Küresel Ekonomi Belirsizlik Endeksi ve Twitter-Belirsizlik Endeksi Portföy Yönetimi Stratejilerinde Karar Değişkeni Olabilir mi?

Abstract

Makale, Twitter Tabanlı Belirsizlik Endeksi, Küresel Ekonomi Politikası Belirsizlik Endeksi ve Türkiye BIST Banka Endeksi arasındaki ilişkileri Vektör Otoregresif Model (VAR) ve Granger nedensellik analizi yöntemini kullanılarak incelemektedir. Varyans ayrıştırma sonuçlarına göre BIST banka endeksi standart sapmasında meydana gelen değişimin %11,11 Küresel Ekonomi Belirsizlik Endeksi, %1,29'u Twitter Tabanlı Belirsizlik Endeksi tarafından açıklamaktadır. Ekonomik belirsizliklerin BIST banka endeksi üzerindeki etkileri orta şiddettedir. Twitter belirsizlik endeksinin etkisi ise düşük şiddette ve dalgalıdır. Küresel Ekonomi Belirsilik Endeksinin Türkiye bankacılık sektörü endeksi üzerindeki etkisi Twitter Tabanlı Belirsizlik Endeksine göre daha baskındır. BIST banka endeksinin kendi şoklarına karşı piyasa hafızası kısa süreli, ekonmik belirsizliklere ve sosyal medya kaynaklı belirsizliklere karşı piyasa hafızası daha uzun sürelidir. Bankacılık sektörü endeksi ile Küresel Ekonomi Politikası Belirsizlik Endeksi arasında çift yönlü, Twitter Tabanlı Belirsizlik endeksinden bankcılık sektör endeksine doğru tek yönlü nedensellik mevcuttur. Çalışma sonuçları portföy yöneticileri tarafından belirsizlik şoklarına karşı piyasa hafızasının tahmin edilmesinde, etki tepki sonuçlarına göre kısa vadeli portföy yönetim stretijilerinde portföy seçimi, portföy risk yönetimi kararlarına destek amaçlı ve şoklar karşısında dönemsel zamanlama stretejisinin planlanıp uygulanmasında kullanılabilir.

Keywords

• Piyasa hafızası
• Portföy stratejisi
• Ekonomi Politika Endeksi (GEPU)
• Twitter Belirsizlik Endeksi (TEU)
• BIST Banka Endeksi (XBANK)

Can the Global Economic Uncertainty Index and Twitter Uncertainty Index Be Decision Variables in Portfolio Management Strategies?

Abstract

The paper examines the relationships between the Twitter-Based Uncertainty Index, the Global Economic Policy Uncertainty Index, and the Turkey BIST Banking Index using the Vector Autoregressive Model (VAR) and Granger causality analysis methods. According to variance decomposition results, 11.11% of the variation in the standard deviation of the BIST bank index is explained by the Global Economic Uncertainty Index, and 1.29% is explained by the Twitter-Based Uncertainty Index. The effects of economic uncertainties on the BIST bank index are moderate. The effect of the Twitter uncertainty index is low and volatile. The effect of the Global Economic Uncertainty Index on the Turkish banking sector index is more dominant than that of the Twitter-Based Uncertainty Index. The market memory of the BIST banking index is short-term against its own shocks, while its market memory is longer-term against economic uncertainties and social media-driven uncertainties. A two-way causality has been identified between the banking sector index and the Global Economic Policy Uncertainty Index, and a one-way causality has been identified from the Twitter-Based Uncertainty Index to the banking sector index. The results of the study can be used by portfolio managers to predict market memory against uncertainty shocks, to support portfolio selection and portfolio risk management decisions in short-term portfolio management strategies based on impact-response results, and to plan and implement periodic timing strategies in response to shocks.

Keywords

• Market memory
• Portfolio strategy
• Economic Policy Index (GEPU)
• Twitter Uncertainty Index (TEU)
• BIST Bank Index (XBANK)

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