Symmetric and Asymmetric Effects of Uncertainties on Financial Markets: A Study of the BIST Transportation Index
Ercüment DoğruUncertainties arising from global economic, political, social, and geopolitical events affect real and financial markets. Determining the market’s reaction to uncertainties, such as financial crises and political and economic events, is important for developing risk management strategies. This study investigates the symmetric and asymmetric effects of uncertainties on stocks by focusing on the BIST transportation index. To examine the causality relationship between the geopolitical risk (GPR) index and global economic policy uncertainty (GEPU) index with the BIST transportation index (XULAS) and among the companies within the transportation index, monthly data from May 2013 to September 2023 were used and analyzed using the Hacker and Hatemi-J Bootstrap (2006) causality test and Hatemi-J’s (2012) asymmetric causality test. The study findings show a mutual causality relationship between the GPR index and the BIST transportation index and between GEPU and XULAS. The Hatemi-J (2012) asymmetric causality test suggests that positive shocks in both the GPR and the GEPU index cause negative shocks in the BIST transportation index and companies’ stocks within the transportation index. However, it was concluded that negative shocks in the GEPU index can lead to causality relationships in both positive and negative shocks in the BIST transportation index. This study emphasizes the importance of monitoring GPR and GEPU indexes in managing risks.
Belirsizliklerin Finansal Piyasalara Simetrik ve Asimetrik Etkisi: BIST Ulaştırma Endeksi Üzerine Bir Araştırma
Ercüment DoğruKüresel ölçekte ortaya çıkan ekonomik, siyasi, sosyal ve jeopolitik olaylar gibi belirsizliklerden kaynaklanan risklerin reel ve finansal piyasalar üzerinde etkileri bulunmaktadır. Özellikle finansal krizler, politik ve ekonomik olaylar gibi belirsizlik faktörlerine piyasanın nasıl tepki vereceğinin belirlenmesi risk yönetimi stratejilerinin geliştirilmesi açısından önemlidir. Bu çalışma, BIST ulaştırma endeksine odaklanarak belirsizliklerin hisse senetleri üzerine olan simetrik ve asimetrik etkilerinin araştırılması amaçlanmaktadır. Bu amaçla, Mayıs 2013 – Eylül 2023 dönemi aylık verileri kullanılarak jeopolitik risk (GPR) endeksi ve küresel ekonomik politika belirsizliği (GEPU) endeksi ile BIST ulaştırma endeksi (XULAS) ve ulaştırma endeksinde yer alan şirketler arasındaki nedensellik ilişkisi Hacker ve Hatemi-J Boostrap (2006) nedensellik testi ve Hatemi-J (2012) asimetrik nedensellik testi ile araştırılmıştır. Analizden elde edilen bulgular sonucunda jeopolitik risk endeksi ve BIST ulaştırma endeksi ile GEPU ve XULAS arasında karşılıklı nedensellik ilişkisi olduğu belirlenmiştir. Hatemi-J (2012) asimetrik nedensellik testi ile hem GPR hem de GEPU endeksinde ortaya çıkan pozitif şokların BIST ulaştırma endeksi ve ulaştırma endeksinde yer alan şirketlerin hisse senetlerindeki negatif şokların nedeni olduğu sonucuna ulaşılmıştır. Bununla birlikte, GEPU endeksindeki negatif şoklardan BIST ulaştırma endeksindeki pozitif ve negatif şoklara doğru nedensellik ilişkisi tespit edilmiştir. Araştırmada, yatırımcıların GPR ve GEPU endeksindeki değişimleri izlemesinin risk yönetimi açısından gerekli olduğu ortaya çıkmıştır.
Investors operate in a financial environment with complex relationships between markets and assets. Moreover, uncertainties including economic, political, social, technological, and geopolitical factors, have significant effects on financial markets. This study provides information on investment strategies and policies related to the transportation sector by examining the impact of uncertainties on financial markets specific to the transportation sector. Therefore, we analyze the symmetric and causality relationship between the global economic policy uncertainty index (GEPU) and geopolitical risk index (GPR) as uncertainty indicators and the BIST transportation index (XULAS) and the companies in the index using monthly data of the variables from May 2013 to September 2023. First, the Hacker and Hatemi-J (2006) Bootstrap causality test was used to find the symmetric causality relationship between the variables. Then, the Hatemi-J (2012) asymmetric causality test was used to analyze the impact of positive and negative shocks on transportation sector.
The findings of Hacker and Hatemi-J (2006) Bootstrap causality test show a reciprocal causality relationship between the geopolitical risk index and the BIST transportation index and between the GEPU index and the BIST transportation index. While a unidirectional causality relationship exists between the geopolitical risk index and the CLEBI stock, a reciprocal causality relationship exists between the geopolitical risk index and GSDDE and PGSUS. Moreover, there is evidence of reciprocal causality between the GEPU index and PGSUS stocks. A unidirectional causality relationship was found between CLEBI and RYSAS and the GEPU index. The Hatemi-J asymmetric causality test was conducted to examine the effect of positive and negative shocks on the causality relationship between variables. Positive shocks in the geopolitical risk index were found to result in negative shocks in the BIST transportation index, whereas negative shocks in the BIST transportation index led to negative and positive shocks in the geopolitical risk index. A significant finding is that increases in the geopolitical risk index adversely affects companies in the transportation index. We conclude that negative shocks in the geopolitical risk index result in negative and positive shocks in CLEBI, positive shocks in GSDDE, and negative shocks in BEYAZ and PGSUS. Negative shocks in the GEPU index, another uncertainty index used in the study, led to negative shocks in the BIST transportation index and the transportation companies in the index. A causality relationship was found between positive shocks in the GEPU index and positive shocks in CLEBI, GSDDE, and THYAO stocks. A causality relationship exists between negative shocks of the GEPU index and those of CLEBI, GSDDE, and THYAO and between the negative and positive shocks of the BIST transportation index. We conclude that a causality relationship exists between the positive shocks of the BIST transportation index and all stocks and between the positive shocks of the GEPU index and from negative shocks to negative shocks of GEPU. In addition, causality is found between negative shocks of the BIST transportation index and BEYAZ, RYSAS, and THYAO stocks and positive shocks of the GEPU index.
These findings show that increases in the geopolitical risk index and the GEPU index negatively impact the transportation sector. This implies that uncertainty indices can be used as leading indicators for predicting changes in the transportation sector. It is important to know the symmetric and asymmetric effects of fluctuations in uncertainty indices on financial markets for managing risks and developing new strategies to offset these effects. Considering changes in general economic factors, geopolitical risks, and uncertainties is critical for portfolio management. This study uses global uncertainty indices. Further study will examine different global, categorical, or local uncertainty indices or different sectors and contribute to the literature.