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

Year 2018, Volume: 6 Issue: ICEESS’ 18, 211 - 219, 15.12.2018

Özge Korkmaz , Selim Güngör

https://doi.org/10.18506/anemon.452749

Cited By: 18

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.

Keywords

Global Economic Policy Uncertainty, Return Indexes, ARCH Models, GARCH Models

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

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.

Keywords

Küresel Ekonomi Politika Belirsizliği, Getiri Endeksleri, ARCH Modelleri, GARCH Modelleri

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