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Avrupa Ekonomi Politikalarındaki Belirsizliklerin BIST 100 Endeksi Üzerindeki Etkisi

Yıl 2021, Cilt 6, Sayı 2, 322 - 331, 27.08.2021
https://doi.org/10.30784/epfad.857796

Öz

Belirsizlikler, yatırımcıların yatırım kararları üzerinde etkili olan faktörlerden biridir. Belirsizliklerin olduğu ortamda yatırımcılar için en iyi seçenek olan bekle-gör politikası gereğince yatırım ve tüketim kararlarını erteleyebilmektedirler. Özellikle ekonomi politikalarında yaşanan belirsizlikler, yatırımcıların kararlarını daha derinden etkilemektedir. Bu bağlamda bu çalışmada Avrupa ülkelerinin ekonomi politikalarındaki belirsizlikleri temsil eden Avrupa ekonomik politika belirsizlik (EPU) endeksinin BIST 100 endeksi üzerindeki etkisinin Vektör Hata Düzeltme Modeli (VECM), Johansen eşbütünleşme testi ve FMOLS ve DOLS tahmincileri ile test edilmesi amaçlanmıştır. 02/1988 – 05/2019 dönemi aylık verilerin kullanıldığı analiz sonucunda EPU ile BIST 100 endeksi arasında uzun dönemli bir ilişki olduğu ve EPU endeksinde meydana gelen artışların BIST 100 endeksi üzerinde negatif etkisinin olduğu tespit edilmiştir. Ayrıca EPU endeksindeki değişimden BIST 100 endeksindeki değişime doğru bir nedensellik ilişkisinin olduğu ve bu nedenselliğin tek yönlü olduğu tespit edilmiştir.

