Vol. 12 No. 1 (2024): Business & Management Studies: An International Journal
Articles

The short and long-term relationship between global uncertainty factors and BIST sector indices

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  • Zekeriya Oğuz Seçme
Zekeriya Oğuz Seçme
Assoc. Lect. , Yalova Üniversitesi, Yalova, Türkiye
DOI: https://doi.org/10.15295/bmij.v12i1.2349

Published 2024-03-25

Keywords

  • Global Belirsizlik Faktörleri, BİST100, BİST Sektör Endeksleri
  • Global Uncertainty Factors, BIST100, BIST Sector Indices

How to Cite

Seçme, Z. O. (2024). The short and long-term relationship between global uncertainty factors and BIST sector indices. Business & Management Studies: An International Journal, 12(1), 93–115. https://doi.org/10.15295/bmij.v12i1.2349

Copyright (c) 2024 Zekeriya Oğuz Seçme

Creative Commons License

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

Abstract

Recent empirical studies have found that behavioural biases can influence investor decisions. Global events and changes can also affect investor biases and, consequently, investor decisions. Therefore, it is interesting to see how changes in global uncertainty factors affect BIST100 and BIST sector indices and in what direction they move investor behaviour. This study aims to reveal the short- and long-term asymmetric effects of global uncertainty factors on sector indices using the NARDL (Nonlinear Autoregressive Distributed Lag) model. Implicit volatility indices that measure economic, geopolitical, energy, and financial risks are used to represent global uncertainty factors. The results show that changes in global uncertainty factors have asymmetric effects on the BIST100, Information Technology, Stone & Earth, Basic Metals, Tourism and Services sector indices in the long term. In the short term, it was determined that three uncertainty factors impact the Construction, Basic Metals, Technology and Paper sector indices, except for the SME index, while all uncertainty factors significantly impact all other sector indices. In general, both the BIST100 and all sector indices other than SMEs are affected by changes in uncertainty factors. It has been concluded that this effect's direction and magnitude differ in different sectors.

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