BRICS-T Ülkelerinde Hisse Senedi Volatilitesi: Faiz, Döviz Kuru ve Küresel Ekonomi Politikası Belirsizliğin Etkileri

Abstract

Finansal piyasalarda oynaklık, ekonomik temellerin ilerisine geçerek küresel belirsizliklerin yönlendirdiği dinamiklere bağlı olarak şekil almaktadır. Küresel ekonomi politikası belirsizliği bu kapsamda yatırımcı duyarlılığı ve sermaye akışkanlığı üzerinde belirleyici bir etkiye sahip olmakla birlikte özellikle gelişmekte olan piyasalar için risk primlerini ve varlık fiyatlamalarını doğrudan etkilemektedir. Bu araştırma, BRICS-T ülkelerinde hisse senedi volatilitesinin, faiz oranları, döviz kuru ve küresel ekonomi politikası belirsizliği karşısındaki tepkilerini incelemektedir. Kısa ve uzun dönem ilişkilerinin Panel ARDL yöntemi çerçevesinde analiz edildiği araştırmada elde edilen bulgular, faiz oranlarının hisse senedi oynaklığını artırırken döviz kuru değişimlerinin ise oynaklığı azalttığını göstermektedir. Küresel ekonomi politikası belirsizliği endeksinin, kısa ve uzun dönemde volatilite üzerinde tetikleyici etkisiyle yatırımcı risk algısını güçlendirdiği tespit edilmiştir. Özellikle kısa vadeye göre, uzun dönemde niceliksel olarak daha fazla olan belirsizlik artışları, piyasalarda daha keskin dalgalanmalara yol açmakta ve finansal istikrarsızlığı tetiklemektedir. Sonuçlar, BRICS-T ülkelerinde hisse senedi piyasalarının yalnızca iç ekonomik göstergelere değil, küresel politika belirsizliklerine de duyarlılık gösterdiğini ortaya koymaktadır. Kısa vadede belirsizliklerin ani piyasa tepkilerine neden olduğu, uzun vadede ise yatırımcı güveni ve risk primleri üzerindeki kalıcı etkilerinin belirginleştiği görülmektedir. Bu bağlamda, finansal istikrarın sürdürülebilirliği açısından belirsizliklerin piyasa davranışları üzerindeki etkisini azaltmaya yönelik olarak esnek politika çerçevelerinin oluşturulması ve risk yönetimi mekanizmalarının sağlamlaştırılması önerilmektedir.

Keywords

• 1. Hisse Senedi Oynaklığı
• 2. Ekonomi Politika Belirsizliği
• 3. Panel ARDL.

Stock Volatility in BRICS-T Countries: The Effects of Interest Rate, Exchange Rate and Global Economic Policy Uncertainty

Abstract

Volatility in financial markets goes beyond economic fundamentals and is shaped by dynamics driven by global uncertainties. In this context, global economic policy uncertainty has a decisive impact on investor sentiment and capital flows and directly affects risk premiums and asset pricing, especially for emerging markets. This study examines the responses of stock volatility in BRICS-T countries to interest rates, exchange rates, and global economic policy uncertainty. Analyzing the short and long-run relationships within the framework of the Panel ARDL method, the findings of the study show that interest rates increase stock volatility while exchange rate changes decrease volatility. The global economic policy uncertainty index is found to strengthen investor risk perception with its triggering effect on volatility in the short and long run. In particular, quantitatively higher increases in uncertainty in the long run relative to the short run lead to sharper market volatility and trigger financial instability. The results reveal that stock markets in BRICS-T countries are sensitive not only to domestic economic indicators but also to global policy uncertainties. In the short run, uncertainties cause immediate market reactions, while in the long run, their lasting effects on investor confidence and risk premiums become evident. In this context, in order to maintain financial stability, it is recommended to establish flexible policy frameworks and strengthen risk management mechanisms to mitigate the impact of uncertainties on market behavior.

Keywords

• Stock Volatility
• Economic Policy Uncertainty
• Panel ARDL.

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