Küresel Ekonomi Belirsizlik Endeksi ve Twitter-Belirsizlik Endeksi Portföy Yönetimi Stratejilerinde Karar Değişkeni Olabilir mi?

Öz

Makale, Twitter Tabanlı Belirsizlik Endeksi, Küresel Ekonomi Politikası Belirsizlik Endeksi ve Türkiye BIST Banka Endeksi arasındaki ilişkileri Vektör Otoregresif Model (VAR) ve Granger nedensellik analizi yöntemini kullanılarak incelemektedir. Varyans ayrıştırma sonuçlarına göre BIST banka endeksi standart sapmasında meydana gelen değişimin %11,11 Küresel Ekonomi Belirsizlik Endeksi, %1,29'u Twitter Tabanlı Belirsizlik Endeksi tarafından açıklamaktadır. Ekonomik belirsizliklerin BIST banka endeksi üzerindeki etkileri orta şiddettedir. Twitter belirsizlik endeksinin etkisi ise düşük şiddette ve dalgalıdır. Küresel Ekonomi Belirsilik Endeksinin Türkiye bankacılık sektörü endeksi üzerindeki etkisi Twitter Tabanlı Belirsizlik Endeksine göre daha baskındır. BIST banka endeksinin kendi şoklarına karşı piyasa hafızası kısa süreli, ekonmik belirsizliklere ve sosyal medya kaynaklı belirsizliklere karşı piyasa hafızası daha uzun sürelidir. Bankacılık sektörü endeksi ile Küresel Ekonomi Politikası Belirsizlik Endeksi arasında çift yönlü, Twitter Tabanlı Belirsizlik endeksinden bankcılık sektör endeksine doğru tek yönlü nedensellik mevcuttur. Çalışma sonuçları portföy yöneticileri tarafından belirsizlik şoklarına karşı piyasa hafızasının tahmin edilmesinde, etki tepki sonuçlarına göre kısa vadeli portföy yönetim stretijilerinde portföy seçimi, portföy risk yönetimi kararlarına destek amaçlı ve şoklar karşısında dönemsel zamanlama stretejisinin planlanıp uygulanmasında kullanılabilir.

Anahtar Kelimeler

• Piyasa hafızası
• Portföy stratejisi
• Ekonomi Politika Endeksi (GEPU)
• Twitter Belirsizlik Endeksi (TEU)
• BIST Banka Endeksi (XBANK)

Can the Global Economic Uncertainty Index and Twitter Uncertainty Index Be Decision Variables in Portfolio Management Strategies?

Öz

The paper examines the relationships between the Twitter-Based Uncertainty Index, the Global Economic Policy Uncertainty Index, and the Turkey BIST Banking Index using the Vector Autoregressive Model (VAR) and Granger causality analysis methods. According to variance decomposition results, 11.11% of the variation in the standard deviation of the BIST bank index is explained by the Global Economic Uncertainty Index, and 1.29% is explained by the Twitter-Based Uncertainty Index. The effects of economic uncertainties on the BIST bank index are moderate. The effect of the Twitter uncertainty index is low and volatile. The effect of the Global Economic Uncertainty Index on the Turkish banking sector index is more dominant than that of the Twitter-Based Uncertainty Index. The market memory of the BIST banking index is short-term against its own shocks, while its market memory is longer-term against economic uncertainties and social media-driven uncertainties. A two-way causality has been identified between the banking sector index and the Global Economic Policy Uncertainty Index, and a one-way causality has been identified from the Twitter-Based Uncertainty Index to the banking sector index. The results of the study can be used by portfolio managers to predict market memory against uncertainty shocks, to support portfolio selection and portfolio risk management decisions in short-term portfolio management strategies based on impact-response results, and to plan and implement periodic timing strategies in response to shocks.

