The Impact of Selected Global Financial Indicators on the BIST 30 Index: An Analysis Using the Residual Augmented Least Squares (RALS) Method

Öz

Uncertainty and volatility in financial markets have become significant determinants of investors' risk perceptions, particularly considering rapid global economic changes. Macroeconomic indicators and financial variables are es sential for understanding market dynamics and analysing volatility. These factors influence asset returns by affecting the value of financial instruments, thereby increasing investors' sensitivity to price fluctuations. Consequently, f inancial indicators play a crucial role in shaping portfolio strategies and are frequently examined in academic research. This study explores the impact of global financial variables on the BIST 30 Index, considering variables such as the Global Financial Uncertainty Index (WUI), the United States 10Year Treasury Bond Yield, the Chicago Board Options Exchange Volatility Index (VIX), the Morgan Stanley Capital International (MSCI) World Index, and Türkiye's GDP growth rate. Quarterly data from 2004 to 2022 were analysed using EViews and WinRats software. Initially, a regression analysis was conducted using the Least Squares Method, revealing that the BIST 30 Index is significantly influenced by WUI, the US 10Year Treasury Bond Yield, the VIX, the MSCI World Index, and the GDP growth rate. However, since the normality assumption of the error terms was not satisfied, the analysis was redone using the Residual Augmented Least Squares (RALS) method, which provides more effective results when the error terms are nonnormally distributed. In the revised model, the US 10Year Treasury Bond Yield was excluded due to its lack of significance. The remaining variables, including WUI, MSCI World Index, VIX, and GDP growth rate, were found to be statistically significant in explaining the BIST 30 Index.

Anahtar Kelimeler

• Global Financial Indicators
• BIST 30 Index
• RALS Method

Kaynakça

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