-258. http://dx.doi.org/10.1016/j.frl.2017.11.001.
  • Julio, B., & Yook, Y. (2012). Political uncertainty and corporate investment cycles. Journal of Finance, 67(1), 45-84.
  • Kang, W., & Ratti, R.A. (2015). Oil shocks, Policy uncertainty and stock returns in China. Economics of Transition, 23(4), 657–676.
  • Kang, W., Gracia, F.P., & Ratti, R.A. (2017). Oil price shocks, policy uncertainty, and stock returns of oil and gas corporations. Journal of International Money and Finance, 70, 344–359.
  • Karcıoğlu, R., & Özer, N. (2017). BIST’de Haftanın Günü ve Tatil Etkisi Anomalilerinin Getiri ve Oynaklık Üzerindeki Etkisinin İncelenmesi. Karadeniz Teknik Üniversitesi Sosyal Bilimler Enstitüsü Sosyal Bilimler Dergisi, 7(14), 457-483.
  • Kirchgassner, G., & Wolters, J. (2007). Introduction to Modern Time Series Analysis. Berlin: Heidelberg Springer Verlag Berlin Heidelberg.
  • Ko, J. H., & Lee, C.M. (2015). International economic policy uncertainty and stock prices: Wavelet approach. Economics Letters, 134, 118–122.
  • Li, X. L., Balcilar, M., Gupta, R., & Chang, T. (2016). The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach. Emerging Markets Finance and Trade, 52, 674–689.
  • Perron, P. (1997). Further Evidence on Breaking Trend Functions in Macroeconomic Variables, Journal of Econometrics, 80(2), 355-385.
  • Sevüktekin, M., & Çınar, M. (2017). Ekonometrik Zaman Serileri Analizi: Eviews Uygulamalı. Bursa: Dora Basım Yayın Dağıtım.
  • Sum, V. (2012a) Economic policy uncertainty and stock market Returns. International Review of Applied Financial Issues and Economics, (Forthcoming), 1-8, https://dx.doi.org/10.2139/ssrn.2073184.
  • 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. (2013). The ASEAN Stock Market Performance and Economic Policy Uncertainty in the United States. Economic Papers, 32(4), 512–521.
  • Şimşek, M., & Kadılar, C. (2006). Döviz Kurundaki Değişkenliğin Türkiye’nin İhracatına Uzun Dönemli Etkisi. H.Ü. İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(1), 45-68.
  • Tsay, R. S. (2005). Analysis of Financial Time Series. USA:Wiley Intersience: Second Edition.
  • 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.
  • Yılancı, V. (2009). Yapısal Kırılmalar Altında Türkiye İçin İşsizlik Histerisinin Sınanması. Doğuş Üniversitesi Dergisi, 10(2), 324-335.
  • Yıldız, B. (2016). Oynaklık Tahmininde Simetrik ve Asimetrik GARCH Modellerinin Kullanılması: Seçilmiş BİST Alt Sektör Endeksleri Üzerine Bir Uygulama. Muhasebe ve Finansman Dergisi, Ekim, 83-106.
  • You, W., Guo, Y., Zhu, H., & Tang, Y. (2017). Oil price shocks, economic policy uncertainty and industry stock Returns in China: Asymmetric effects with quantile regression. Energy Economics, 68, 1–18.
  • Yu, H., Fang, L., & Sun, B. (2018a). The role of global economic policy uncertainty in long-run volatilities and correlations of U.S. industry-level stock returns and crude oil. Plos One, 13(2), 1-17, https://doi.org/10.1371/journal.pone.0192305.
  • Yu, H., Fang, L., & Sun, W. (2018b). Forecasting performance of global Economic policy uncertainty for volatility of Chinese stock market. Physica, 505, 931–940.

