Avrupa Yenilenebilir Enerji Stoklarının Volatilite Karakteri: ERIX Endeksi Üzerine Bir Araştırma

Öz

Yenilenebilir enerji iklim değişikliği ile mücadele ve enerji güvenliğini sağlamak için stratejik öneme sahip bir sektördür. Avrupa 2020’li yıllara gelindiğinde toplam enerji tüketiminin %20’sinden fazlasını yenilenebilir enerjiden sağlamaktadır ve Avrupa Birliğinin nihai amacı tam olarak fosil yakıtlardan arınmaktır. Bu amaç doğrultusunda yenilenebilir enerji firmaları kilit rol oynamaktadır ve yenilenebilir enerji şirketlerinin finansal performansı mutlaka iyi anlaşılmalıdır. Bu çalışmanın amacı da Avrupa yenilenebilir enerji şirketlerinin hisse senedi performansının volatilite karakterini ortaya koymaktır. Avrupa yenilenebilir enerji şirketlerini analiz etmek amacıyla en büyük yenilenebilir enerji firmalarından oluşan ERIX (European Renewable Energy Index) kullanılmıştır. Endeksin volatilite karakterini incelemek için GARCH (1,1), TGARCH ve EGARCH modelleri kullanılmıştır. Çalışma sonucunda Avrupa yenilenebilir enerji şirketlerinin finansal performansını tahmin etmede geçmiş verilerin kullanılabileceği bulunmuştur. GARCH(1,1) modeli sonucunda bugün meydana gelen şokların gelecek dönem varyans tahminlerinde uzun süre etkili olduğu sonucuna varılmıştır. TAGRCH modeli ERIX endeksi üstünde kötü haberlerin oynaklık etkisinin daha fazla, iyi haberlerin ise daha az olduğunu göstermiştir. EGARCH modeli de iyi haberle ile kötü haberlerin yol açtığı şokların asimetrik olduğu sonucunu ortaya koymuştur. Bu çalışma yenilenebilir enerji endeksine finansal bir veri olarak yaklaşan ve volatilite analizini yapan ilk çalışmadır.

Anahtar Kelimeler

• Yenilenebilir Enerji
• Hisse Senedi Piyasası
• ERIX
• GARCH Modelleri

The Volatility Character of European Renewable Energy Stocks: A Study on the ERIX Index

Öz

Renewable energy is a key sector in combating climate change and ensuring energy security. By the 2020s, more than 20% of the total energy consumption is from renewable sources and the European Union plans to phase out fossil-based energy production completely. For this purpose, renewable energy companies play a key role and the financial performance of renewable energies must be well understood. The aim of this study is to reveal the volatile character of the functioning of renewable energy companies in the European Union. ERIX (European Renewable Energy Index), which consists of the largest renewable energy companies, was used to analyze renewable energy in Europe. GARCH (1,1), TGARCH, and EGARCH models were used to examine the volatile character of the index. As a result of the study, it has been found that historical data can be used to predict the financial performance of European renewable energy companies. As a result of the GARCH(1,1) model, It was concluded that shocks occurring today have a long-term impact on future variance estimates. TGARCH model reveals that bad news has a greater volatility effect on the ERIX index and good news has less impact. The EGARCH model also shows that the shocks caused by good news and bad news are asymmetric. This study was the first to approach the renewable energy index as financial data and perform volatility analysis.

Anahtar Kelimeler

• Renewable Energy
• Stock Market
• ERIX
• GARCH Models

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