The impact of energy uncertainty on BIST 100: A quantile-wavelet perspective

Öz

Risk and uncertainty factors play a significant role in both the sector and the country's economy. Uncertainties in financial markets, in particular, can have substantial effects on stock indices. These uncertainties can negatively affect firm performance, investment decisions and consumer confidence, leading to declines in stock returns. This study aims to empirically examine whether the effect of the energy uncertainty index on BIST 100 stock returns is homogeneous or heterogeneous in short, medium and long-term time scales. For this purpose, wavelet-based quantile-on-quantile regression (WQQR) and wavelet-based quantile-on-quantile Granger causality (WQQGC) methods were used using monthly data for the period of January 1996 to November 2023. The findings indicate that energy uncertainty is heterogeneous in BIST 100 returns, both in raw data and across different time scales. It was observed that the negative relationship was dominant in raw data analyses. It was determined that there was both a negative and a positive relationship in the short term, but the positive relationship was dominant. In the medium term, energy uncertainty is generally positively related at low and medium quantiles, while a negative relationship is observed at high uncertainty levels. Although an adverse effect is observed at most quantiles in the long term, it has been determined that investors can react positively with optimistic expectations during periods of high uncertainty. Finally, the causality analysis results reveal that EUI has significant predictive power on BIST 100 returns at short, medium, and long-term time scales. The findings emphasise the importance of energy policies in maintaining the stability of financial markets and offer important implications for investors and policymakers.

Anahtar Kelimeler

• Energy uncertainty index
• BIST 100
• Stock market
• Wavelet analysis
• Quantile-on-quantile regression.

Kaynakça

1. [1] Adebayo TS, Özkan O, Evaluating the role of financial globalization and oil consumption on ecological quality: A new perspective from quantile-on-quantile granger causality. Heliyon 2024; 10(2). https://doi.org/10.1016/j.heliyon.2024.e24636
2. [2] Afkhami M, Cormack L, Ghoddusi H. Google search keywords that best predict energy price volatility. Energy Economics 2017; 67, 17-27. https://doi.org/10.1016/j.eneco.2017.07.014
3. [3] Ahir H, Bloom N, Furceri, D. The World Uncertainty Index .(No. w29763). National bureau of economic research 2022; http://www.nber.org/studys/w29763
4. [4] Alam MK, Tabash MI, Billah M, Kumar S, Anagreh S. The impacts of the Russia–Ukraine invasion on global markets and commodities: A dynamic connectedness among G7 and BRIC markets. Journal of Risk and Financial Management 2022; 15(8), 352. https://doi.org/10.3390/jrfm15080352
5. [5] Aloui C, Nguyen DK, Njeh H. Assessing the impacts of oil price fluctuations on stock returns in emerging markets. Economic Modelling 2012; 29(6), 2686-2695. https://doi.org/10.1016/j.econmod.2012.08.010
6. [6] Avcı ÖB. Petrol fiyatlarının hisse senedi piyasasına etkisi. Adnan Menderes Üniversitesi Sosyal Bilimler Enstitüsü Dergisi 2015; 2(3), 27-34. https://doi.org/10.30803/adusobed.188796
7. [7] Bagchi B, Paul B. Effects of crude oil price shocks on stock markets and currency exchange rates in the context of Russia-Ukraine conflict: Evidence from G7 countries. Journal of Risk and Financial Management 2023; 16(2), 64. https://doi.org/10.3390/jrfm16020064
8. [8] Bairagi RK. Dynamic impacts of economic policy uncertainty on Australian stock market: an intercontinental evidence. Journal of Emerging Market Finance 2022; 21(1), 64-91. https://doi.org/10.1177/09726527211069610