Küresel Ekonomi Politika Belirsizliğinin Borsa İstanbul’da İşlem Gören Seçilmiş Endeks Getirileri Üzerindeki Etkisi

Year 2018, , 211 - 219, 15.12.2018
https://doi.org/10.18506/anemon.452749

Abstract

Küresel demokratik karar
alma mekanizmalarında yaşanan belirsizlik, dünya ülkelerinin ekonomik
sonuçlarının oynak bir yapıda gerçekleşmesine sebep olmakta ve yatırımcıların
ekonomilere güvenini olumsuz yönde etkilemektedir. Bu çalışmanın amacı, küresel
ekonomi politika belirsizliğinin Borsa İstanbul’da işlem gören şirketlerin
getirileri üzerindeki etkisini oynaklık modelleriyle tespit etmektir. Bu
doğrultuda çalışmada 1997:1-2018:4 dönemine ilişkin veriler kullanılmıştır.
Çalışmada, aylık küresel ekonomi politika belirsizlik endeksi ile BIST
Elektrik, BIST Kimya, Petrol, Plastik, BIST Metal Ana ve BIST Sınai Getiri
Endeksleri ele alınmıştır. BIST Elektrik, BIST Kimya, Petrol, Plastik Getiri
Endeksleri ile BIST Metal Ana Getiri Endeksi serileri için tahminlenen oynaklık
model tahmin sonuçlarına göre, küresel ekonomi politika belirsizliğinin ilgili
sektörlerde işlem gören şirketlerin hisse senetlerinin getirilerindeki oynaklık
üzerindeki etkisinin istatistiksel açıdan anlamlı ve pozitif olduğu tespit
edilmiştir.

