Belirsizlik Endeksleri ile Enerji Hisse Senedi Performansı Arasındaki İlişkilerin SVAR Modeli ile İncelenmesi

Öz

Belirsizlik faktörü finansal piyasaları önemli ölçüde etkileyen bir olgu olmakla birlikte; özellikle son yıllarda yapılan çalışmalar, politika ve enerji piyasalarındaki belirsizliklerin hisse senedi piyasaları üzerinde anlamlı etkileri olduğu ortaya koymaktadır. Bu bağlamda, mevcut çalışmada Ocak 1996-Ekim 2022 dönem aralığı için aylık veriler kullanılarak enerji ile ilgili belirsizlik (EU) endeksi, petrol fiyatları belirsizlik (OPU) endeksi ve iklim politikası belirsizliği (CPU) endeksinin, S&P 500 enerji hisse senedi endeksi üzerindeki etkileri Yapısal Vektör Otoregresyon (SVAR) Modeli, Etki-Tepki ve Varyans Ayrıştırma analizleri ile ortaya konmaktadır. Ampirik bulgular, EU, OPU ve CPU endekslerinin S&P 500 enerji endeksi üzerinde anlamlı etkileri olduğunu göstermektedir. Ayrıca, S&P 500 enerji endeksinin EU, OPU ve CPU şoklarına verdiği tepkinin uzun dönemde azaldığı ancak kendi dinamiklerinden kaynaklanan şoklara verdiği tepkinin uzun dönemde kalıcı olduğu gözlenmektedir. Çalışmanın, piyasa belirsizliklerinin enerji hisse senedi performansları üzerindeki etkilerini ortaya koyması açısından önemli bir katkı sunacağı; elde edilen bulguların yatırımcılar, enerji sektörü ve politika yapıcılar için değerlendirilebileceği öngörülmektedir.

Anahtar Kelimeler

• SVAR Modeli
• Enerji Belirsizliği
• Petrol Fiyatı Belirsizliği
• İklim Politikası Belirsizliği

Examining the Relationships Between the Uncertainty Indices and Energy Stock Performance Using the SVAR Model

Öz

Uncertainty is a phenomenon that significantly influences financial markets. Particularly, recent studies have highlighted the substantial impact of policy and energy market uncertainties on stock markets. In this context, the present study employs monthly data for the period from January 1996 to October 2022 to examine the effects of the Energy Uncertainty (EU) Index, the Oil Price Uncertainty (OPU) Index, and the Climate Policy Uncertainty (CPU) Index on the S&P 500 Energy Stock Index using the Structural Vector Autoregression (SVAR) model, Impulse-Response and Variance Decomposition analyses. The empirical findings reveal that the EU, OPU, and CPU indices significantly affect the S&P 500 energy index. The response of the S&P 500 energy index to EU, OPU, and CPU shocks decreases in the long run while its response to shocks driven by its own dynamics remains persistent over time. The study is expected to make a significant contribution by revealing the effects of market uncertainties on energy stock market performance and the findings of the study might be evaluated by investors, the energy sector, and policymakers.

Anahtar Kelimeler

• : SVAR Model
• Energy Uncertainty
• Oil Price Uncertainty
• Climate Policy Uncertainty

Kaynakça

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