The Effects of Macroeconomic News Surprises on Borsa Istanbul Sectoral Indices: A Study with Volatility Models

Öz

This study aims to determine the impact of unexpected economic news announcements on the returns of sectoral indices in Borsa Istanbul (BIST). Utilizing volatility models, the research examines how unexpected developments in key financial indicators influence sectoral returns and volatility reactions. The dataset comprises daily closing prices of 26 BIST sectoral indices from January 1, 2018, to December 31, 2022, sourced from Tradingview. Data regarding expectations and realized values for inflation, growth, unemployment, CBRT policy rates, and FED interest rates were obtained from Bloomberg. The findings reveal that average returns across all sectoral indices are positive, with positive news announcements yielding a more favorable impact than negative ones. Furthermore, negative shocks induce higher volatility than positive shocks, indicating a significant leverage effect across the indices. As the most comprehensive study to date covering 26 indices, these results provide vital insights for investors regarding market reactions to economic surprises and contribute significantly to the existing literature on emerging market efficiency.

Anahtar Kelimeler

• Stock Market
• Istanbul
• Volatility
• ARCH
• GARCH

Makroekonomik Haber Sürprizlerinin Borsa İstanbul Sektörel Endekslerine Etkileri: Volatilite Modelleriyle Bir Çalışma

Öz

Bu çalışmanın amacı, Borsa İstanbul’daki sektörel endekslerin getirileri üzerindeki ekonomik haber duyurularındaki beklenmeyen gelişmelerin etkilerini belirlemektir. Bu amaçla, Borsa İstanbul’da işlem gören seçilmiş sektörel endekslerin getirileri üzerindeki beklenmeyen ekonomik haber duyurularının etkisi ve bu beklenmeyen gelişmelere sektörel endekslerin verdiği tepkiler volatilite modelleri kullanılarak test edilmiştir. Çalışmada, 01 Ocak 2018 – 31 Aralık 2022 dönemini kapsayan 26 BIST sektörel endeksine ait günlük kapanış fiyatları TradingView veri platformundan elde edilmiştir. Enflasyon oranı, büyüme oranı, işsizlik oranı, TCMB politika faizi ve FED faiz oranı gibi ekonomik değişkenlere ilişkin beklenti ve gerçekleşme verileri Bloomberg veri platformundan temin edilmiştir. Çalışma sonucunda, tüm sektörel endekslerde ortalama getirilerin pozitif olduğu ve olumlu haber duyurularının, olumsuz haberlere kıyasla sektörler üzerinde daha olumlu etkiler yarattığı belirlenmiştir. Ayrıca BIST endekslerinde negatif şokların pozitif şoklara göre daha fazla volatiliteye neden olduğu ve bu bağlamda endekslerde kaldıraç etkisinin daha yüksek olduğu tespit edilmiştir. Bu sonuçlar, BIST’te işlem yapan yatırımcılara ekonomik haberlerin ve beklenmeyen gelişmelerin etkileri konusunda fikir vermesi açısından önemlidir. Çalışma, 26 BIST sektörel endeksinin ekonomik duyurular ve beklenmeyen gelişmelere verdiği tepkileri ölçen şimdiye kadarki en kapsamlı çalışma olması bakımından literatüre katkı sunması beklenmektedir.

Anahtar Kelimeler

• Hisse Senedi Piyasası
• Istanbul
• Volatilite
• ARCH
• GARCH

Kaynakça

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