9. [9] Balcilar M, Gupta R, Pierdzioch C. Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test. Resources Policy 2016; 49, 74-80. https://doi.org/10.1016/j.resourpol.2016.04.004
10. [10] Balcilar M, Gupta R, Pierdzioch C. Oil-price uncertainty and international stock returns: Dissecting quantile-based predictability and spillover effects using more than a century of data. Energies 2022; 15(22), 8436. https://doi.org/10.3390/en15228436
11. [11] Basher SA, Haug AA, Sadorsky P. The impact of oil-market shocks on stock returns in major oil-exporting countries. Journal of International Money and Finance 2018; 86, 264-280. https://doi.org/10.1016/j.jimonfin.2018.05.003
12. [12] Belhassine O, Ben Bouzid A. Further insights into the oil and equity market relationship. Studies in Economics and Finance 2019; 36(2), 291-310. https://doi.org/10.1108/SEF-12-2017-0349
13. [13] Bernanke BS. Irreversibility, uncertainty, and cyclical investment. The quarterly journal of economics 1983; 98(1), 85-106. https://doi.org/10.2307/1885568
14. [14] Blanchard EJ, Santos‐Paulino AU, Trentini C, Milet E. Implications of rising trade tensions for FDI projects. Transnational Corporations Journal 2021; 28(2). https://ssrn.com/abstract=3915185
15. [15] Cai Y, Zhang Y, Chang T. Dependence structure between energy uncertainty index and airlines stocks returns and volatility: A short communication. Transport Economics and Management 2024; 2, 302-309. https://doi.org/10.1016/j.team.2024.09.008
16. [16] Camgöz M. Global Belirsizlik Faktörlerinin BIST Hisse Senedi Fiyatlarına Asimetrik Etkilerinin NARDL Modeliyle Analizi. Maliye ve Finans Yazıları(118) 2022; 71-100. https://doi.org/10.33203/mfy.1103403
17. [17] Campello M, Kankanhalli G. Corporate decision-making under uncertainty: review and future research directions 2024; (pp. 548-590). Edward Elgar Publishing.
18. [18] Carrière-Swallow Y, Céspedes L F. The impact of uncertainty shocks in emerging economies. Journal of International Economics 2013; 90(2), 316-325. https://doi.org/10.1016/j.jinteco.2013.03.003
19. [19] Chernozhukov V, Hansen C, Jansson M. Finite sample inference for quantile regression models. Journal of Econometrics 2009; 152(2), 93-103. https://doi.org/10.1016/j.jeconom.2009.01.004
20. [20] Çıtak, F, Kendirli S. Petrol Fiyatlarının Döviz Kuru ve Hisse Senedi Getirileri Üzerindeki Asimetrik Etkisi: Türkiye Örneği. Finans Ekonomi ve Sosyal Araştırmalar Dergisi 2019; 4(4), 643-658. https://doi.org/10.29106/fesa.658845
21. [21] Dang THN, Nguyen CP, Lee GS, Nguyen BQ, Le TT. Measuring the energy-related uncertainty index. Energy Economics 20223; 124, 106817. https://doi.org/10.1016/j.eneco.2023.106817
22. [22] Değirmen S, Tunç C, Saltık Ö, ul Rehman W. Do oil price shocks differently matter for oil exporter and importer developing countries?. Journal of Economic Studies 2023; 50(8), 1775-1788. https://doi.org/10.1108/JES-10-2022-0543
23. [23] Dhaoui A, Guesmi K, Saidi Y, Bourouis S. Oil price shocks and OECD equity markets: distinguishing between supply and demand effects. International Journal of Global Energy Issues 2018; 41(1-4), 25-51. https://doi.org/10.1504/IJGEI.2018.092304
24. [24] Dou J, Chen D, Zhang Y. Towards energy transition: Accessing the significance of artificial intelligence in ESG performance. Energy Economics 2015; 108515. https://doi.org/10.1016/j.eneco.2025.108515
25. [25] Ftiti Z, Hadhri S. Can economic policy uncertainty, oil prices, and investor sentiment predict Islamic stock returns? A multi-scale perspective. Pacific-Basin Finance Journal 2019; 53, 40-55.
