Cilt 14 Sayı 2 (2026): Business & Management Studies: An International Journal
Makaleler

Belirsizlik ve hisse senedi getirileri: Borsa İstanbul üzerine bir zaman-frekans bağımlılığı uygulaması

PDF
  • Umut Uyar,
  • İpek Yaylalı,
  • Ceren Demir
Umut Uyar
Prof. Dr., Pamukkale Üniversitesi, Denizli, Türkiye
İpek Yaylalı
Dr.Öğr. Üyesi, Medipol Üniversitesi, İstanbul, Türkiye
Ceren Demir
Arş. Gör., Medipol Üniversitesi, İstanbul, Türkiye

Yayınlanmış 25.06.2026

Anahtar Kelimeler

  • Macroeconomic Uncertainty, BIST Sector Indices, Wavelet Coherence Analysis, Financial Reporting, Risk Premium
  • Makroekonomik Belirsizlik, BIST Sektör Endeksleri, Wavelet Uyum Analizi, Finansal Raporlama, Risk Primi

Nasıl Atıf Yapılır

Belirsizlik ve hisse senedi getirileri: Borsa İstanbul üzerine bir zaman-frekans bağımlılığı uygulaması. (2026). Business & Management Studies: An International Journal, 14(2), 735-763. https://doi.org/10.15295/bmij.v14i2.2745

Telif Hakkı (c) 2026 Umut Umut- İpek Yaylalı- Ceren Demir

Creative Commons License

Bu çalışma Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License ile lisanslanmıştır.

Nasıl Atıf Yapılır

Belirsizlik ve hisse senedi getirileri: Borsa İstanbul üzerine bir zaman-frekans bağımlılığı uygulaması. (2026). Business & Management Studies: An International Journal, 14(2), 735-763. https://doi.org/10.15295/bmij.v14i2.2745

Öz

Bu çalışma, küresel ve ulusal makroekonomik belirsizliklerin Borsa İstanbul’da işlem gören dokuz farklı sektör endeksi üzerindeki etkilerini 2001-2022 dönemi verileriyle incelemektedir. Çalışmada; Küresel Ekonomik Politika Belirsizliği, ABD Ekonomik Politika Belirsizliği, Dünya Belirsizlik Endeksi ve Türkiye Jeopolitik Risk Endeksinin etkileri, temel makroekonomik kontrol değişkenleri altında zaman serisi regresyonu ve Wavelet Uyum Analizi ile test edilmiştir. Elde edilen bulgular, küresel politika belirsizliğinin sektör getirileri üzerinde baskılayıcı bir etkiye sahip ve öncü bir gösterge niteliğinde olduğunu; buna karşın yerel jeopolitik risklerin risk primi kanalıyla getirileri nominal düzeyde artırabildiğine işaret etmektedir. Sektörel bazda yapılan analizler, finansal varlık ağırlıklı bankacılık ve yüksek kaldıraçlı elektrik sektörlerinin belirsizlik şoklarına karşı daha kırılgan bir yapı sergilediğini; buna karşın sınai sektörünün reel varlık ve stok yapısı sayesinde görece daha dirençli kalabildiğini göstermektedir. Elde edilen sonuçlar, yatırımcıların portföy çeşitlendirmesi yaparken ve politika yapıcıların sektörel düzenlemeleri tasarlarken, sektörlerin bilanço niteliklerini ve varlık-kaynak kompozisyonlarını dikkate almalarının önemini ortaya koymaktadır.

