Lokal Makroekonomik Göstergelerin ve Küresel Risk Faktörlerinin Türkiye Katılım Endeksi Üzerindeki Etkisinin Test Edilmesi: Kantil Regresyon Yaklaşımı

Yıl 2022, Cilt: 36 Sayı: 3, 258 - 267, 15.07.2022

Amal Essayem Şakir Görmüş Murat Guven

Öz

Bu çalışmanın amacı, Mayıs 2011-Nisan 2021 döneminde Türkiye hisse senedi piyasasında lokal makroekonomik göstergelerin ve küresel risk faktörlerinin katılım endeksi üzerindeki etkisini araştırmaktır. Kantil regresyon yaklaşımı kullanarak, lokal makroekonomik göstergelerin ve küresel risk faktörlerinin düşen(bear), normal, yükselen(bull) piyasa koşullarındaki etkisini tespit etmekteyiz. Ampirik sonuçlar, lokal makroekonomik göstergeler arasında para politikasıyla ilgili göstergelerden CPI(SGB)’nin sadece düşüş piyasasında (yükseliş piyasası) KAT30'u etkilediğini gösterirken, CDS tüm kantillerde KAT30'u negatif etkilemektedir. Küresel risk faktörleri söz konusu olduğunda, sonuçlar KAT30'un Q0.75 ve Q0.95 dışındaki tüm kantillerde VIX'ten negatif etkilendiğini göstermektedir. Bu durum, düşüş piyasasında VIX’in KAT30 üzerindeki etkisinin daha güçlü olduğu göstermektedir.. Bununla birlikte, OVX ve MSCI'nin etkisi, üst kantillerde pozitif ve anlamlıdır.

Anahtar Kelimeler

Katılım endeksi, lokal makroekonomik göstergeler, Küresel risk faktörleri, Kantil regresyon, Türkiye borsası

Testing the effect of local macroeconomic indicators and global risk factors on the Turkish participation stock market: Evidence from quantile regression approach

Öz

The purpose of this paper is to investigate the effect of Local Macroeconomic Indicators (LMI) and Global Risk Factors (GRF) on the participation index in the Turkish stock market from May 2011 to April 2021. Using the quantile regression approach (QR-A), we detect the impact of LMI and GRF across different market conditions: bull, bear and normal. The empirical results demonstrate that, among LMI, monetary policy related indicators CPI (SGB) merely influence KAT30 return at bearish market (bullish market); however, CDS negatively affects KAT30 return across all quantiles. When it comes to global risk factors, results show that KAT30 return is negatively affected by VIX across all quantiles except Q0.75 and Q0.95. This means that the VIX impact on KAT30 return is stronger during the bearish market. Yet, OVX and MSCI positively impact the index’ return across upper quantiles.

Anahtar Kelimeler

Global risk factors, local macroeconomic indicators, participation index, quantile regression, Turkish stock market

Kaynakça

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