Vol. 14 No. 2 (2026): Business & Management Studies: An International Journal
Articles

Uncertainty and stock returns: A time-frequency dependence application on the Istanbul Stock Exchange

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  • Umut Uyar,
  • İpek Yaylalı,
  • Ceren Demir
Umut Uyar
Prof. Dr., Pamukkale University, Denizli, Türkiye
İpek Yaylalı
Assist. Prof. Dr., Medipol University, Istanbul, Türkiye
Ceren Demir
Research Asst, Medipol University, Istanbul, Türkiye

Published 2026-06-25

Keywords

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

How to Cite

Uncertainty and stock returns: A time-frequency dependence application on the Istanbul Stock Exchange. (2026). Business & Management Studies: An International Journal, 14(2), 735-763. https://doi.org/10.15295/bmij.v14i2.2745

Copyright (c) 2026 Umut Umut- İpek Yaylalı- Ceren Demir

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

How to Cite

Uncertainty and stock returns: A time-frequency dependence application on the Istanbul Stock Exchange. (2026). Business & Management Studies: An International Journal, 14(2), 735-763. https://doi.org/10.15295/bmij.v14i2.2745

Abstract

This study examines the effects of global and national macroeconomic uncertainties on nine sector indices traded on the Istanbul Stock Exchange (BIST) using data from 2001 to 2022. The study tests the impacts of Global Economic Policy Uncertainty, US Economic Policy Uncertainty, the World Uncertainty Index, and the Turkey Geopolitical Risk Index using time-series regression and Wavelet Coherence Analysis, controlling for key macroeconomic variables. The empirical findings indicate that global policy uncertainty acts as a leading indicator, dampening sector returns; conversely, local geopolitical risks tend to drive nominal returns higher through the risk premium channel. Sectoral analyses reveal that the banking sector, which is heavily weighted towards financial assets, and the highly leveraged electricity sector are more vulnerable to uncertainty shocks. In contrast, the industrial sector appears relatively more resilient, potentially due to its real asset and inventory structure. Overall, these insights suggest that incorporating sectoral financial characteristics and asset-liability compositions could provide valuable guidance for investors during portfolio diversification and for policymakers in designing sectoral regulations.

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