26. [26] Gao Y, Zhao C, Sun B, Zhao W. Effects of investor sentiment on stock volatility: new evidences from multi-source data in China’s green stock markets. Financial Innovation 2022; 8(1), 77. https://doi.org/10.1186/s40854-022-00381-2
27. [27] Gharib C, Mefteh-Wali S, Jabeur S B. The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets. Finance research letters 2021; 38, 101703. https://doi.org/10.1016/j.frl.2020.101703
28. [28] Granger CW. Investigating causal relations by econometric models and cross-spectral methods. Econometrica: journal of the Econometric Society 1969; 424-438. https://doi.org/10.2307/1912791
29. [29] Gülcan N, Aydoğdu A. Ekonomi para ve ticaret politikası belirsizliğinin bankacılık sektörüne etkisi. 3. Uluslararası Sigortacılık, Bankacılık ve Finans Sempozyumu 2024; Niğde, Türkiye
30. [30] Güler S, Tunç R, Orçun Ç. Petrol fiyat riski ve hisse senedi fiyatları arasındaki ilişkinin belirlenmesi: Türkiye’de enerji sektörü üzerinde bir uygulama. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi 2011; 24(4), 297-315.
31. [31] Gürbüz A. Heterojen Belirsizlik Endekslerinin BIST 100 Endeksi Üzerindeki Etkisi: Bir ARDL Sınır Testi Yaklaşımı. Finans Politik & Ekonomik Yorumlar 2024; 61(670), 29-51.
32. [32] Hagspiel V, Nunes C, Oliveira C, Portela, M. Green investment under time-dependent subsidy retraction risk. Journal of Economic Dynamics and Control 2021; 126, 103936. https://doi.org/10.1016/j.jedc.2020.103936
33. [33] Investing. https://www.investing.com/ (Access Date: 01.06.2025).
34. [34] Jarque CM, Bera AK. Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Economics letters 1980; 6(3), 255-259. https://doi.org/10.1016/0165-1765(80)90024-5
35. [35] Jurado K, Ludvigson S C, Ng S. Measuring uncertainty. American Economic Review 2015; 105(3), 1177-1216.
36. [36] Karhan G, Aydın H İ. Petrol Fiyatları, Kur ve Hisse Senedi Getirileri Üzerine Bir Araştırma. Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD) 2018; 10(19), 405-413. https://doi.org/10.20990/kilisiibfakademik.454782
37. [37] Kilian L. The economic effects of energy price shocks. Journal of economic literature 2008; 46(4), 871-909.
38. [38] Li G, Li Y, Tsai CL. Quantile correlations and quantile autoregressive modeling. Journal of the American Statistical Association 2015; 110(509), 246-261, https://doi.org/10.1080/01621459.2014.892007
39. [39] Li R, Tang G, Hong C, Li S, Li B, Xiang, S. A study on economic policy uncertainty, geopolitical risk and stock market spillovers in BRICS countries. The North American Journal of Economics and Finance 2024; 73, 102189. https://doi.org/10.1016/j.najef.2024.102189
40. [40] Liadze I, Macchiarelli C, Mortimer‐Lee P, Sanchez Juanino, P. Economic costs of the Russia‐Ukraine war. The World Economy 2023; 46(4), 874-886. https://doi.org/10.1111/twec.13336
41. [41] Lin B, Bai R. Oil prices and economic policy uncertainty: Evidence from global, oil importers, and exporters’ perspective. Research in International Business and Finance 2021; 56, 101357. https://doi.org/10.1016/j.ribaf.2020.101357
42. [42] Lin B, Su T. Mapping the oil price-stock market nexus researches: A scientometric review. International Review of Economics ve Finance 2020; 67, 133-147. https://doi.org/10.1016/j.iref.2020.01.007
43. [43] Liu C. COVID-19 and the energy stock market: evidence from China. Energy Research Letters 2021; 2(3). https://doi.org/10.46557/001c.27024
44. [44] Liu Z, Zhu T, Duan Z, Xuan S, Ding Z, Wu S. Time-varying impacts of oil price shocks on China’s stock market under economic policy uncertainty. Applied Economics 2023; 55(9), 963-989. https://doi.org/10.1080/00036846.2022.2095342
45. [45] Martins-Filho C, Yao F. A smooth nonparametric conditional quantile frontier estimator. Journal of Econometrics 2008; 143(2), 317-333. https://doi.org/10.1016/j.jeconom.2007.10.004
46. [46] Masood O, Tvaronavičienė M, Javaria K. Impact of oil prices on stock return: evidence from G7 countries. Insights into Regional Development 2019; 1(2), 129-137. http://doi.org/10.9770/ird.2019.1.2(4)