Anahtar Kelimeler

• Market memory
• Portfolio strategy
• Economic Policy Index (GEPU)
• Twitter Uncertainty Index (TEU)
• BIST Bank Index (XBANK)

Kaynakça

1. Agarwal, A., Xie, B., Vovsha, I., Rambow, O. & Passonneau, R. (2011). Sentiment analysis of twitter data. Proceedings of The ACL 2011 Workshop on Languages in Social Media, 30–38. https://dl.acm.org/doi/pdf/10.5555/2021109.2021114
2. Aharon, D. Y., Demir, E., Lau, C. M., & Zaremba, A. (2022). Twitter-Based Uncertainty and Cryptocurrency Returns. Research in International Business and Finance 59, 1-5. https://doi.org/10.1016/j.ribaf.2021.101546
3. Akkuş, Ö. (2017). The impact of economic policy uncertainty and political instability on growth. Anadolu University Journal of Social Sciences, 17(3), 27-42. https://doi.org/10.18037/ausbd.417272
4. Aktaş, C. (2010). An analysis of the relationship between the real exchange rate and export and import in turkey using the var methodology. ZKU Journal of Social Sciences, 6(11), 123–140.
5. Akyüz, H. E. (2018). Statistical analysis of climatic variables with vector autoregression (VAR) model. International Journal of Engineering Research and Development, 10(2), 183-192. https://doi.org/10.29137/umagd.402272
6. Anwer Z., Khan M. A., Hassan M. K. & Singh M. K. H., (2024). Assessing dynamic co-movement of news-based uncertainty indices and distance-to-default of global FinTech firms. Research in International Business and Finance, 71, 102476. https://doi.org/10.1016/j.ribaf.2024.102476
7. Arouri, M., Rault, C. & Teulon, F. (2014). Economic policy uncertainty, oil price shocks, and GCC stock markets. Economics Bulletin, 34(3), 1822–1834.
8. Baker, S. R., Bloom, N. & Davis, S. J. (2011). Policy uncertainty: a new indicator. Chicago Booth Research Paper, 21–23.

