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Journals / Muhasebe ve Finans İncelemeleri Dergisi / 2026 / Cilt: 6 Sayı: 1

THE RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY AND INCOME-VOLATILITY: EVIDENCE FROM DEVELOPED COUNTRY EXCHANGES

EKONOMİ POLİTİKA BELİRSİZLİĞİ ve GETİRİ-VOLATİLİTE İLİŞKİSİ: GELİŞMİŞ ÜLKE BORSALARINDAN KANITLAR

Serkan Kaya(BURDUR MEHMET AKİF ERSOY ÜNİVERSİTESİ, SOSYAL BİLİMLER ENSTİTÜSÜ, BANKACILIK VE FİNANS (YL) (TEZLİ))0000-0003-1991-0699
Murat Kaya(BURDUR MEHMET AKİF ERSOY ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ, FİNANS VE BANKACILIK BÖLÜMÜ)0000-0002-5988-0773
İsmail Çelik(BURDUR MEHMET AKİF ERSOY ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ, FİNANS VE BANKACILIK BÖLÜMÜ)0000-0002-6330-754X
Pages
15–27
Publication Date
2023-04-01
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Belirsizlik Endeksinin hem ortalama hem de varyans denklemlerinde anlamlı olması Belirsizlik Endeksinin analize dâhil edilen ülkelerin borsa endeks getiri ve volatilitelerini etkilediğini göstermektedir.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Bu çalışmada, 01/11/2016 - 01/11/2021 tarihleri arasında ABD Ekonomi Politika Belirsizlik Endeksinin (EPU) seçilmiş bazı gelişmiş ülke borsalarının getiri ve volatiliteleri üzerindeki etkilerinin belirlenmesi amaçlanmıştır.
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Key Findings & Data:GARCH (1,1) modelinden elde edilen bulgulara göre, ortalama denkleminde bulunan Belirsizlik Endeksi, NIKKEI endeksi hariç olmak üzere diğer endekslerde düşük değerler almış olmakla birlikte istatistiki olarak anlamlı çıkmıştır.
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Conclusion & Impact:Belirsizlik Endeksinin hem ortalama hem de varyans denklemlerinde anlamlı olması Belirsizlik Endeksinin analize dâhil edilen ülkelerin borsa endeks getiri ve volatilitelerini etkilediğini göstermektedir.
🔬Design:Modeling & Simulation
📍Scope:2016 Verileri
⚙️Variables:Ekonomi Politika Belirsizliği · Getiri · Volatilite

Özet

Bu çalışmada, 01/11/2016 - 01/11/2021 tarihleri arasında ABD Ekonomi Politika Belirsizlik Endeksinin (EPU) seçilmiş bazı gelişmiş ülke borsalarının getiri ve volatiliteleri üzerindeki etkilerinin belirlenmesi amaçlanmıştır. Bu amaçla DOW(ABD), FTSE(ENG), DAX(GER), NİKKE(JPN) ve ABD EPU endeksleri arasındaki ilişki GARCH modeli kullanılarak analiz edilmiştir. GARCH (1,1) modelinden elde edilen bulgulara göre, ortalama denkleminde bulunan Belirsizlik Endeksi, NIKKEI endeksi hariç olmak üzere diğer endekslerde düşük değerler almış olmakla birlikte istatistiki olarak anlamlı çıkmıştır. Varyans denkleminde yer alan Belirsizlik Endeksi ise tüm değişkenlerde düşük değerli olsa da istatistiki olarak anlamlı çıkmıştır. Belirsizlik Endeksinin hem ortalama hem de varyans denklemlerinde anlamlı olması Belirsizlik Endeksinin analize dâhil edilen ülkelerin borsa endeks getiri ve volatilitelerini etkilediğini göstermektedir.

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Cite This Article

Kaya, S., Kaya, M., Çelik, İ. (2023). THE RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY AND INCOME-VOLATILITY: EVIDENCE FROM DEVELOPED COUNTRY EXCHANGES. Muhasebe ve Finans İncelemeleri Dergisi, Cilt: 6 Sayı: 1, 15–27. https://doi.org/10.32951/mufider.1205714

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