PDF

Referanslar

  1. Abakah, E. J. A., Caporale, G. M., & Gil-Alana, L. A. (2021). Economic policy uncertainty: Persistence and cross-country linkages. Research in International Business and Finance, 58, 101442. https://doi.org/10.1016/j.ribaf.2021.101442
  2. Aharon, D. Y., ve Ali, S. (2025). Economic policy uncertainty in a globalized world: insights from a cross-country analysis. International Journal of Emerging Markets, 1-35.
  3. https://doi.org/10.1108/IJOEM-09-2024-1571
  4. Ahir, H., Bloom, N., & Furceri, D. (2018). The World Uncertainty Index (October 29, 2018). Available at SSRN 3275033.
  5. Alao, A. I., Adebiyi, O. O., & Olaniyi, O. O. (2024). The interconnectedness of earnings management, corporate governance failures, and global economic stability: A critical examination of the impact of earnings manipulation on financial crises and investor trust in global markets. Asian Journal of Economics, Business and Accounting, 24(11), 47-73. https://doi.org/10.9734/ajeba/2024/v24i111542
  6. Alsagr, N., & Van Hemmen, S. (2021). The impact of financial development and geopolitical risk on renewable energy consumption: evidence from emerging markets. Environmental Science and Pollution Research, 28(20), 25906-25919. https://doi.org/10.1007/s11356-021-12447-2
  7. Ando, T., Hoshino, T., & Tsay, R. (2026). Quantile Vector Autoregression without Crossing. arXiv preprint arXiv:2601.04663. https://doi.org/10.48550/arXiv.2601.04663
  8. Aydoğdu, A. (2024). Volatility spillovers of global economic policy uncertainty and fear index among cryptocurrencies: A wavelet-based DCC-GARCH approach. Journal of Applied Microeconometrics, 4(1), 13-29. https://doi.org/10.53753/jame.2417
  9. Aydoğdu, A. (2025). Risk Şokları ve Türkiye’deki Finansal Varlıklar Arasındaki Yayılım Etkisinin TVP-VAR Dayalı Wavelet Uyum Analizi ile İncelenmesi. Ekonomi Politika ve Finans Araştırmaları Dergisi, 10(1), 303-331. https://doi.org/10.30784/epfad.1595233
  10. Aydoğdu, A., & Meder Çakır, H. (2025). Volatility Modelling of Cryptocurrencies According to Different Investment Horizons: The Case of Bitcoin. Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty, 12(2), 724-749. https://doi.org/10.30798/makuiibf.1609311
  11. Aydoğdu, A., & Uyar, U. (2025). Enerji ve Kıymetli Metal Piyasaları Arasında Yayılım Etkisi: Wavelet Uyum Analizine Dayalı DCC-GARCH Yaklaşımı. Sosyoekonomi, 33(64), 557-585. https://doi.org/10.17233/sosyoekonomi.2025.02.24
  12. Baker, S. R., Bloom, N. & Davis, S. J. (2016). Measuring economic policy uncertainty, The Quarterly Journal of Economics, 131, 4, 1593–1636. https://doi.org/10.1093/qje/qjw024
  13. Barndorff-Nielsen, O. (1983). On a formula for the distribution of the maximum likelihood estimator. Biometrika, 70(2), 343-365. https://doi.org/10.2307/2335549
  14. Barndorff-Nielsen, O. E., & Cox, D. R. (1994). Inference and asymptotics. Chapman & Hall.
  15. Bekaert, G., Engstrom, E. C., & Xu, N. R. (2022). The time variation in risk appetite and uncertainty. Management Science, 68(6), 3975-4004. https://doi.org/10.1287/mnsc.2021.4068
  16. Bellikli, U., & Daştan, A. (2025). The impact of global economic policy uncertainty on accounting conservatism: A research on companies listed in the BIST 100 index. Istanbul Business Research, 54(2), 255-268.
  17. Bhuiyan, E. M., & Chowdhury, M. (2020). Macroeconomic variables and stock market indices: Asymmetric dynamics in the US and Canada. The Quarterly Review of Economics and Finance, 77, 62-74. https://doi.org/10.1016/j.qref.2019.10.005
  18. Bloom, N. (2009). The impact of uncertainty shocks. Econometrica, 77(3), 623-685. https://doi.org/10.3982/ECTA6248
  19. Boonman, T. M. (2023). Portfolio capital flows before and after the Global Financial Crisis. Economic Modelling, 127, 106440. https://doi.org/10.1016/j.econmod.2023.106440