Kaynakça

  • Akdağ, S. (2020). Ekonomi politikalarındaki belirsizliklerin güven endeksleri üzerindeki etkisi [The effects of uncertainties in economic policy on confidence indices]. Maliye ve Finans Yazıları, 113, 139-152. https://doi.org/10.33203/mfy.574113
  • Aktaş, C. and Yılmaz, V. (2008). Causal relationship between oil consumption and economic growth in Turkey. Kocaeli Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 15, 45-55. Retrieved from https://dergipark.org.tr/en/pub/uiibfd
  • Asteriou, D. and Hall, S. G. (2011). ARIMA models and the Box–Jenkins methodology. Applied Econometrics, 2(2), 265-286. doi:10.1057/978-1-137-41547-9_13
  • Baker, S. R., Bloom, N. and Davis, S. J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636. https://doi.org/10.1093/qje/qjw024
  • Bayar, Y. and Aytemiz, L. (2015). Economic policy uncertainty and stock market returns in selected Eurozone countries. Journal of Applied Economic Sciences, 31, 152-158. https://www.ceeol.com/
  • Bernanke, B. S. (1983). Irreversibility, uncertainty, and cyclical investment. The Quarterly Journal of Economics, 98(1), 85-106. https://doi.org/10.2307/1885568
  • Bloom, N. (2009). The impact of uncertainty shocks. Econometrica, 77(3), 623–685. https://doi.org/10.3982/ECTA6248
  • Breitung J. and Pesaran M. H. (2008) Unit roots and cointegration in panels. In L. Mátyás and P. Sevestre (Eds.), The econometrics of panel data (pp. 279-322). Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-75892-1_9
  • Cerda, R., Silva, Á. and Valente, J. T. (2018). Impact of economic uncertainty in a small open economy: The case of Chile. Applied Economics, 50(26), 2894-2908. https://doi.org/10.1080/00036846.2017.1412076
  • Chen, J., Jiang, F., Liu, Y. and Tu, J. (2017). International volatility risk and Chinese stock return predictability. Journal of International Money and Finance, 70, 183-203. https://doi.org/10.1016/j.jimonfin.2016.08.007
  • Chiang, T. C. (2019). Empirical analysis of economic policy uncertainty and stock returns in Asian markets. In C-F. Lee and M-T. Yu (Eds.), Advances in pacific basin business, economics and finance (pp. 63-87). https://doi.org/10.1108/S2514-465020190000007004
  • Dickey, D. A. and Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 49(4), 1057-1072. https://doi.org/10.2307/1912517
  • Dikmen, N. (2012). Ekonometri: Temel kavramlar ve uygulamalar. Bursa: Dora Basım Yayım Dağ. Ltd. Şti.
  • Donadelli, M. (2015). Asian stock markets, US economic policy uncertainty and US macro-shocks. New Zealand Economic Papers, 49(2), 103-133. https://doi.org/10.1080/00779954.2014.890024
  • Engle, R. and Granger, C. W. J. (1987). Cointegration and error correction representation, estimation and testing. Econometrica, 55, 251-276. https://doi.org/10.2307/1913236
  • Fabozzi, F. J., Focardi, S. M., Rachev, S. T. and Arshanapalli, B. G. (2014). The basics of financial econometrics: Tools, concepts, and asset management applications. UK: John Wiley & Sons, Inc.
  • Granger, C. W. J. and Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2(2), 111-120. https://doi.org/10.1002/9780470996249
  • Greene, W. (2012). Econometric analysis (Seven edition). UK: Pearson Education Limited.
  • Gujarati, D. N. and Porter, D. C. (2012). Temel ekonometri (Çev. Ü. Şenesen ve G. Günlük-Şenesen). İstanbul: Literatür Yayıncılık.
  • Hu, Z., Kutan, A. M. and Sun, P. W. (2018). Is US economic policy uncertainty priced in China's A-shares market? Evidence from market, industry, and individual stocks. International Review of Financial Analysis, 57, 207-220. https://doi.org/10.1016/j.irfa.2018.03.015
  • Jeon, J. H. (2019). Uncertainty and manufacturing stock market in Korea. Journal of Industrial Distribution & Business, 10(1), 29-37. https://doi.org/10.13106/ijidb.2019.vol10.no1.29
  • Johansen, S. (1988). Statistical analysis of cointegration vector. Journal of Economic Dynamics and Control, 12(2-3), 231-254. https://doi.org/10.1016/0165-1889(88)90041-3
  • Johansen, S. and Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 52(2), 169-210. Retrieved from https://digidownload.libero.it
