Küresel Belirsizlik Şoklarına ETF Piyasalarının Tepkisi: Yeni Sanayileşen Ülkeler Üzerine Bir Uygulama

Öz

Bu çalışmada, yeni sanayileşen ülkelerdeki iShares MSCI ETF fonları ile küresel risk ve belirsizlik göstergeleri olan VIX endeksi, altın (ONS) ve Brent petrol volatilitesi arasındaki kısa ve uzun vadeli ilişkileri incelemektedir. 2012 Şubat-2025 Nisan dönemine ait yeni sanayileşen ülkelere ilişkin aylık veriler kullanılarak Johansen eşbütünleşme testi ve Vektör Hata Düzeltme Modeli (VECM) uygulanmıştır. Ampirik bulgular, uzun dönemde çoğu ülke için ETF ile VIX arasında anlamlı ve negatif yönlü uzun dönemli bir ilişki olduğunu ortaya koymaktadır. Altın volatilitesi bazı ülkelerde pozitif etkiler yaratırken, Brent petrol oynaklığının özellikle enerji ithalatçısı ülkelerde ETF fiyatlarını olumsuz etkilediği tespit edilmiştir. Kısa dönem analizleri Brezilya, Endonezya, Filipinler, Malezya, Tayland ve Türkiye’de ETF fiyatları üzerinde negatif etkileri belirlenmiştir. Buna karşılık VIX endeksi ile altın volatilitesine verilen kısa dönem tepkiler ülke bazında farklılık göstermektedir. Hata düzeltme katsayıları, bazı ülkelerde kısa vadeli sapmaların uzun vadede dengeye geldiğini göstermektedir. Sonuçlar, ETF piyasalarının küresel risk ve belirsizliklere karşı yüksek duyarlılığa sahip olduğunu, ancak bu etkinin ülke ekonomilerinin enerji bağılılığı finansal derinliği gibi ülkeye özgü faktörlere göre değiştiğini ortaya koymaktadır. Bulgular, yatırımcılar ve politika yapıcılar açısından ülkeye özgü risk yönetim stratejilerinin önemini vurgulamaktadır.

Anahtar Kelimeler

• Borsa Yatırım Fonları (ETF)
• Yeni sanayileşen Ülkeler
• Küresel Belirsizlik
• VECM

The Response of ETF Markets to Global Uncertainty Shocks: Evidence from Newly Industrialized Countries

Öz

This study investigates the short- and long-term relationships between iShares MSCI ETF funds in newly industrialized countries and the global risk and uncertainty indicators represented by the VIX index, gold (ONS), and Brent oil volatility. Using monthly data for the period from February 2012 to April 2025, the Johansen cointegration test and the Vector Error Correction Model (VECM) are applied. The empirical findings reveal a significant and negative long-run relationship between ETFs and the VIX index for most countries. While gold volatility generates positive effects in some markets, Brent oil volatility adversely affects ETF prices, particularly in energy-importing economies. The short-run analyses indicate that ETF prices in Brazil, Indonesia, the Philippines, Malaysia, Thailand, and Turkey are negatively influenced by volatility shocks. Conversely, short-run responses to VIX and gold volatility differ across countries. The error-correction coefficients demonstrate that short-term deviations from equilibrium tend to adjust in the long run-in certain markets. Overall, the results suggest that ETF markets in newly industrialized countries are highly sensitive to global risk and uncertainty; however, the magnitude of this sensitivity varies depending on country-specific factors such as energy dependence and financial depth. These findings emphasize the importance of designing country-specific risk management strategies for both investors and policymakers.

Anahtar Kelimeler

• Exchange Traded Funds (ETFs)
• Emerging Markets
• Global Uncertainty
• VECM

Kaynakça

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