BRICS-T Ülkelerinde Makroekonomik Faktörlerin ve Belirsizliklerin Hisse Senedi Volatilitesi Üzerindeki Etkisi: Panel NARDL Yaklaşımı

Abstract

Hisse senedi piyasalarında volatilite ülkelerin ekonomik ve finansal göstergeleriyle açıklanamayacak kadar çok boyutlu bir yapıya sahiptir. Politik ve ekonomik belirsizlikler, yatırımcı kararları üzerinden varlık fiyatlamalarında önemli dalgalanmalara yol açabilmektedir. Finansal piyasalar, özellikle gelişmekte olan ekonomilerde, küresel risk algısındaki dalgalanmalara ve belirsizliklere karşı duyarlıdır. Bu çerçevede, birçok belirsizlik faktörünü içeren dünya belirsizlik endeksindeki artışlar, finansal varlıkların fiyatlarını doğrudan etkileyebilmektedir. Bu araştırmanın amacı, BRICS-T ülkelerinin hisse senedi piyasalarındaki oynaklığın, makroekonomik faktörler dahilinde belirsizlikler karşısındaki tepkisini incelemektir. Araştırmada Panel NARDL yöntemi kullanılarak kısa ve uzun dönem ilişkileri incelenmiştir. Araştırmanın ampirik bulguları, uzun vadede enflasyon ve faiz oranlarındaki yükselişlerin hisse senedi piyasasındaki volatil davranışları artırdığını, döviz kuru azalışlarının ise volatiliteyi azalttığını ortaya koymaktadır. Dünya belirsizlik endeksinin ise kısa ve uzun dönemde ülkelerin hisse senedi oynaklıklarının üzerinde anlamlı bir etkiye sahip olduğu tespit edilmiştir. Ayrıca araştırmada, uzun vadede belirsizlikteki artışların piyasalarda durgunluğa yol açarak volatiliteyi azalttığı, kısa vadede ise belirsizliklere gelen pozitif şokların volatiliteyi artırdığı bulgusuna ulaşılmıştır. Sonuçlar, BRICS-T ülkelerindeki hisse senedi piyasalarının yalnızca iç ekonomik dinamiklere değil, farklı kanallardan gelen belirsizliklere de duyarlı olduğunu göstermektedir. Bu araştırma, BRICS-T hisse senedi piyasasının değerlendirilmesinde dış şokların dikkate alınmasının önemini vurgulamakta ve küresel belirsizliklere bağlı risklerin yönetimi hususunda öneriler sunmaktadır.

Keywords

• Hisse Senedi
• Oynaklık
• Makroekonomik Faktörler
• Dünya Belirsizlik Endeksi
• BRICS
• NARDL

The Impact of Macroeconomic Factors and Uncertainty on Stock Market Volatility in the BRICS-T Countries: A Panel NARDL Approach

Abstract

: Volatility in stock markets has a multidimensional structure that cannot be explained solely by the economic and financial indicators of countries. Political and economic uncertainties can lead to significant fluctuations in asset pricing through their influence on investor decisions. Financial markets, particularly in emerging economies, are sensitive to fluctuations and uncertainties in global risk perception. In this context, increases in the World Uncertainty Index, which encompasses various uncertainty factors, can directly affect the prices of financial assets. The aim of this study is to examine the response of stock market volatility in the BRICS-T countries to uncertainties within the framework of macroeconomic factors. We analyzed both short- and long-term relationships using the Panel NARDL method. The empirical findings of the study reveal that, in the long term, increases in inflation and interest rates amplify volatile behavior in the stock markets, while decreases in exchange rates tend to reduce volatility. The World Uncertainty Index significantly influences stock market volatility, both in the short and long term. Moreover, the study finds that, in the long run, rising uncertainty leads to stagnation in markets, thereby reducing volatility, whereas in the short run, positive shocks to uncertainty increase volatility. The results demonstrate that stock markets in the BRICS-T countries are sensitive not only to domestic economic dynamics but also to uncertainties transmitted through various external channels. This study underscores the importance of considering external shocks in the evaluation of the BRICS-T stock markets and offers recommendations for managing risks associated with global uncertainties.

Keywords

• Stock Market
• Volatility
• Macroeconomic Factors
• World Uncertainty Index
• BRICS
• NARDL

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