47. [47] Melichar M. Energy price shocks and economic activity: Which energy price series should we be using?. Energy Economics 2016; 54, 431-443. https://doi.org/10.1016/j.eneco.2015.12.017
48. [48] Nandha M, Faff R. Does oil move equity prices? A global view. Energy economics 2008; 30(3), 986-997. https://doi.org/10.1016/j.eneco.2007.09.003
49. [49] Nazlıoğlu EH. Jeopolitik Riskler, Petrol Fiyatı ve Pay Senedi Piyasası Arasındaki İlişkiler: Petrol İhraç Eden ve Petrol İthal Eden Ülkelerden Kanıtlar. Trakya Üniversitesi Sosyal Bilimler Dergisi 2025; 27(Ek), 159-182. https://doi.org/10.26468/trakyasobed.1421375
50. [50] Nazlıoğlu EH, Aydoğdu A. Politika Belirsizlikleri ve Jeopolitik Risk ile Yatırımcı Duyarlılığı ve Riskten Kaçınma Üzerine Bir Araştırma: TVP-VAR Yaklaşımı. EKEV Akademi Dergisi(102) 2025; 78-100. https://doi.org/10.17753/sosekev.1615419
51. [51] Nguyen B H, Cross J. Time-varying macroeconomic effects of energy price shocks: a new measure for China. In Australian National University Working Study 2017; https://doi.org/10.1016/j.eneco.2018.05.014
52. [52] Özkan O, Köseoğlu O, Bilkan T. Enerji belirsizliklerinin borsa ve döviz piyasasına etkisi: Türkiye’den ampirik kanıtlar. Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 2025; 27(1), 78-89. https://doi.org/10.33707/akuiibfd.1595322
53. [53] Özmerdivanlı A. Petrol fiyatları ile Bist 100 endeksi kapanış fiyatları arasındaki ilişki. Akademik Bakış Uluslararası Hakemli Sosyal Bilimler Dergisi 2014; (43).
54. [54] Qin M, Su CW, Hao LN, Tao R. The stability of US economic policy: Does it really matter for oil price?. Energy 2020; 198, 117315. https://doi.org/10.1016/j.energy.2020.117315
55. [55] Qin M, Su C W, Umar M, Lobonţ OR, Manta AG. Are climate and geopolitics the challenges to sustainable development? Novel evidence from the global supply chain. Economic Analysis and Policy 2023; 77, 748-763. https://doi.org/10.1016/j.eap.2023.01.002
56. [56] Qui M, Qui LH, Umar M, Su CW, Jiao W. The inevitable role of El Ni~ no: a fresh insight into the oil market. Economic research-Ekonomska istraživanja 2020; 33(1), 1943-1962. https://doi.org/10.1080/1331677X.2020.1768428
57. [57] Policyuncertainty . www.policyuncertainty.com (Access Date: 01.06.2025).
58. [58] Ramesh VK, Athira A. Geopolitical risk and corporate tax behavior: international evidence. International Journal of Managerial Finance 2024; 20(2), 406-429. https://doi.org/10.1108/IJMF-10-2022-0428
59. [59] Salisu AA, Gupta R, Demirer R. Oil price uncertainty shocks and global equity markets: evidence from a GVAR model. Journal of Risk and Financial Management 2022; 15(8), 355. https://doi.org/10.3390/jrfm15080355
60. [60] Salisu AA, Gupta R, Pierdzioch C. Predictability of tail risks of Canada and the US Over a Century: The role of spillovers and oil tail Risks☆. The North American Journal of Economics and Finance 2022; 59, 101620. https://doi.org/10.1016/j.najef.2021.101620
61. [61] Salisu AA, Ogbonna AE, Gupta R, Bouri E. Energy-related uncertainty and international stock market volatility. The Quarterly Review of Economics and Finance 2024; 95, 280-293. https://doi.org/10.1016/j.qref.2024.04.005
62. [62] Sha F, Zhao Y. The impact of the China–US trade war on firms’ financial performance—Evidence from China. Applied economics 2024; 56(53), 6930-6933. https://doi.org/10.1080/00036846.2023.2277686
63. [63] Shahbaz M, Sharif A, Belaid F, Vo X V. Long‐run co‐variability between oil prices and economic policy uncertainty. International Journal of Finance & Economics 2023; 28(2), 1308-1326. https://doi.org/10.1002/ijfe.2478
64. [64] Shi, Y, Wang L. Comparing the impact of Chinese and US economic policy uncertainty on The Volatility Of Major Global Stock Markets. Global Finance Journal 2023; 57, 100860. https://doi.org/10.1016/j.gfj.2023.100860
65. [65] Si DK, Li XL, Xu X, Fang Y. The risk spillover effect of the COVID-19 pandemic on energy sector: Evidence from China. Energy economics 2021; 102, 105498. https://doi.org/10.1016/j.eneco.2021.105498
66. [66] Soyaslan E. Petrol Fiyatlarının Hisse Senedi Piyasasına Etkisi: Borsa İstanbul Üzerine Bir Uygulama. (Yayınlanmış yüksek lisans tezi). Osmaniye Korkut Ata Üniversitesi, Sosyal Bilimler Enstitüsü. Osmaniye 2020.
