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Küresel ve Ülkeye Özgü Belirsizliklerinin Borsa Getirileri Üzerindeki Doğrusal Olmayan Etkisi: BRICS Ülkeleri ve Türkiye Üzerine Kantil Regresyon Analizi

Nonlinear Effects of Global and Country-Specific Uncertainties on Stock Market Returns: Quantile Regression Analysis on BRICS Countries and Türkiye

Melih Kutlu(SAMSUN ÜNİVERSİTESİ)0000-0002-8634-6330
Aykut Karakaya(RECEP TAYYİP ERDOĞAN ÜNİVERSİTESİ)0000-0001-6491-132X
Sayfa
330–349
Yayın Tarihi
2026-05-30
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

Ülke belirsizliğinin ise BRICS ve Türkiye borsalarını doğrusal olarak etkilediği sonucuna varılmıştır.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:Belirsizlik kavramı hisse senedi piyasaları yatırımlarında önemli bir faktördür.
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Temel Bulgular & Veri:Küresel ve ülke belirsizliklerinin piyasalara etkilerinin kaynağı dolayısıyla farklı olması beklenmektedir.
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Sonuç & Katkı:Ülke belirsizliğinin ise BRICS ve Türkiye borsalarını doğrusal olarak etkilediği sonucuna varılmıştır.
🔬Tür:Araştırma Makalesi
📍Kapsam:2008 Verileri
⚙️Değişkenler:Küresel Belirsizlik Endeksi · Ülkeye Özgü Belirsizlikler · BRICS Ülke Borsaları

Özet

Belirsizlik kavramı hisse senedi piyasaları yatırımlarında önemli bir faktördür. Belirsizliği piyasaların küreselleşmesiyle birlikte küresel ve ülke düzeyinde olmak üzere ikiye ayırmak mümkündür. Küresel ve ülke belirsizliklerinin piyasalara etkilerinin kaynağı dolayısıyla farklı olması beklenmektedir. Bu çalışmayla BRICS ülkeleri ve Türkiye’de hisse senedi piyasalarına küresel belirsizliğin ve ülke belirsizliğinin doğrusal olmayan etkilerinin araştırılması amaçlanmaktadır. Çalışma verileri Ocak 2008’den Eylül 2024’e kadar olan aylık frekanslı 201 gözlemden oluşmaktadır. Kantil regresyon yöntemi ile borsaların küresel ve ülkeye özgü belirsizliklerden etkilendikleri ortaya konmuştur. Kantil regresyon yöntemi, borsa getirileri ile ekonomik belirsizlik endeksleri arasındaki ilişkinin sadece ortalama etkilerini değil, aynı zamanda getirilerin farklı dağılım noktalarındaki etkilerini inceleyebilmek için tercih edilmiştir. 2008 Küresel Finansal Krizi ve COVID-19 pandemisi, farklı büyüklüklerdeki belirsizlikler olarak borsalar üzerinde olumsuz etkiler yaratmıştır. . COVID-19 sonrasında, MOEX ve Shanghai borsaları dışında kalan borsalarda iyileşmeler gözlenmiştir. Avrupa Borç Krizi'nden (2011) BOVESPA, MOEX ve SHANGHAI borsaları daha fazla, BSE, FTSE/JSE ve BİST ise daha az etkilenmiştir. COVID-19’un borsalara olumsuz etkileri olmuştur. Küresel belirsizliğin BOVESPA, MOEX, SHANGHAI ve BSE SENSEX’e doğrusal olmayan, FTSE/JSE ve BİST’e doğrusal biçimde etkilediği gözlenmiştir. Ülke belirsizliğinin ise BRICS ve Türkiye borsalarını doğrusal olarak etkilediği sonucuna varılmıştır.

Abstract

Uncertainty is a key factor in stock market investments. With the globalisation of markets, uncertainty can be categorised into two types: global and country-level. The impacts of international and country-specific uncertainties on markets are expected to differ depending on their source. This study aims to investigate the nonlinear effects of global and country-specific uncertainty on stock markets in the BRICS countries and Turkey. The study data consists of 201 monthly observations from January 2008 to September 2024. Quantile regression reveals that both global and country-specific uncertainties have a significant influence on stock markets. The quantile regression method was chosen to examine not only the average effects of the relationship between stock market returns and economic uncertainty indices but also the effects across different distribution points of returns. The 2008 Global Financial Crisis and the COVID-19 pandemic, resulting from uncertainties of varying magnitudes, have had negative impacts on stock markets. The European Debt Crisis (2011) had a greater effect on the BOVESPA, MOEX, and SHANGHAI stock exchanges, while the BSE, FTSE/JSE, and BIST were less affected. COVID-19 hurt stock markets. Global uncertainty was observed to have a non-linear effect on BOVESPA, MOEX, SHANGHAI, and BSE SENSEX, but a linear impact on FTSE/JSE and BIST. It was concluded that country uncertainty had a linear effect on the BRICS and Turkish stock exchanges.

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Bu Makaleye Atıf Yap

Kutlu, M., Karakaya, A. (2026). Küresel ve Ülkeye Özgü Belirsizliklerinin Borsa Getirileri Üzerindeki Doğrusal Olmayan Etkisi: BRICS Ülkeleri ve Türkiye Üzerine Kantil Regresyon Analizi. Alanya Akademik Bakış, Cilt: 10 Sayı: 2, 330–349. https://doi.org/10.29023/alanyaakademik.1683903

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