THE EFFECT OF FINANCIAL STRESS ON STOCK MARKETS: AN EXAMPLE OF MINT ECONOMIES

Year 2024, , 452 - 467, 24.10.2024

Kübra Saka Ilgın

https://doi.org/10.14780/muiibd.1499394

Abstract

Increasing uncertainties due to developments in financial markets lead to uncontrollable financial behaviors. Financial stress indices are created by taking into account many different financial indicators directly related to the financial system. So, it is important to examine the impact of financial stress indices on stock markets, which have an important share in financial markets. The paper aims to investigate the short and long-term effects of emerging markets' financial stress index (EFSI) and global financial stress indices (GFSI) on the stock markets of MINT (Mexico, Indonesia, Nigeria, and Turkey) economies. For this purpose, analyses were made using the ARDL (Autoregressive Distributed Lag) Bounds Test method using weekly data for the period 10/01/2014-26/04/2024. It has been determined that EFSI and GFSI negatively affected the benchmark stock market indices of all MINT economies in the short term and that the negative effect continued in the long term but it has been significant for only EFSI in all MINT economies, as important results of the analysis. It has been determined that following financial stress indices can be a leading indicator for stock market investors. It is hoped that the results of the paper may be useful for financial market actors who are considering investing in these markets.

Keywords

Stock Markets, Financial Stress Index, MINT Economies

FİNANSAL STRESİN HİSSE SENEDİ PİYASALARI ÜZERİNDEKİ ETKİSİ: MINT EKONOMİLERİ ÖRNEĞİ

Abstract

Finansal piyasalarda yaşanan gelişmeler dolayısıyla artan belirsizlikler kontrol edilemeyen finansal davranışlara yol açmaktadır. Finansal stres endeksleri doğrudan finansal sistem ile ilişkili birçok farklı finansal gösterge dikkate alınarak oluşturulmaktadır. Bu nedenle finansal stres endekslerinin finansal piyasalarda önemli payı olan hisse senedi piyasaları üzerindeki etkisinin incelenmesi önem arz etmektedir. Çalışmada gelişen piyasalar finansal stres endeksi (EFSI) ile küresel finansal stres endekslerinin (GFSI) MINT (Mexico, Indonesia, Nigeria and Türkiye) ekonomilerine ait hisse senedi piyasaları üzerindeki kısa ve uzun dönemli etkilerinin araştırılması amaçlanmıştır. Bu amaçla 10/01/2014-26/04/2024 dönemine ait haftalık veriler kullanılarak ARDL (Autoregressive Distrubited Lag) Sınır Testi methodu ile analizler yapılmıştır. Analizler sonucunda MINT ekonomilerinin tümü için EFSI ve GFSI’nın kısa dönemde ülkelerin gösterge borsa endekslerini negatif etkilediği, uzun dönemde ise bu olumsuz etkinin devam ettiği fakat EFSI için anlamlı olduğu tespit edilmiştir. Finansal stres endekslerini takip etmenin borsa yatırımcıları için öncü bir gösterge olabileceği belirlenmiştir. Çalışma sonuçlarının bu piyasalara yatırım yapma düşüncesindeki piyasa aktörleri için yararlı olabileceği umulmaktadır.

Keywords

Hisse Senedi Piyasaları, Finansal Stres Endeksi, MINT Ekonomileri

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