9. Baker, S. R., Bloom, N. & Davis, S. J. (2013). Measuring economic policy uncertainty. Chicago Booth Research Paper No. 13-02. http://dx.doi.org/10.2139/ssrn.2198490
10. Baker, S. R., Bloom, N. & Davis, S. J. (2016). Measuring economic policy uncertainty. The quarterly journal of economics, 131(4), 1593-1636.: https://doi.org/10.1093/qje/qjw024
11. Baker, S. R., Bloom, N., Davis, S. & Renault, T. (2021). Twitter-derived measures of economic uncertainty. Access address https://www.policyuncertainty.com/media/Twitter_Uncertainty_5_13_2021.pdf
12. Bloom, N. (2007). Uncertainty and the dynamics of R&D. American Economic Review, 97(2), 250–255. https://doi.org/10.1257/aer.97.2.250
13. Brogaard J. & Detzel A. L. (2014). The asset pricing implications of government economic policy uncertainty. University of Washington mimeo. http://dx.doi.org/10.2139/ssrn.2075375
14. Caggiano, G., Castelnuovo, E. & Pellegrino, G. (2017). Estimating the real effects of uncertainty shocks at the zero lower bound. European Economic Review, 100, 257–272. https://doi.org/10.1016/j.euroecorev.2017.08.008
15. Chen, J., Jiang, F., & Tong, G. (2017). Economic policy uncertainty in China and stock market expected returns. Accounting & Finance, 57(5), 1265-1286. https://doi.org/10.1111/acfi.12338
16. Chiang, T. C. (2020). Economic policy uncertainty and stock returns: evidence from the Japanese market. Quantitative Finance and Economics, 4(3), 430-458. https://doi.org/10.3934/QFE.2020020
17. Christou, C., Cunado, J., Gupta, R., & Hassapis, C. (2017). Economic policy uncertainty and stock market returns in PacificRim countries: Evidence-based on a Bayesian panel VAR model. Journal of Multinational Financial Management, 40, 92-102. https://doi.org/10.1016/j.mulfin.2017.03.001
18. Coşkun, A., & Kodaz, K. (2024). The Effect of Country and Global Economic Policy Uncertainty on the Returns of Selected Financial Investment Instruments: Evidence from Turkey. JOEEP: Journal of Emerging Economies and Policy, 9(Special Issue), 138-154.
19. Davis, S. (2016). An index of global economic policy uncertainty. National Bureau of Economic Research. https://doi.org/10.3386/w22740
20. Dong, X. & Yoon, S.-M. (2019). What global economic factors drive emerging Asian stock market returns? Evidence from a dynamic model averaging approach. Economic Modelling, 77, 204–215. https://doi.org/10.1016/j.econmod.2018.09.003
21. Gazel, S. (2021), Does the Twitter-Based Uncertainty Index Affect the Volatility of Cryptocurrencies? Journal of Research in Economics, Politics & Finance, 6(Special Issue), 207-224, https://doi.org/10.30784/epfad.1024421
22. Günay, S. & Goodell, J.W., Muhammed, S., Kirimhan, D., (2023). Frequency connectedness between FinTech, NFT, and DeFi: considering linkages to investor sentiment. Int. Rev. Financ. Anal. 90, 102925, https://doi.org/10.1016/j.irfa.2023.10292
23. Guo, P., Zhu, H. & You, W. (2018). Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach. Finance Research Letters, 25, 251–258. https://doi.org/10.1016/j.frl.2017.11.001
24. Gürsoy, S. (2021). Küresel Ekonomik Politik Belirsizliğin (Gepu) Döviz Kuru, Enflasyon ve Borsa Etkisi: Türkiye’den Kanıtlar. Türkiye Mesleki ve Sosyal Bilimler Dergisi, (5), 120-131. https://doi.org/10.46236/jovosst.877608
25. Hoque, M. E. & Zaidi, M. A. S. (2019). The impacts of the impacts of global economic policy uncertainty on stock market returns in regime-switching environment: Evidence from sectoral perspectives. International Journal of Finance and Economics, 24(2), 991–1016. https://doi.org/10.1002/ijfe.1702
26. Ilgın, K. S. (2022). Examining the relationship between national economic policy uncertainty and stock market ındices: an empirical analysis for selected European countries. Journal of Economic Policy Researches, 9(2), 455-474. DOI :10.26650/JEPR1074582
27. Korkmaz, Ö. & Güngör, S. (2018). The impact of global economic policy uncertainty on stock returns of selected index traded on Istanbul stock exchange. Journal of Social Sciences of Mus Alparslan University (Anemon), 6(ICEESS’18), 211-219. https://doi.org/10.18506/anemon.452749
28. Korkmaz, T. & Çevik, E. İ. (2009). Zımni volatilite endeksinden gelişmekte olan piyasalara yönelik volatilite yayılma etkisi. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 3(2), 87-106.
29. Kraaijeveld, O., & Smedt, J. D. (2020). The predictive Power Of Public Twitter Sentiment For Forecasting Cryptocurrency Prices. Journal of International Financial Markets, Institutions and Money 65, 1-22.
30. Kumar, V., Leona, R.P. & J.N Gasking (1995). Aggregate and disaggregate sector forecasting using consumer confidence measures. International Journal of Forecasting. Volume 11, Issue 3, pp. 361-377 https://doi.org/10.1016/0169-2070(95)00594-2