  20. Broner, F., Didier, T., Erce, A., & Schmukler, S. L. (2013). Gross capital flows: Dynamics and crises. Journal of Monetary Economics, 60(1), 113-133.
  21. Caldara, D., & Iacoviello, M. (2022). Measuring geopolitical risk. American Economic Review, 112(4), 1194-1225. DOI: 10.1257/aer.20191823
  22. Camgöz, M. (2022). Global belirsizlik faktörlerinin BIST hisse senedi fiyatlarına asimetrik etkilerinin NARDL modeliyle analizi. Maliye ve Finans Yazıları, (118), 71-100. https://doi.org/10.33203/mfy.1103403
  23. Cao, C., Gempesaw, D., & Simin, T. T. (2021). Information choice, uncertainty, and expected returns. The Review of Financial Studies, 34(12), 5977-6031. https://doi.org/10.1093/rfs/hhaa146
  24. Ceylan, Ö. (2023). Revisiting the Nexus between Turkish tourism ındex returns and economic policy uncertainty:partial wavelet coherence analysis, Journal of Applied and Theoretical Social Sciences, 5(3), 251-269, https://doi.org/10.37241/jatss.2023.92
  25. Choi, S., Ciminelli, G., & Furceri, D. (2023). Is domestic uncertainty a local pull factor driving foreign capital inflows? New cross-country evidence. Journal of International Money and Finance, 130, 102764. https://doi.org/10.1016/j.jimonfin.2022.102764
  26. Cui, X., Ma, T., Xie, X., & Goodell, J. W. (2023). Uncertainty of uncertainty and accounting conservatism. Finance Research Letters, 52, 103525. https://doi.org/10.1016/j.frl.2022.103525
  27. Dai, L., & Ngo, P. (2021). Political uncertainty and accounting conservatism. European Accounting Review, 30(2), 277-307. https://doi.org/10.1080/09638180.2020.1760117
  28. Davis, S. J. (2016). An index of global economic policy uncertainty (No. w22740). National Bureau of Economic Research, Working Paper 22740, doi: 10.3386/w22740
  29. Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 1057-1072. https://doi.org/10.2307/1912517
  30. Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57-66. https://doi.org/10.1016/j.ijforecast.2011.02.006
  31. Diğer, H. & Uyar, U. (2025). The Relationship Between Health Expenditures and Inflation by Provinces in Türkiye: Wavelet Coherence Analysis. Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty, 12(1), 271-292. https://doi.org/10.30798/makuiibf.1505841
  32. Elliott, G. R., Rothenberg T. J., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64, 813–836. https://doi.org/10.2307/2171846
  33. Falato, A., Goldstein, I., & Hortaçsu, A. (2021). Financial fragility in the COVID-19 crisis: The case of investment funds in corporate bond markets. Journal of Monetary Economics, 123, 35-52. https://doi.org/10.1016/j.jmoneco.2021.07.001
  34. Fang, T., Lee, T. H., & Su, Z. (2020). Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection. Journal of Empirical Finance, 58, 36-49. https://doi.org/10.1016/j.jempfin.2020.05.007
  35. Forbes, K. J., & Warnock, F. E. (2021). Capital flow waves—or ripples? Extreme capital flow movements since the crisis. Journal of International Money and Finance, 116, 102394. https://doi.org/10.1016/j.jimonfin.2021.102394
  36. Fratzscher, M. (2012). Capital flows, push versus pull factors and the global financial crisis. Journal of International Economics, 88(2), 341-356. https://doi.org/10.1016/j.jinteco.2012.05.003
  37. Fuad, F., Rohman, A., Yuyetta, E. N. A., & Zulaikha, Z. (2025). How risk and ambiguity affect accounting conservatism. Journal of Financial Reporting and Accounting, 23(6), 2323-2344. https://doi.org/10.1108/JFRA-11-2022-0425
  38. Gao, P., Zhang, R., & Yang, X. (2020). The application of stock index price prediction with neural network. Mathematical and Computational Applications, 25(3), 53. https://doi.org/10.3390/mca25030053
  39. Guo, J., Yang, Y., & He, R. (2025). Spillover effects of economic policy uncertainty among the US and BRIC countries: based on time and frequency domain perspectives. Applied Economics, 57(25), 3412-3426. DOI: 10.1080/00036846.2024.2337783
