İklim Politikası Belirsizliğinin E7 Ülkelerinde Hisse Senedi Getirileri Üzerindeki Etkisi: Panel Kantil Regresyon Analizi

Abstract

İklim politikası belirsizliğinin finansal piyasalar üzerindeki etkisi son yıllarda giderek artan bir ilgi konusu hâline gelmiştir. Ancak, gelişmekte olan ülkeler bu alandaki ampirik çalışmalar açısından görece ihmal edilmiştir. Bu çalışma, Gavriilidis (2021) tarafından geliştirilen İklim Politikası Belirsizliği (Climate Policy Uncertainty, CPU) endeksinin E7 ülkelerinde hisse senedi getirileri üzerindeki etkisini panel kantil regresyon yöntemiyle incelemektedir. Brezilya, Çin, Hindistan, Endonezya, Meksika, Rusya ve Türkiye’den oluşan E7 grubu; gelişmekte olan ekonomiler arasında büyüklükleri, yatırım çekme kapasiteleri ve çevresel kırılganlık düzeyleri nedeniyle analize dâhil edilmiştir. Çalışma dönemi olarak seçilen Ocak 2010 – Nisan 2025 aralığı hem CPU verisinin kapsayıcılığını hem de küresel iklim politikalarının yoğunlaştığı bir süreci temsil etmektedir. Modelde kontrol değişkenleri olarak DXY, VIX, MOVE ve Brent petrol fiyatları kullanılmıştır. Bulgular, CPU’nun yalnızca %25 kantilinde hisse senedi getirileri üzerinde negatif ve anlamlı bir etkiye sahip olduğunu göstermektedir. DXY tüm kantillerde negatif ve anlamlı bulunurken, VIX yalnızca düşük kantillerde anlamlıdır. MOVE %10 kantilinde anlamlı, petrol fiyatları ise etkisiz bulunmuştur. Sonuçlar, CPU’nun düşük getirili dönemlerde piyasa duyarlılığı üzerinde belirgin etkiler yarattığını ortaya koymaktadır. Bu doğrultuda, yatırımcıların CPU endeksini karar süreçlerinde dikkate almaları ve politika yapıcıların daha öngörülebilir iklim politikaları geliştirmeleri önerilmektedir.Anahtar Kelimeler: İklim belirsizliği, CPU, E7, Panel kantil regresyon Jel Kodları: G15, Q54, C23, G32

Keywords

• iklim belirsizliği
• CPU
• E7
• panel kantil regresyon

Ethical Statement

Araştırma ve yayın sürecinde bilimsel etik ilkelere uyulmuştur.

The Impact of Climate Policy Uncertainty on Stock Returns in E7 Countries: A Panel Quantile Regression Analysis

Abstract

The impact of climate policy uncertainty on financial markets has become a topic of growing interest in recent years. However, developing countries have been relatively overlooked in the empirical literature on this subject. This study employs panel quantile regression to examine the effect of the Climate Policy Uncertainty (CPU) index, developed by Gavriilidis (2021), on stock returns in the E7 countries. The E7 group—Brazil, China, India, Indonesia, Mexico, Russia, and Turkey—was selected for analysis due to the members' economic size, capacity to attract investment, and level of environmental vulnerability among emerging economies. The sample period from January 2010 to April 2025 represents both the availability of comprehensive CPU data and a phase of intensified global climate policy action. The model incorporates DXY, VIX, MOVE, and Brent oil prices as control variables. The findings indicate that CPU has a negative and significant impact on stock returns only at the 25th quantile. DXY is negative and significant across all quantiles, while VIX is significant solely at lower quantiles. MOVE is significant at the 10th quantile, and oil prices are found to be insignificant. These results reveal that CPU notably affects market sentiment during periods of low returns. Accordingly, the study recommends that investors incorporate the CPU index into their decision-making processes and that policymakers develop more predictable climate policies.Keywords: Climate uncertainty, CPU, E7, Panel quantile regression Jel Codes: G15, Q54, C23, G32

Keywords

• climate uncertainty
• CPU
• E7
• panel quantile regression

Ethical Statement

Scientific ethical principles have been adhered to throughout the research and publication process.

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