References

  • Akkuş, Ö. (2017). Ekonomik Politika Belirsizliği ve Politik İstikrarsızlığın Büyüme Üzerindeki Etkisi. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 17(3), 27-42.
  • Bacık, E., Özer, M., & Altınırmak, S. (2017). Terörün Volatiliteye Etkisi: Türkiye BIST 100 Endeksinde Bir Uygulama. Optimum Ekonomi ve Yönetim Bilimleri Dergisi, 4(2), 55-75.
  • Baker, S., Bloom, N., & Davis, S. J. (2012). Policy Uncertainty: A New Indicator. Centre Piece Winter 2011/12, 21-23. (Erişim: 22.06.2018), http://cep.lse.ac.uk/pubs/download/cp362.pdf
  • Baker, S., Bloom, N., & Davis, S. J. (2013). Measuring Economic Policy Uncertainty. (Erişim: 22.06.2018), http://www.policyuncertainty.com/media/EPU_BBD_2013.pdf.
  • Baker, S., Bloom, N., & Davis, S. J. (2015). Measuring Economic Policy Uncertainty. (Erişim: 22.06.2018), http://www.policyuncertainty.com/media/BakerBloomDavis.pdf.
  • Baker, S., Bloom, N., & Davis, S.J. (2016). Measuring Economic Policy Uncertainty. Quarterly Journal of Economics, 131(4), 1539-1636.
  • Bernanke, B. S. (1983). Irreversibility, Uncertainty, and Cyclical Investment. Quarterly Journal of Economics, 98, 85– 106.
  • Brown, K. D., Harlow, W. V., & Tinic, S. M. (1988). Risk aversion: Uncertain Information, and Market Efficiency. Journal of Financial Economics, 22, 355−385.
  • Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 37, 307-327.
  • Davis, S. J. (2016). An Index of Global Economic Policy Uncertainty. NBER Working Paper No. 22740. (Erişim: 22.06.2018), http://faculty.chicagobooth.edu/steven.davis/pdf/Global%20Economic%20Policy%20Uncertainty%209%20October%202016.pdf
  • Davis, S. J. (2016). Global Economic Policy Uncertainty Index Data. (Erişim: 22.06.2018), http://www.policyuncertainty.com/global_monthly.html
  • Demir, E., & Ersan, O. (2018). The impact of economic policy uncertainty on stock returns of Turkish tourism companies. Current Issues in Tourism, 21(8), 847–855.
  • Engle, R. F. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of the United Kingdom Inflation. Econometrica, 50(4), 987-1007.
  • Fang, L., Chen, B., Yu, H., & Qian, Y. (2018). The importance of global economic policy uncertainty in predicting gold futures market volatility: A GARCH-MIDAS approach. Wiley Future Markets, 38, 413-422.
  • Guo, P., Zhu, H., & You, W. (2017). Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach. Finance Research Letters, 25, 251-258. http://dx.doi.org/10.1016/j.frl.2017.11.001.
  • Julio, B., & Yook, Y. (2012). Political uncertainty and corporate investment cycles. Journal of Finance, 67(1), 45-84.
  • Kang, W., & Ratti, R.A. (2015). Oil shocks, Policy uncertainty and stock returns in China. Economics of Transition, 23(4), 657–676.
  • Kang, W., Gracia, F.P., & Ratti, R.A. (2017). Oil price shocks, policy uncertainty, and stock returns of oil and gas corporations. Journal of International Money and Finance, 70, 344–359.
  • Karcıoğlu, R., & Özer, N. (2017). BIST’de Haftanın Günü ve Tatil Etkisi Anomalilerinin Getiri ve Oynaklık Üzerindeki Etkisinin İncelenmesi. Karadeniz Teknik Üniversitesi Sosyal Bilimler Enstitüsü Sosyal Bilimler Dergisi, 7(14), 457-483.
  • Kirchgassner, G., & Wolters, J. (2007). Introduction to Modern Time Series Analysis. Berlin: Heidelberg Springer Verlag Berlin Heidelberg.
  • Ko, J. H., & Lee, C.M. (2015). International economic policy uncertainty and stock prices: Wavelet approach. Economics Letters, 134, 118–122.
  • Li, X. L., Balcilar, M., Gupta, R., & Chang, T. (2016). The Causal Relationship between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach. Emerging Markets Finance and Trade, 52, 674–689.
  • Perron, P. (1997). Further Evidence on Breaking Trend Functions in Macroeconomic Variables, Journal of Econometrics, 80(2), 355-385.
  • Sevüktekin, M., & Çınar, M. (2017). Ekonometrik Zaman Serileri Analizi: Eviews Uygulamalı. Bursa: Dora Basım Yayın Dağıtım.
  • Sum, V. (2012a) Economic policy uncertainty and stock market Returns. International Review of Applied Financial Issues and Economics, (Forthcoming), 1-8, https://dx.doi.org/10.2139/ssrn.2073184.
  • 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. (2013). The ASEAN Stock Market Performance and Economic Policy Uncertainty in the United States. Economic Papers, 32(4), 512–521.
  • Şimşek, M., & Kadılar, C. (2006). Döviz Kurundaki Değişkenliğin Türkiye’nin İhracatına Uzun Dönemli Etkisi. H.Ü. İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(1), 45-68.
  • Tsay, R. S. (2005). Analysis of Financial Time Series. USA:Wiley Intersience: Second Edition.
  • 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.
  • Yılancı, V. (2009). Yapısal Kırılmalar Altında Türkiye İçin İşsizlik Histerisinin Sınanması. Doğuş Üniversitesi Dergisi, 10(2), 324-335.
  • Yıldız, B. (2016). Oynaklık Tahmininde Simetrik ve Asimetrik GARCH Modellerinin Kullanılması: Seçilmiş BİST Alt Sektör Endeksleri Üzerine Bir Uygulama. Muhasebe ve Finansman Dergisi, Ekim, 83-106.
  • You, W., Guo, Y., Zhu, H., & Tang, Y. (2017). Oil price shocks, economic policy uncertainty and industry stock Returns in China: Asymmetric effects with quantile regression. Energy Economics, 68, 1–18.
  • Yu, H., Fang, L., & Sun, B. (2018a). The role of global economic policy uncertainty in long-run volatilities and correlations of U.S. industry-level stock returns and crude oil. Plos One, 13(2), 1-17, https://doi.org/10.1371/journal.pone.0192305.
  • Yu, H., Fang, L., & Sun, W. (2018b). Forecasting performance of global Economic policy uncertainty for volatility of Chinese stock market. Physica, 505, 931–940.
There are 35 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Özge Korkmaz 0000-0001-9275-1271

Selim Güngör 0000-0002-2997-1113

Publication Date December 15, 2018
Acceptance Date September 4, 2018
Published in Issue Year 2018

Cite

APA Korkmaz, Ö., & Güngör, S. (2018). Küresel Ekonomi Politika Belirsizliğinin Borsa İstanbul’da İşlem Gören Seçilmiş Endeks Getirileri Üzerindeki Etkisi. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 6(ICEESS’ 18), 211-219. https://doi.org/10.18506/anemon.452749

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