The Relationship Between Geopolitical Risk Index and Sectoral Index Returns

Yıl 2025, Cilt: 25 Sayı: 2, 1005 - 1028, 31.07.2025

Fazlı Irmak

https://doi.org/10.11616/asbi.1658368

Öz

This study investigates the relationship between the Turkish GPR index and sectoral index returns for the period 2000/1-2024/9. A cointegration relationship was found between the variables. As a result of PNARDL analysis, it is determined that short-run shocks are eliminated in the long run. Positive shocks in the GPR index are found to decrease the sectoral index values, while negative shocks are found to increase them. The Wald test reveals that there is an asymmetric relationship between the GPR index and the sectoral index. When the results of PNARDL analysis for each sector are analyzed, it is determined that an increase in geopolitical risks in the short term causes a decline in many sectors, while short-term negative shocks in geopolitical risks affect fewer sectors. In the long run, only increases in geopolitical risks have a negative impact on some sectors. Bidirectional causality is found between positive shocks in geopolitical risks and the sectoral index and bidirectional causality between negative geopolitical risks and the sectoral index from the sectoral index to geopolitical risks.

Anahtar Kelimeler

Geopolitical Risk Index (GPR) , Sectoral Index , Granger Causality , PNARDL , Cointegration

Etik Beyan

We accept that this study is an original research article prepared in accordance with scientific ethical rules and scientific method, it has not been published or presented in any other journal, the ethical and scientific responsibility belongs to all authors of the article.

Destekleyen Kurum

The authors acknowledge that they received no external funding in support of this research.

Jeopolitik Risk Endeksi ile Sektörel Endeks Getirileri Arasındaki İlişki

Öz

Çalışmada, 2000/1-2024/9 dönemleri arası Türkiye GPR endeksi ile sektörel endeks getirileri arasındaki ilişki araştırılmıştır. Değişkenler arasında eşbütünleşme ilişkisi belirlenmiştir. PNARDL analizi sonucunda, kısa dönemli şokların uzun dönemde giderildiği belirlenmiştir. GPR endeksinde yaşanan pozitif şokların sektörel endeks değerlerini azalttığı, negatif şokların ise artırdığı tespit edilmiştir. Wald testi sonucunda GPR endeksi ile sektörel endeks arasında asimetrik ilişki olduğu belirlenmiştir. Her bir sektör için PNARDL analiz sonuçları incelendiğinde, kısa vadede jeopolitik risklerde artışın birçok sektörde düşüşe neden olduğu, jeopolitik risklerdeki kısa vadeli negatif şokların ise daha az sayıda sektörü etkilediği belirlenmiştir. Uzun vadede, sadece jeopolitik risklerdeki artışların bazı sektörler üzerinde negatif etkisi olduğu tespit edilmiştir. Jeopolitik risklerdeki pozitif şoklar ile sektörel endeks arasında çift yönlü ve negatif jeopolitik risk ile sektörel endeks arasında sektörel endeksten jeopolitik riske doğru olduğu nedensellik tespit edilmiştir.

Anahtar Kelimeler

Jeopolitik Risk Endeksi (GPR) , Sektörel Endeks , Granger Nedensellik , PNARDL , Eşbütünleşme

Etik Beyan

Bu çalışmanın bilimsel etik kurallara ve bilimsel yönteme uyularak hazırlanan özgün nitelikte bir araştırma makalesi olduğunu, başka hiçbir dergide yayınlanmadığını veya sunulmadığını, etik ve bilimsel açıdan sorumluluğun makalenin tüm yazarlarına ait olduğunu kabul ederiz.

Destekleyen Kurum

Yazarlar, bu araştırmayı desteklemek için herhangi bir dış fon almadıklarını kabul ederler

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