The Impact of US-China Tensions on Borsa Istanbul Sector Indices: The Fourier Toda–Yamamoto Causality Approach

Abstract

The purpose of this study is to determine the impact of US-China trade tensions on sector indices in Turkey's stock markets as a developing economy. In the study's data set, the dependent variables selected to represent the Turkish stock markets and sector indices are the BIST100, Services, Financial, Industrial, and Technology indices. The independent variable is the US-China Tension Index (UCT) created by Rogers et al. (2024) to represent US-China tensions. The study covers the period from June 2000 to February 2024. In the analysis, the impact of the US-China Tension Index (UCT) on the BIST100 and sector indices was measured using the Fourier Toda-Yamamoto (2016) Causality Test, which takes structural breaks into account. To increase the reliability of the causality test results, the stationarity levels of the variables were measured using traditional unit root tests as well as new generation unit root tests, which are more powerful. The analysis used the traditional ADF unit root test, the FADF unit root test that takes structural breaks into account, and the Fourier-Sollis (2018) unit root test that considers both structural breaks and linear non-stationarity. The analysis results show that the UCT index has an impact on both the BIST100 and the Services, Financial, Industrial, and Technology indices. This result can be seen as a sign of how sensitive the Turkish stock market is to global geopolitical tensions.

Keywords

• US-China Tension Index (UCT)
• Borsa Istanbul Sector Indices
• Fourier Toda-Yamamoto

ABD-Çin Geriliminin Borsa İstanbul Sektör Endeksleri Üzerindeki Etkisi: Fourier Toda–Yamamoto Nedensellik Yaklaşımı

Abstract

Bu çalışmanın amacı, ABD ve Çin ticari geriliminin gelişmekte olan bir ekonomi olarak Türkiye’nin hisse senedi piyasalarındaki sektör endekslerine etkisini belirlemektir. Veri setinde, Türkiye hisse senedi piyasaları ve sektör endekslerini temsilen BIST100, Hizmet, Mali, Sınai ve Teknoloji endeksleri bağımlı değişkenler olarak seçilmiş. Bağımsız değişken ise ABD-Çin gerilimini temsilen Rogers vd. (2024) tarafından oluşturulan ABD-Çin Gerilim Endeksi’dir (UCT). Çalışmanın zaman aralığı Haziran 2000-Şubat 2024 dönemini kapsamaktadır. Analizde ABD-Çin Gerilim Endeksi’nin BIST100 ve sektör endekslerine etkisi yapısal kırılmaları dikkate alan Fourier Toda-Yamamoto (2016) Nedensellik Testi ile ölçülmüştür. Nedensellik testi sonuçlarının güvenilirliğini artırmak amacıyla, değişkenlerin durağanlık düzeyleri geleneksel birim kök testi yanında daha güçlü oldukları kabul edilen geliştirilmiş yeni nesil birim kök testleri ile ölçülmüştür. Analizde geleneksel ADF birim kök testi, yapısal kırılmaları dikkate alan FADF birim kök testi ve ayrıca hem yapısal kırılmaları hem de doğrusal dışılığı birlikte dikkate alan Fourier-Sollis (2018) birim kök testi kullanılmıştır. Analiz sonuçlarında UCT endeksinin BIST100 ve Hizmet, Mali, Sınai ve Teknoloji endekslerine doğru etkisi olduğu tespit edilmiştir. Bu sonuç küresel jeopolitik gerilimin Türkiye hisse senedi piyasasındaki bütünsel duyarlılığın göstergesi olarak kabul edilebilir.

Keywords

• ABD-Çin Gerilim Endeksi (UCT)
• Borsa İstanbul Sektör Endeksleri
• Fourier Toda-Yamamoto

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