31. Liu, L., & Zhang, T. (2015). Economic Policy Uncertainty and Stock Market Volatility. Finance Research Letters, 15, 99-105. https://doi.org/10.1016/j.frl.2015.08.009
32. Lu, X., & Lang, Q. (2023). Categorial economic policy uncertainty indices or Twitter-based uncertainty indices? Evidence from the Chinese stock market. Finance Research Letters, 55, 103936. https://doi.org/10.1016/j.frl.2023.103936
33. Mao, Y., Wei, W., Wang, B. & Liu, B. (2012). Correlating S&P 500 stocks with Twitter data. In Proceedings of the first ACM international workshop on hot topics on interdisciplinary social networks research (pp. 69-72). https://doi.org/10.1145/2392622.2392634
34. Maquieira, C. P., Espinosa-Méndez, C. & Gahona-Flores, O. (2023). How does economic policy uncertainty (EPU) impact copper firms' stock returns? International evidence. Resources Policy, 81, 103372. https://doi.org/10.1016/j.resourpol.2023.10337
35. Mohammed, K. S., Obeid, H., Oueslati, K. & Kaabia, O. (2023). Investor sentiments, economic policy uncertainty, US interest rates, and financial assets: Examining their interdependence over time. Finance Research Letters, 57, Article 104180. https://doi.org/10.1016/j.frl.2023.104180
36. Nisar, T. M. & Yeung, M. (2018). Twitter as a tool for forecasting stock market movements: A short-window event study. The Journal of Finance and Data Science, 4(2), 101-119. https://doi.org/10.1016/j.jfds.2017.11.002
37. Pala, F. (2024). Examining the Asymmetric Relationship Between Selected Risk and Uncertainty Indices and Sectoral Stock Returns: An Empirical Analysis for OECD Countries JOEEP: Journal of Emerging Economies and Policy, 9(2), 236-261.
38. Park, H. W., & Lee, Y. (2019). How Are Twitter Activities Related to Top Cryptocurrencies Performance? Evidence From Social Media Network and Sentiment Analysis. Drustvena Istrazivanja 28(3), 435-460.
39. Parker, J. A. & Preston, B. (2005). Precautionary saving and consumption fluctuations. American Economic Review, 95(4), 1119–1143. https://doi.org/10.1257/0002828054825556
40. Sevüktekin, M. & M. Çınar., (2014), Ekonometrik Zaman Serileri Analizi, Dora Yayıncılık , Bursa.
41. Sikhwal, S. (2024). Quantifying the spillover effects of U.S. economic policy uncertainty on emerging market economies using GMM-PVAR model, Russian Journal of Economics, 10, 229–245. https://doi.org/ 10.32609/j.ruje.10.128666
42. Stock J. H. & Watson, M. W. (2001). Vector autoregressions. Journal of Economic Perspectives, 15(4), 101–115. https://doi.org/10.1257/jep.15.4.101
43. Tafti, A., Zotti, R. & Jank, W. (2016). Real-Time Diffusion of Information on Twitter and the Financial Markets. PLoS ONE, 11(8), e0159226. https://doi.org/ 10.1371/journal.pone.0159226
44. Tarı, R., & Bozkurt, H. (2006). Türkiye’de istikrarsiz büyümenin VAR modelleri ile analizi (1991.1-2004.3). Istanbul University Econometrics and Statistics e-Journal, (4), 1-16.
45. Turkish Banking Association (TBB): https://www.tbb.org.tr/tr/banka-ve-sektor-bilgileri/istatistiki-raporlar/Aktif_Buyukluklerine_Gore_Banka_Siralamasi/6211
46. Valle-Cruz, D., Fernandez-Cortez, V., López-Chau, A.,& Sandoval-Almazán, R. (2022). Does twitter affect stock market decisions? financial sentiment analysis during pandemics: A comparative study of the H1N1 and the covid-19 periods. Cognitive Computation, 1-16. https://doi.org/10.1007/s12559-021-09819-8
47. Vu, T., Chang, S., Ha, Q.T. & Collier, N. (2012.) An experiment in integrating sentiment features for tech stock, prediction in Twitter. Proceedings of the Workshop on Information Extraction and Entity Analytics on Social Media Data, 23-38. Access address: https://oro.open.ac.uk/40125/1/IEEASMD_An%20Experiment%20in%20Integrating%20Sentiment%20Features%20for%20Tech%20Stock%20Prediction%20in%20Twitter.pdf
48. Wu, W., Tiwari, A. K., Gozgor, G., & Huang, L. (2021). Does Economic Policy Uncertainty Affect Cryptocurrency Markets? Evidence From Twitter-Based Uncertainty Measures. Research in International Business and Finance, 58, 1-14.
49. Xu, Y., Wang, J., Chen, Z., & Liang, C. (2021). Economic policy uncertainty and stock marreturnurns New evidence. The North American Journal of Economics and Finance, 58, 101525.
50. Yıldırım, H., Akdağ, S., & Kaya, İ. G. (2023). The Effect of US Monetary Policy Uncertainty on Stock Returns: BIST100 Example, Maliye Ve Finans Yazıları, (120), 231-246. https://doi.org/10.33203/mfy.1328940
51. Zhang, X., Fuehres, H. & Gloor, P. (2011). Predicting stock market indicators through Twitter ‘‘I hope it is not as bad as I fear”. Social and Behavioral Sciences, 26, 55-62. https://doi.org/10.1016/j.sbspro.2011.10.562