  40. Güzel, A. E., & Acaravcı, A. (2023). Küresel belirsizliğin makroekonomik etkileri: Seçilmiş ülkeler için karşılaştırmalı bir analiz. Uluslararası Ekonomi ve Yenilik Dergisi, 9(2), 133-160. https://doi.org/10.20979/ueyd.1289756
  41. Han, R., & Melecky, M. (2013). Financial inclusion for financial stability: Access to bank deposits and the growth of deposits in the global financial crisis. World Bank Policy Research, working paper (6577).
  42. Humpe, A., & Macmillan, P. (2009). Can macroeconomic variables explain long-term stock marketmovements? A comparison of the US and Japan. Applied Financial Economics,19(2), 111–119. https://doi.org/10.1080/09603100701748956
  43. Huynh, N., Dao, A., & Nguyen, D. (2021). Openness, economic uncertainty, government responses, and international financial market performance during the coronavirus pandemic. Journal of Behavioral and Experimental Finance, 31, 100536. https://doi.org/10.1016/j.jbef.2021.100536
  44. Jurado, K., Ludvigson, S. C., & Ng, S. (2015). Measuring uncertainty. American Economic Review, 105(3), 1177-1216. DOI: 10.1257/aer.20131193
  45. Kangalli Uyar, S. G. (2021). Uluslararası döviz piyasalarında finansal bulaşıcılık ve karşılıklı bağımlılık: Wavelet uyum analizi. Finans Politik ve Ekonomik Yorumlar Dergisi, (656), 115-147.
  46. Kocaarslan, B. (2020). Volatility transmission between US economic policy uncertainty and BIST (Borsa Istanbul) Major Sector Indıces. Business and Management Studies: An International Journal, 8(3), es, BMIJ, (2020), 8(3): 3221-3238. https://doi.org/10.15295/bmij.v8i3.1572
  47. Kumar, A., Kalhoro, M. R., Kumar, R., Ghumro, N. H., Dakhan, S. A., & Kumar, V. (2020). Decomposing the effect of domestic and foreign economic policy uncertainty shocks on real and financial sectors: Evidence from BRIC countries. Journal of Risk and Financial Management, 13(12), 315. https://doi.org/10.3390/jrfm13120315
  48. Lee, K., Jeon, Y., & Kim, M. (2022). Which uncertainty measures matter for the cross-section of stock returns?. Finance Research Letters, 46, 102390. https://doi.org/10.1016/j.frl.2021.102390
  49. Mansfield, E. R. & Helms, B. P. (1982). Detecting multicollinearity. The American Statistician, 36(3a), 158-160. https://doi.org/10.1080/00031305.1982.10482818
  50. Meriç, E., & Kamışlı, M. (2024). Ekonomik politika belirsizlikleri ile pay senedi piyasası oynaklığı arasında asimetrik ilişkiler: Borsa İstanbul sektörlerine ilişkin uygulama. Business & Management Studies: An International Journal, 12(4), 1067-1082. https://doi.org/10.15295/bmij.v12i4.2478
  51. Moessner, R., & Nelson, W. (2024). Central bank policy rate guidance and financial market functioning. Fourteenth issue (September 2008) of the International Journal of Central Banking.
  52. Moramarco, G. (2022). Measuring global macroeconomic uncertainty and cross-country uncertainty spillovers. Econometrics, 11(1), 2. https://doi.org/10.3390/econometrics11010002
  53. Nguyen, C. P., & Lee, G. S. (2021). Uncertainty, financial development, and FDI inflows: Global evidence. Economic Modelling, 99, 105473. https://doi.org/10.1016/j.econmod.2021.02.014
  54. Nguyen, C. P., Le, T. H., & Su, T. D. (2020). Economic policy uncertainty and credit growth: Evidence from a global sample. Research in International Business and Finance, 51, 101118. DOI: 10.1016/j.ribaf.2019.101118
  55. Nguyen, H. M., Le, Q. T. T., Ho, C. M., Nguyen, T. C., & Vo, D. H. (2022). Does financial development matter for economic growth in the emerging markets? Borsa Istanbul Review, 22(4), 688-698. https://doi.org/10.1016/j.bir.2021.10.004
  56. Olokoyo, F. O., Ibhagui, O. W., & Babajide, A. (2020). Macroeconomic indicators and capital market performance: Are the links sustainable? Cogent Business & Management, 7(1), 1792258. https://doi.org/10.1080/23311975.2020.1792258
