Gelişmekte Olan Ülkelerde Jeopolitik Riskler ve Borsa Davranışları: Zamanla Değişen Nedensellik Yaklaşımı

Yıl 2020, Cilt: 21 Sayı: 2, 359 - 381, 30.12.2020

Taner Sekmen

Öz

Bu çalışmada jeopolitik risklerin hisse senedi piyasalarına etkileri araştırılmaktadır. Jeopolitik gerginliklerin yüksek olduğu 14 gelişmekte olan ülkenin Ocak 1998 ve Eylül 2019 arası aylık verileri zamanla değişen nedensellik testi aracılığıyla analiz edilmektedir. Ortaya çıkan bulgular özellikle jeopolitik risklerin yükseldiği dönemlerde hisse senedi borsalarının getirileri ve getiri oynaklığının jeopolitik riskler tarafından yönlendirdiğini göstermektedir. Jeopolitik riskler hemen her ülkede önemli ölçüde getiri oynaklığına neden olurken borsa getirileri bakımından en az etkilenen ülkeler İsrail ve Brezilya’dır. Ukrayna ise jeopolitik riskler tarafından en fazla etkilenen hisse senedi piyasasına sahiptir. Türkiye ise jeopolitik gerginliklerin yüksek olduğu bir coğrafyada bulunmasına, yoğun terör saldırılarına maruz kalmasına ve aktif bir şekilde askeri operasyonlar yürütmesine rağmen Türkiye’de hisse senedi getirilerinin jeopolitik risklerden nispeten az etkilediği sonucuna varılmaktadır.

Anahtar Kelimeler

Jeopolitik Riskler, Gelişmekte Olan Ülke Borsaları, Borsa Getirileri ve Oynaklığı, Zamanla Değişen Nedensellik

Geopolitical Risks and Stock Market Behavior in Developing Countries: A Time-Varying Causality Approach

Öz

This study investigates the effects of geopolitical risks on stock markets. For this purpose, monthly data between January 1998 and September 2019 of 14 developing countries where geopolitical risk are high are analyzed through time-varying causality tests. The findings show that the stock market returns and volatility are driven by geopolitical risks, especially when the geopolitical risks increase. While geopolitical risks cause significant volatility in almost every country, the least affected countries in terms of stock market returns are Israel and Brazil. Ukraine, on the other hand, has the stock market most affected by geopolitical risks. Turkey is situated in a geography that is exposed to high geopolitical risks and intense terrorist attacks. Besides, despite active military operations, it is concluded that the stock market returns are relatively little affected by geopolitical risks in Turkey.

Anahtar Kelimeler

Geopolitical Risks, Stock Market of Developing Countries, Stock Market Returns and Volatility

Kaynakça

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