  • Kang, W. and Ratti, R. A. (2013). Oil shocks, policy uncertainty and stock market return. Journal of International Financial Markets, Institutions and Money, 26, 305-318. https://doi.org/10.1016/j.intfin.2013.07.001
  • Karagol, E., Erbaykal, E. and Ertugrul, H. M. (2006, May). Oil consumption and GNP relationship in Turkey: An empirical study. In O. Esen and A. Ogus (Eds.), International Conference on Human and Economic Resources Proceedings Book (pp. 363-369). Paper presented at the International Conference on Human and Economic Resources. Izmir University of Economics & Suny Cortland. Retrieved from http://eco.ieu.edu.tr/wp-content/proceedings/2006/2006.pdf
  • Karanasos, M. and Yfanti, S. (2020). On the macro-drivers of realized volatility: the destabilizing impact of UK policy uncertainty across Europe. The European Journal of Finance, 26(12), 1146-1183. https://doi.org/10.1080/1351847X.2020.1732437
  • Korkmaz, Ö. ve Güngör, S. (2018). Küresel ekonomi politika belirsizliğinin Borsa İstanbul’da işlem gören seçilmiş endeks getirileri üzerindeki etkisi [The impact of global economic policy uncertainty on stock returns of selected index traded on Istanbul stock exchange]. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 6(Özel Sayı: ICEESS’18), 211-219. https://doi.org/10.18506/anemon.452749
  • Li, X. M., Zhang, B. and Gao, R. (2015). Economic policy uncertainty shocks and stock–bond correlations: Evidence from the US market. Economics Letters, 132, 91-96. https://doi.org/10.1016/j.econlet.2015.04.013
  • Liu, B. (2010). Uncertainty theory: A branch of mathematics. In J. Kacprzyk (Ed.), Uncertainty theory (pp. 1-79). Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-13959-8_1
  • Matkovskyy, R., Jalan, A. and Dowling, M. (2020). Effects of economic policy uncertainty shocks on the interdependence between Bitcoin and traditional financial markets. The Quarterly Review of Economics and Finance, 77, 150-155. https://doi.org/10.1016/j.qref.2020.02.004
  • Narayan, P. K. and Wong, P. (2009). A panel data analysis of the determinants of oil consumption: The case of Australia. Applied Energy, 86(12), 2771- 2775. https://doi.org/10.1016/j.apenergy.2009.04.035
  • Nelson, C. R. and Plosser, C. R. (1982). Trends and random walks in macroeconomic time series: Some evidence and implications. Journal of Monetary Economics, 10(2), 139-162. https://doi.org/10.1016/0304-3932(82)90012-5
  • Phillips, P. C. B. and Hansen, B. E. (1990). Statistical inference in instrumental variables regression with I(1) processes. The Review of Economic Studies, 57(1), 99-125. https://doi.org/10.2307/2297545
  • Phillips, P. C. B. and Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. https://doi.org/10.1093/biomet/75.2.335
  • Saikkonen, P. (1991). Asymptotically efficient estimation of cointegration regressions. Econometric Theory, 7(1), 1-21. Retrieved from https://www.jstor.org/
  • Stock, J. H. and Watson, M. W. (1993). A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica, 61(4), 783-820. https://doi.org/10.2307/2951763
  • Tarı, R. ve Yıldırım, D. Ç. (2009). Döviz kuru belirsizliğinin ihracata etkisi: Türkiye için bir uygulama [The effect of exchange rate on export: An analysis for Turkey]. Yönetim ve Ekonomi: Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 16(2), 95-105. Retrieved from https://dergipark.org.tr/tr/pub/yonveek/
  • Tiryaki, H. N. and Tiryaki, A. (2019). Determinants of Turkish stock returns under the impact of economic policy uncertainty. Uluslararası İktisadi ve İdari İncelemeler Dergisi, 22, 147-162. https://doi.org/10.18092/ulikidince.424369
  • Wu, T. P., Liu, S. B. and Hsueh, S. J. (2016). The causal relationship between economic policy uncertainty and stock market: A panel data analysis. International Economic Journal, 30(1), 109-122. https://doi.org/10.1080/10168737.2015.1136668
  • Yule, G. U. (1926). Why do we sometimes get nonsense-correlations between time-series? – A study in sampling and the nature of time-series. Journal of the Royal Statistical Society, 89(1), 1-63. https://doi.org/10.2307/2341482

