ETF Piyasası Hareketlerinin Şifrelerini Çözmek: İçsel ve Dışsal Faktörlerin Etkisi

Abstract

Bu çalışma, CDS Türkiye, Dow Jones İslami Piyasa Türkiye Borsa Yatırım Fonu (DJIMTR), Finansal Stres Endeksi (FSI), VIX ve iShare MSCI Türkiye (iShare) göstergelerinin BIST ETF'lerinin piyasa değeri (ETF) üzerine olan etkisini Ocak 2020 ve Kasım 2024 arasındaki aylık verileri kullanarak keşfetmeyi hedeflemektedir. Araştırmada etkinin incelenmesi için ARDL yöntemi kullanılmıştır. Analiz sonuçlarına göre ise değişkenler arasında eşbütünleşme vardır. Uzun dönem ilişkileri incelendiğinde ise CDS, DJIMTR ve ISHARE değişkenleri ETF üzerinde pozitif ve istatiksel olarak anlamlı bir etkiye sahipken, FSI değişkeni istatiksel olarak anlamlı ancak negatif yönde etkiye sahiptir. Hata düzeltme modeli (ECM) sonuçlarına göre ise ECT katsayı negatif ve istatiksel olarak anlamlıdır. Dolayısıyla, ETF üzerinde meydana gelen şokların kısa dönemde de etkili olduğu ve en az %51’inin bir sonraki döneme sarkmaktadır ancak bu şoklar takip eden dönemde dengeye gelmekte ve yakınsama özelliği ortaya koymaktadır. Bu nedenle CDS, FSI, DJIMTR ve ISHARE göstergeleri ETF yatırımcıları ve fon yöneticileri yatırım stratejilerinin belirlenmesi önem arz etmektedir.

Keywords

• ETF
• Finansal Stres Endeksi
• CDS
• ARDL

Decoding ETF Market Movements: The Impact of Internal and External Factors

Abstract

The study aims to explore the impact of CDS Türkiye, Dow Jones Islamic Market Türkiye Exchange Traded Fund (DJIMTR), Financial Stress Index (FSI), VIX, and iShare MSCI Türkiye (iShare) indicators on the market capitalization of BIST ETFs (ETF) using monthly data between January 2020 and November 2024. The ARDL method is used to examine the effect in the study. Based on the findings, there is cointegration between the variables. Examining the long-term relationships, CDS, DJIMTR, and ISHARE have a positive and statistically significant effect on ETF, while the FSI has a statistically significant negative effect on ETFs. The VIX and DJIMTR have a positive and statistically significant impact on the ETF in the long term. The error correction model (ECM) results show that the ECT coefficient is negative and statistically significant. Therefore, the shocks occurring on the ETF are effective in the short term, and at least 51% of them spill over to the next period, but these shocks come to balance in the following period and exhibit a convergence feature. So, CDS, FSI, DJIMTR, and ISHARE indicators are significant for determining the investment strategies of ETF investors and fund managers.

Keywords

• ETF
• Financial Stress Index
• CDS
• ARDL

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