Küresel Ekonomik Politika Belirsizliğinin Hisse Senedi Fiyatları Üzerindeki Etkisi: Türkiye Örneği

Öz

Bu çalışmada küresel ekonomik politika belirsizliğinin (GEPU) pay senedi fiyatları üzerindeki etkisinin asimetrik olup olmadığı incelenmiştir. Çalışmada Türkiye için 2005-2024 yılları arası aylık veriler kullanılarak doğrusal olmayan otoregresif dağıtılmış gecikme (NARDL) yöntemine dayalı hata düzeltme modeli tahmin edilmiştir. Ampirik bulgular hem doğrusal hem de doğrusal olmayan ARDL hata düzeltme modeli tahminlerinin GEPU’nun pay senedi fiyatları üzerindeki etkisinin istatistiksel olarak anlamlı ve negatif olduğu yönündedir. GEPU arttığında, yatırımcıların pay senedi fiyatlarına dair öngörülebilirliği azaldığı için riskli varlıklardan kaçınma eğilimi gösterirler. Hisse senetleri de riskli varlıklar kategorisinde olduğu için yatırımcılar tahvil gibi daha güvenli limanlara yönelebilirler. Bundan dolayı hisse senetlerine olan talep azalarak fiyatların düşmesine yol açar. Asimetrik test sonuçlarına göre kısa dönemde GEPU’daki pozitif ve negatif yönlü değişimlerin pay senedi fiyatları üzerindeki etkisinin asimetrik olduğu tespit edilmiştir. Bu durum, yatırımcı duyarlılığının ve risk algısının kısa vadeli dalgalanmalara karşı asimetrik bir yapıya sahip olduğuna işaret etmektedir. Buna karşın uzun dönemde GEPU’daki pozitif ve negatif yönlü değişimlerin pay senedi fiyatları üzerindeki etkisinin zaman içerisinde istatistiksel olarak anlamlı bir asimetrik etkisinin olmadığı elde edilmiştir. Bu bulgu, piyasaların uzun vadede ekonomik belirsizliklere karşı daha dirençli hale geldiğini ve olası şokların zaman içinde fiyatlara yansıyarak dengelendiğini göstermektedir. Sonuç olarak kısa dönemde gözlenen asimetrik tepkilerin, uzun dönemde yerini daha istikrarlı ve simetrik bir fiyat oluşum sürecine bıraktığı sonucuna ulaşılmıştır.

Anahtar Kelimeler

• Hisse Senedi Fiyatları
• Politika Belirsizliği
• Asimetri
• Doğrusal Olmayan ARDL
• Türkiye

The Impact of Global Economic Policy Uncertainty on Stock Prices: The Case of Turkey

Öz

This study investigates whether the impact of global economic policy uncertainty (GEPU) on stock prices is asym- metric. In this study, the error correction model based on the nonlinear autoregressive distributed lag (NARDL) method is estimated for Turkey using monthly data for the period 2005-2024. The empirical findings indicate that both the linear and nonlinear ARDL error correction model estimates suggest that the effect of GEPU on stock prices is statistically significant and negative. When the GEPU increases, investors tend to avoid risky assets as the predictability of stock prices decreases. Since stocks are also in the category of risky assets, investors may turn to safer havens such as bonds. Therefore, the demand for stocks decreases, leading to a fall in their prices. According to the asymmetric test results, the effect of positive and negative changes in GEPU on stock prices in the short run is asymmetric. This indicates that investor sentiment and risk perception have an asymmetric structure against short- term fluctuations. On the other hand, it is found that in the long run, positive and negative changes in the GEPU do not have a statistically significant asymmetric effect on stock prices over time. This finding suggests that markets have become more resilient to economic uncertainties eventually and that potential shocks are reflected in prices and stabilised over time. As a result, it is concluded that the asymmetric responses observed in the short run are replaced by a more stable and symmetric price formation process eventually.

Anahtar Kelimeler

• Stock Prices
• Policy Uncertainty
• Asymmetry
• Nonlinear ARDL
• Turkey

Kaynakça

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