  57. Olokoyo, F. O., Osabuohien, E. S. C., & Salami, O. A. (2009). Econometric analysis of foreign reserves and some macroeconomic variables in Nigeria (1970–2007). African Development Review, 21(3), 454–475. https://doi.org/10.1111/j.1467-8268.2009.00218.x
  58. Özmerdivanlı, A., & Karataşlı, İ. (2022). The relationship between the stock markets and economic policy uncertainty: An application on some developed and developing countries. Ekonomi, Politika & Finans Araştırmaları Dergisi, 7, 178-193. https://doi.org/10.30784/epfad.1160794
  59. Patefield, W. M. (1977). On the maximized likelihood function. Sankhyā: The Indian Journal of Statistics, Series B, 92-96. https://www.jstor.org/stable/25052054
  60. Ramsey, J. B., & Zhang, Z. (1997). The analysis of foreign exchange data using waveform dictionaries. Journal of Empirical Finance, 4(4), 341-372. https://doi.org/10.1016/S0927-5398(96)00013-8
  61. Rua, A. & Nunes L. N. (2009). International comovement of stock market returns: A wavelet analysis. Journal of Empirical Finance, 16(4), 632-639. https://doi.org/10.1016/j.jempfin.2009.02.002
  62. Saraç, Ş., & Yirmibeş, S. (2024). Makroekonomik Değişkenler ile Belirsizlik Endeksi Arasında Panel Eşbütünleşme ve Panel Nedensellik Analizi: BRIC-T Örneği. Uluslararası Yönetim İktisat ve İşletme Dergisi, 20(ICMEB'24 Özel Sayı), 386-400. https://doi.org/10.17130/ijmeb.1501347
  63. Setiawan, B., Saleem, A., Nathan, R. J., Zeman, Z., Magda, R., & Barczi, J. (2021). Financial market development and economic growth: Evidence from ASEAN and CEE region. Polish Journal of Management Studies, 23. DOI:10.17512/pjms.2021.23.2.29
  64. Suyadal, M. (2025). Global Clımate Polıcy Uncertaınty And Stock Returns: Empırıcal Evıdence From Bıst Sectoral Indıces. Ekonomi, Politika & Finans Araştırmaları Dergisi, 10(Özel Sayı), 216-234. https://doi.org/10.30784/epfad.1813815
  65. Toksoz, T. (2024). Crash risk and conservatism: Evidence from Borsa Istanbul. Borsa Istanbul Review, 24(4), 787-796. https://doi.org/10.1016/j.bir.2024.04.010
  66. Usta, C., & Mete, E. (2022). Ekonomik politika belirsizliğinin makro ekonomik göstergeler üzerine etkisi: Avrupa birliği ülkeleri örneği. Karadeniz Sosyal Bilimler Dergisi, 14(27), 644-659. https://doi.org/10.38155/ksbd.1200131
  67. Ünal, A. E., Nas, S., & Heybeli, M. (2022). Seçilmiş makroekonomik değişkenler ve beklenti endekslerinin BİST 100 endeksi üzerine etkisi. Sosyoekonomi, 30(54), 443-466. https://doi.org/10.17233/sosyoekonomi.2022.04.23
  68. Vacha, L., & Barunik, J. (2012). Co-movement of energy commodities revisited: Evidence from Wavelet coherence analysis. Energy Economics, 34(1), 241-247. https://doi.org/10.1016/j.eneco.2011.10.007
  69. Vo, A. T., Van, L. T. H., Vo, D. H., & McAleer, M. (2019). Financial inclusion and macroeconomic stability in emerging and frontier markets. Annals of Financial Economics, 14(02), 1950008. DOI: 10.1142/S2010495219500088
  70. WDI (2018). World Development Indicators 2018. Washington, DC: World Bank. worldbank.org
  71. Wu, J., Li, H., Zheng, D., & Liu, X. (2021). Economic uncertainty or financial uncertainty? An empirical analysis of bank risk-taking in Asian emerging markets. Finance Research Letters, 39, 101542. https://doi.org/10.1016/j.frl.2020.101542
  72. Yaşar, Z. R. (2025). The effect of the uncertainties of monetary and economy policies on stock markets. Yönetim ve Ekonomi Araştırmaları Dergisi, 23(1), 139-159. https://doi.org/10.11611/yead.1621178
  73. Yuan, J., Dong, Y., Zhai, W., & Cai, Z. (2023). Economic policy uncertainty: cross-country linkages and spillover effects on economic development in some belt and road countries. Journal of Systems Science and Complexity, 36(3), 1169-1188. https://doi.org/10.1007/s11424-023-1060-0
  74. Zhang, D., & Chen, R. (2025). The Impact of Economic Uncertainty on Cross-Border Capital Flows. Emerging Markets Finance and Trade, 1-23. https://doi.org/10.1080/1540496X.2025.2482723