67. [67] Su CW, Wang Y, Qin M, Lobonţ OR. Do precious metals hedge against global supply chain uncertainty?. Borsa Istanbul Review 2023; 23(5), 1026-1036. https://doi.org/10.1016/j.bir.2023.05.004
68. [68] Su CW, Yang S, Peculea AD, Biţoiu TI, Qin M. Energy imports in turbulent eras: Evidence from China. Energy 2024; 306, 132586. https://doi.org/10.1016/j.energy.2024.132586
69. [69] Tajaddini R, Gholipour HF. Trade dependence and stock market reaction to the Russia‐Ukraine war. International Review of Finance 2023; 23(3), 680-691. https://doi.org/10.1111/irfi.12414
70. [70] Troster V. Testing for Granger-causality in quantiles. Econometric Reviews 2018; 37(8), 850-866. https://doi.org/10.1080/07474938.2016.1172400
71. [71] Ullah A, Riaz A. The impact of energy-related uncertainty on China’s overall and sectoral stock returns: Evidence from quantile-on-quantile regression. Energy 2025; 320, 135254. https://doi.org/10.1016/j.energy.2025.135254
72. [72] Wang KH, Su CW, Xiao Y, Liu L. Is the oil price a barometer of China's automobile market? From a wavelet-based quantile-on-quantile regression perspective. Energy 2022; 240, 122501. https://doi.org/10.1016/j.energy.2021.122501
73. [73] Wang P, Li, X., Shen, D., & Zhang, W. (2020). How does economic policy uncertainty affect the bitcoin market?. Research in International Business and Finance, 53, 101234. https://doi.org/10.1016/j.ribaf.2020.101234
74. [74] Wu W, Tiwari AK, Gozgor G, Leping H. Does economic policy uncertainty affect cryptocurrency markets? Evidence from Twitter-based uncertainty measures. Research in International Business and Finance 2021; 58, 101478.https://doi.org/10.1016/j.ribaf.2021.101478
75. [75] Xiao J, Chen X, Li Y, Wen F. Oil price uncertainty and stock price crash risk: Evidence from China. Energy Economics 2022; 112, 106118. https://doi.org/10.1016/j.eneco.2022.106118
76. [76] Yavuz AE, Sağlam A. Petrol Fiyatlarındaki Şokların BIST100 Endeksi Üzerine Etkisi. Ekonomi ve Finansal Araştırmalar Dergisi 2020; 2(2), 156-172.
77. [77] Yiğituşağı M.Alsu E. Seçili risk ve belirsizlik endeksleri ile gelişmekte olan ülke borsaları arasındaki ilişkiler: Ekonometrik bir uygulama. İksad Yayınları 2023.
78. [78] Youssef M, Mokni K. Do crude oil prices drive the relationship between stock markets of oil-importing and oil-exporting countries?. Economies 2019; 7(3), 70. https://doi.org/10.3390/economies7030070
79. [79] Zhu Q, Jin S, Huang Y, Yan C, Chen C. Oil price uncertainty and stock price informativeness: Evidence from investment-price sensitivity in China. International Review of Financial Analysis 2022; 84, 102377. https://doi.org/10.1016/j.irfa.2022.102377