ABD Finansal Piyasalarındaki Gelişmelerin ve Belirsizliklerin Borsa İstanbul Üzerindeki Asimetrik Etkileri

Öz

Bu çalışmada, ABD hisse senedi piyasası ve bu piyasadaki belirsizliklerin yanında ABD Merkez Bankası (FED) para politikalarındaki belirsizliğin Borsa İstanbul (BIST) üzerindeki etkileri incelenmiştir. Bu incelemede, doğrusal olmayan otoregresif gecikmesi dağıtılmış (NARDL) ve doğrusal otoregresif gecikmesi dağıtılmış (ARDL) modellerinden faydalanılmıştır. Elde edilen sonuçlara göre, ABD hisse senedi piyasasındaki değişimlerin BIST üzerinde kısa dönemde pozitif ve uzun dönemde negatif etkilerinin olduğu ve bu etkilerin kısa dönemde asimetrik olduğu gözlemlenmiştir. Buna ek olarak, hem ABD hisse senedi piyasasındaki belirsizliğin hem de FED politikalarındaki belirsizliğin BIST üzerinde asimetrik etkilere sahip olduğu ve bu etkilerin kısa ve uzun dönemde önemli derecede farklı olduğu bulgusuna ulaşılmıştır. Bulgularımız etkin yatırım stratejileri uygulamak ve küresel risklere karşı uygun ekonomi politikalarının belirlenmesi açısından önemli çıkarımlar içermektedir.

Anahtar Kelimeler

• Borsa İstanbul (BIST)
• Doğrusal Olmayan ARDL (NARDL)
• ABD Finansal Piyasaları
• Belirsizlik
• ABD Merkez Bankası (FED)

The Asymmetric Effects of Developments and Uncertainties in US Financial Markets on Borsa Istanbul

Abstract

In this study, the effects of US stock market, US stock market uncertainty and the Federal Reserve’s (FED) monetary policy uncertainty on Borsa Istanbul (BIST) are investigated. In this investigation, nonlinear and linear autoregressive distributed lag (NARDL and ARDL) models are used. It is observed that changes in US stock market have positive and negative impacts on the BIST in the short- and long-term, respectively, and these effects are asymmetric in the short-term. Furthermore, it is found that the uncertainties in the US stock market and the FED policies have different and asymmetric effects on the BIST in the short- and long-term. Our findings have important implications for implementing effective investment strategies and determining appropriate economic policies against global risks.

Keywords

• Borsa Istanbul (BIST)
• Nonlinear ARDL (NARDL)
• US Financial Markets
• Uncertainty
• Federal Reserve (FED)

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