The Effect of Uncertains in European Economic Policies on the BIST 100 Index

Yıl 2021, Cilt 6, Sayı 2, 322 - 331, 27.08.2021
https://doi.org/10.30784/epfad.857796

Öz

Uncertainties are one of the factors affecting investors' investment decisions. In accordance with the wait-and-see policy, which is the best option for investors in an uncertain environment, investors can postpone their investment and consumption decisions. Uncertainties especially in economic policies affect investors' decisions more deeply. In this context, the goal of this study is to test the effect of European Economic Policy Uncertainty (EPU) index, which represents uncertainties in economic policies of European countries, on BIST 100 index by Vector Error Correction Model (VECM), Johansen Cointegration and cointegration coefficient estimator FMOLS and DOLS. Monthly data between February 1988 and May 2019 were used in this study. Findings of the study, it was reached that there was a long-run interaction between EPU and BIST 100 index and the increases in the EPU index had a negative effect on the BIST 100 index. In addition, one-way causality relationship was determined from the change in EPU index to the change in BIST 100 index.

Kaynakça

  • Akdağ, S. (2020). Ekonomi politikalarındaki belirsizliklerin güven endeksleri üzerindeki etkisi [The effects of uncertainties in economic policy on confidence indices]. Maliye ve Finans Yazıları, 113, 139-152. https://doi.org/10.33203/mfy.574113
  • Aktaş, C. and Yılmaz, V. (2008). Causal relationship between oil consumption and economic growth in Turkey. Kocaeli Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 15, 45-55. Retrieved from https://dergipark.org.tr/en/pub/uiibfd
  • Asteriou, D. and Hall, S. G. (2011). ARIMA models and the Box–Jenkins methodology. Applied Econometrics, 2(2), 265-286. doi:10.1057/978-1-137-41547-9_13
  • Baker, S. R., Bloom, N. and Davis, S. J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636. https://doi.org/10.1093/qje/qjw024
  • Bayar, Y. and Aytemiz, L. (2015). Economic policy uncertainty and stock market returns in selected Eurozone countries. Journal of Applied Economic Sciences, 31, 152-158. https://www.ceeol.com/
  • Bernanke, B. S. (1983). Irreversibility, uncertainty, and cyclical investment. The Quarterly Journal of Economics, 98(1), 85-106. https://doi.org/10.2307/1885568
  • Bloom, N. (2009). The impact of uncertainty shocks. Econometrica, 77(3), 623–685. https://doi.org/10.3982/ECTA6248
  • Breitung J. and Pesaran M. H. (2008) Unit roots and cointegration in panels. In L. Mátyás and P. Sevestre (Eds.), The econometrics of panel data (pp. 279-322). Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-75892-1_9
  • Cerda, R., Silva, Á. and Valente, J. T. (2018). Impact of economic uncertainty in a small open economy: The case of Chile. Applied Economics, 50(26), 2894-2908. https://doi.org/10.1080/00036846.2017.1412076
  • Chen, J., Jiang, F., Liu, Y. and Tu, J. (2017). International volatility risk and Chinese stock return predictability. Journal of International Money and Finance, 70, 183-203. https://doi.org/10.1016/j.jimonfin.2016.08.007
  • Chiang, T. C. (2019). Empirical analysis of economic policy uncertainty and stock returns in Asian markets. In C-F. Lee and M-T. Yu (Eds.), Advances in pacific basin business, economics and finance (pp. 63-87). https://doi.org/10.1108/S2514-465020190000007004
  • Dickey, D. A. and Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 49(4), 1057-1072. https://doi.org/10.2307/1912517
  • Dikmen, N. (2012). Ekonometri: Temel kavramlar ve uygulamalar. Bursa: Dora Basım Yayım Dağ. Ltd. Şti.
  • Donadelli, M. (2015). Asian stock markets, US economic policy uncertainty and US macro-shocks. New Zealand Economic Papers, 49(2), 103-133. https://doi.org/10.1080/00779954.2014.890024
  • Engle, R. and Granger, C. W. J. (1987). Cointegration and error correction representation, estimation and testing. Econometrica, 55, 251-276. https://doi.org/10.2307/1913236
  • Fabozzi, F. J., Focardi, S. M., Rachev, S. T. and Arshanapalli, B. G. (2014). The basics of financial econometrics: Tools, concepts, and asset management applications. UK: John Wiley & Sons, Inc.
  • Granger, C. W. J. and Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2(2), 111-120. https://doi.org/10.1002/9780470996249
  • Greene, W. (2012). Econometric analysis (Seven edition). UK: Pearson Education Limited.
  • Gujarati, D. N. and Porter, D. C. (2012). Temel ekonometri (Çev. Ü. Şenesen ve G. Günlük-Şenesen). İstanbul: Literatür Yayıncılık.
  • Hu, Z., Kutan, A. M. and Sun, P. W. (2018). Is US economic policy uncertainty priced in China's A-shares market? Evidence from market, industry, and individual stocks. International Review of Financial Analysis, 57, 207-220. https://doi.org/10.1016/j.irfa.2018.03.015
  • Jeon, J. H. (2019). Uncertainty and manufacturing stock market in Korea. Journal of Industrial Distribution & Business, 10(1), 29-37. https://doi.org/10.13106/ijidb.2019.vol10.no1.29
