The Effect of US Monetary Policy Uncertainty on Stock Returns: BIST100 Example

Yıl 2023, Sayı: 120, 231 - 246, 16.10.2023

Hakan Yıldırım , Saffet Akdağ , İ. Gökçe Kaya

https://doi.org/10.33203/mfy.1328940

Öz

The study in question was Husted et al. (2017) aims to test the effect of the US Monetary Policy Uncertainty Index, developed by using the scaled frequency numbers of articles discussing monetary policy uncertainty in US national newspapers, on the BIST100 index, one of Turkey’s leading stock market indexes. In the study using monthly data between January 1990 and April 2023, the causality test developed in the Granger (1969) study and the Frequency Causality test developed in the Breitung and Candelon (2006) study were applied. According to Granger causality test results, while indicating the existence of a statistically significant causality from MPU index to BIST100 index, it was determined that causality is permanent according to Frequency Causality Test results.

Anahtar Kelimeler

Stock Market Index, US Monetary Policy Uncertainty Index, Granger Causality Test

ABD Para Politikaları Belirsizliğinin Pay Senedi Getirileri Üzerine Etkisi: BİST100 Örneği

Öz

Bu çalışmada, ABD para politikası belirsizliğinin Türkiye’de hisse senetlerinin getirilerine etkileri araştırılmıştır. Bu bağlamda Husted vd. (2017) çalışmasında geliştirilen ve ABD ulusal gazetelerinde para politikaları belirsizliğini tartışan makalelerin ölçeklendirilmiş frekans sayıları kullanılarak hesaplanan ABD Para Politikaları Belirsizlik Endeksi ile BİST100 endeksinin Ocak 1990 ile Nisan 2023 tarihleri arasındaki aylık verilerin kullanıldığı çalışmada Granger (1969) çalışmasında geliştirilen nedensellik testi ile Breitung ve Candelon (2006) çalışmasında geliştirilen Frekans Nedensellik testi uygulanmıştır. Granger nedensellik testi sonuçları MPU endeksinden BİST100 endeksine doğru istatistiksel olarak anlamlı bir nedenselliğin varlığına işaret ederken, frekans nedensellik testi sonuçlarına göre nedenselliğin kalıcı olduğu tespit edilmiştir.

Anahtar Kelimeler

Borsa Endeksi, ABD Para Politikaları Belirsizlik Endeksi, Granger Nedensellik Testi, Frekans Nedensellik Testi

Kaynakça

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