The Effect of Uncertains in European Economic Policies on the BIST 100 Index

Abstract

Uncertainties are one of the factors affecting investors' investment decisions. In accordance with the wait-and-see policy, which is the best option for investors in an uncertain environment, investors can postpone their investment and consumption decisions. Uncertainties especially in economic policies affect investors' decisions more deeply. In this context, the goal of this study is to test the effect of European Economic Policy Uncertainty (EPU) index, which represents uncertainties in economic policies of European countries, on BIST 100 index by Vector Error Correction Model (VECM), Johansen Cointegration and cointegration coefficient estimator FMOLS and DOLS. Monthly data between February 1988 and May 2019 were used in this study. Findings of the study, it was reached that there was a long-run interaction between EPU and BIST 100 index and the increases in the EPU index had a negative effect on the BIST 100 index. In addition, one-way causality relationship was determined from the change in EPU index to the change in BIST 100 index.

Keywords

• Economic Policy Uncertainty Index
• BIST 100 Index
• Causality Analysis
• Cointegration Analysis
• FMOLS and DOLS

Avrupa Ekonomi Politikalarındaki Belirsizliklerin BIST 100 Endeksi Üzerindeki Etkisi

Abstract

Belirsizlikler, yatırımcıların yatırım kararları üzerinde etkili olan faktörlerden biridir. Belirsizliklerin olduğu ortamda yatırımcılar için en iyi seçenek olan bekle-gör politikası gereğince yatırım ve tüketim kararlarını erteleyebilmektedirler. Özellikle ekonomi politikalarında yaşanan belirsizlikler, yatırımcıların kararlarını daha derinden etkilemektedir. Bu bağlamda bu çalışmada Avrupa ülkelerinin ekonomi politikalarındaki belirsizlikleri temsil eden Avrupa ekonomik politika belirsizlik (EPU) endeksinin BIST 100 endeksi üzerindeki etkisinin Vektör Hata Düzeltme Modeli (VECM), Johansen eşbütünleşme testi ve FMOLS ve DOLS tahmincileri ile test edilmesi amaçlanmıştır. 02/1988 – 05/2019 dönemi aylık verilerin kullanıldığı analiz sonucunda EPU ile BIST 100 endeksi arasında uzun dönemli bir ilişki olduğu ve EPU endeksinde meydana gelen artışların BIST 100 endeksi üzerinde negatif etkisinin olduğu tespit edilmiştir. Ayrıca EPU endeksindeki değişimden BIST 100 endeksindeki değişime doğru bir nedensellik ilişkisinin olduğu ve bu nedenselliğin tek yönlü olduğu tespit edilmiştir.

Keywords

• EPU
• BİST 100
• Nedensellik Analizi
• Eşbütünleşme Analizi
• DOLS ve FMOLS

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