  • Johansen, S. (1988). Statistical analysis of cointegration vector. Journal of Economic Dynamics and Control, 12(2-3), 231-254. https://doi.org/10.1016/0165-1889(88)90041-3
  • Johansen, S. and Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 52(2), 169-210. Retrieved from https://digidownload.libero.it
  • Kang, W. and Ratti, R. A. (2013). Oil shocks, policy uncertainty and stock market return. Journal of International Financial Markets, Institutions and Money, 26, 305-318. https://doi.org/10.1016/j.intfin.2013.07.001
  • Karagol, E., Erbaykal, E. and Ertugrul, H. M. (2006, May). Oil consumption and GNP relationship in Turkey: An empirical study. In O. Esen and A. Ogus (Eds.), International Conference on Human and Economic Resources Proceedings Book (pp. 363-369). Paper presented at the International Conference on Human and Economic Resources. Izmir University of Economics & Suny Cortland. Retrieved from http://eco.ieu.edu.tr/wp-content/proceedings/2006/2006.pdf
  • Karanasos, M. and Yfanti, S. (2020). On the macro-drivers of realized volatility: the destabilizing impact of UK policy uncertainty across Europe. The European Journal of Finance, 26(12), 1146-1183. https://doi.org/10.1080/1351847X.2020.1732437
  • Korkmaz, Ö. ve Güngör, S. (2018). Küresel ekonomi politika belirsizliğinin Borsa İstanbul’da işlem gören seçilmiş endeks getirileri üzerindeki etkisi [The impact of global economic policy uncertainty on stock returns of selected index traded on Istanbul stock exchange]. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 6(Özel Sayı: ICEESS’18), 211-219. https://doi.org/10.18506/anemon.452749
  • Li, X. M., Zhang, B. and Gao, R. (2015). Economic policy uncertainty shocks and stock–bond correlations: Evidence from the US market. Economics Letters, 132, 91-96. https://doi.org/10.1016/j.econlet.2015.04.013
  • Liu, B. (2010). Uncertainty theory: A branch of mathematics. In J. Kacprzyk (Ed.), Uncertainty theory (pp. 1-79). Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-13959-8_1
  • Matkovskyy, R., Jalan, A. and Dowling, M. (2020). Effects of economic policy uncertainty shocks on the interdependence between Bitcoin and traditional financial markets. The Quarterly Review of Economics and Finance, 77, 150-155. https://doi.org/10.1016/j.qref.2020.02.004
  • Narayan, P. K. and Wong, P. (2009). A panel data analysis of the determinants of oil consumption: The case of Australia. Applied Energy, 86(12), 2771- 2775. https://doi.org/10.1016/j.apenergy.2009.04.035
  • Nelson, C. R. and Plosser, C. R. (1982). Trends and random walks in macroeconomic time series: Some evidence and implications. Journal of Monetary Economics, 10(2), 139-162. https://doi.org/10.1016/0304-3932(82)90012-5
  • Phillips, P. C. B. and Hansen, B. E. (1990). Statistical inference in instrumental variables regression with I(1) processes. The Review of Economic Studies, 57(1), 99-125. https://doi.org/10.2307/2297545
  • Phillips, P. C. B. and Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. https://doi.org/10.1093/biomet/75.2.335
  • Saikkonen, P. (1991). Asymptotically efficient estimation of cointegration regressions. Econometric Theory, 7(1), 1-21. Retrieved from https://www.jstor.org/
  • Stock, J. H. and Watson, M. W. (1993). A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica, 61(4), 783-820. https://doi.org/10.2307/2951763
  • Tarı, R. ve Yıldırım, D. Ç. (2009). Döviz kuru belirsizliğinin ihracata etkisi: Türkiye için bir uygulama [The effect of exchange rate on export: An analysis for Turkey]. Yönetim ve Ekonomi: Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 16(2), 95-105. Retrieved from https://dergipark.org.tr/tr/pub/yonveek/
  • Tiryaki, H. N. and Tiryaki, A. (2019). Determinants of Turkish stock returns under the impact of economic policy uncertainty. Uluslararası İktisadi ve İdari İncelemeler Dergisi, 22, 147-162. https://doi.org/10.18092/ulikidince.424369
  • Wu, T. P., Liu, S. B. and Hsueh, S. J. (2016). The causal relationship between economic policy uncertainty and stock market: A panel data analysis. International Economic Journal, 30(1), 109-122. https://doi.org/10.1080/10168737.2015.1136668
  • Yule, G. U. (1926). Why do we sometimes get nonsense-correlations between time-series? – A study in sampling and the nature of time-series. Journal of the Royal Statistical Society, 89(1), 1-63. https://doi.org/10.2307/2341482

Ayrıntılar

Birincil Dil İngilizce
Konular İşletme Finans
Yayınlanma Tarihi Ağustos 2021
Bölüm Makaleler
Yazarlar

Saffet AKDAĞ
Tarsus Üniversitesi
0000-0001-9576-6786
Türkiye


Hakan YILDIRIM (Sorumlu Yazar)
İSTANBUL GELİŞİM ÜNİVERSİTESİ, İKTİSADİ, İDARİ VE SOSYAL BİLİMLER FAKÜLTESİ
0000-0002-3271-2841
Türkiye

Yayımlanma Tarihi 27 Ağustos 2021
Yayınlandığı Sayı Yıl 2021, Cilt 6, Sayı 2

Kaynak Göster

APA Akdağ, S. & Yıldırım, H. (2021). The Effect of Uncertains in European Economic Policies on the BIST 100 Index . Ekonomi Politika ve Finans Araştırmaları Dergisi , 6 (2) , 322-331 . DOI: 10.30784/epfad.857796

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