Temiz Enerji Hisse Senetleri Üzerinde Belirsizliğin Zamanla Değişen ve Dinamik Etkileri: Ekonometrik Bir Yaklaşım

Yıl 2025, Sayı: Özel Sayı 3, 242 - 261, 31.12.2025

Naime İrem Duran

Öz

Bu çalışmanın amacı, temiz enerji endeksleri ile piyasaları etkileyen belirsizlik endeksleri arasındaki uzun ve kısa dönem ilişkileri incelemektir. Bu amaçla temiz enerji göstergeleri olarak NASDAQ Clean Edge Temiz Enerji Endeksi (CELS) ve FTSE Çevresel Fırsatlar Endeksi (FTEOUS) bağımlı değişken, belirsizliği gösteren faktörler olarak da İklim Politikası Belirsizlik Endeksi(CPU), Twitter Tabanlı Ekonomik Belirsizlik Endeksi(TEU), ABD-Çin Jeopolitik Gerilim Endeksi (UCT) ve Sürdürülebilirlik Belirsizlik Endeksi(ESGUI) bağımsız değişkenler olarak belirlenmiştir. İki bağımlı değişkenin belirlenen bağımsız değişkenlerle uzun dönem ilişkilerini incelemek için ARDL modeli, kısa dönem nedensellik ilişkilerini belirlemek için ise Zamana göre değişen Granger Nedensellik analizi yapılmıştır. Ocak 2012-2023 aylık verilerini içeren analiz sonuçları ESGUI değişkeninin her iki temiz enerji endeksini uzun dönemde etkilediğini gösterirken, kısa dönemli nedensellik analizine göre TEU değişkeni her iki endeksle nedensellik ilişkisine işaret etmektedir. Sonuç olarak elde edilen bulgular, bu endeksler üzerinde, endeksin yapısı ve içerdiği sektörlerle birlikte bilginin yayılım kanallarının etkisi olabileceğini göstermektedir.

Anahtar Kelimeler

Sürdürülebi1ir Finans , ARDL modeli , Zamana Göre Değişen Nedensellik Analizi

Time-Varying and Dynamic Effects of Uncertainties on Clean Energy Stocks: An Econometric Approach

Öz

The aim of this study is to analyze the short- and long-run effects of new-generation uncertainty indicators—including climate policy uncertainty (CPU), social-media-based economic uncertainty (TEU-USA), sustainability uncertainty (ESGUI), and the U.S.–China Geopolitical Tension Index (UCT)—on U.S. green equity markets. Accordingly, for the period January 2012–January 2023, the effects on Nasdaq Clean Edge Clean Energy Index (CELS) and the FTSE Environmental Opportunities U.S. Index (FTEOUS) were examined using ARDL and TVGC methods . The findings indicate that ESGUI is a key long-run determinant for both green indices, while TEU affects only the CELS index in the long and short run . The fact TEU is significant only for CELS suggests that the FTEOUS index exhibits greater resilience to social-media-based economic uncertainty. Overall, the results reveal that the responses of green financial markets to uncertainty shocks may vary depending on index structure, sectoral composition, and information diffusion channels.

Anahtar Kelimeler

Sustainable Finance , ARDL Model , Time-Varying Granger Causality Analysis

Kaynakça

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