Analysis of the relationship between the GEPU index and spot and futures markets with the RALS cointegration approach: An application on Borsa Istanbul

Ethem Kılıç; Enes Yıldız

Makale detayları

Analysis of the relationship between the GEPU index and spot and futures markets with the RALS cointegration approach: An application on Borsa Istanbul

Yazarlar:

Ethem Kılıç | Enes Yıldız

Yayıncı:

Afyon Kocatepe University

Ana Başlıklar:

Finans | Finans ve Yatırım (Diğer)

Dergi:

Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.27 Issue 1, pp.165-176

Belge Tipi:

Makale

Yayın Tarihi:

6/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001332907

pISSN:

1302-1966

Anahtar kelimeler:

Özet:

 The main objective of the study is to investigate the relationship between the global economic policy uncertainty GEPU index and spot and futures markets in Borsa Istanbul using RALS models. The Residual Augmented Least Squares RALS approach contributes to more reliable results in the analysis of non-normally distributed time series by taking into account the non-normal distribution. Thanks to this approach, the data set characteristics of leptokurtic financial time series, which usually contain thick tails, can be modeled. Therefore, this study analyzes the cointegration relationships between the global economic policy uncertainty GEPU index and the BIST100, BIST30, and BIST30 futures indices using monthly data for the period 2005March -2024October using RALS-ADL and RALS-EG2 tests. According to the findings, both tests revealed cointegration relationships between the GEPU index and BIST100, BIST30, and BIST30 future indices. This result implies that investors investing in spot and futures markets in Borsa Istanbul should take into account the movements in the GEPU index in their investments. On the other hand, it emphasizes the importance of structural regulations that can reduce the risks arising from global economic uncertainties for emerging equity markets, especially Turkey.

 The main objective of the study is to investigate the relationship between the global economic policy uncertainty GEPU index and spot and futures markets in Borsa Istanbul using RALS models. The Residual Augmented Least Squares RALS approach contributes to more reliable results in the analysis of non-normally distributed time series by taking into account the non-normal distribution. Thanks to this approach, the data set characteristics of leptokurtic financial time series, which usually contain thick tails, can be modeled. Therefore, this study analyzes the cointegration relationships between the global economic policy uncertainty GEPU index and the BIST100, BIST30, and BIST30 futures indices using monthly data for the period 2005March -2024October using RALS-ADL and RALS-EG2 tests. According to the findings, both tests revealed cointegration relationships between the GEPU index and BIST100, BIST30, and BIST30 future indices. This result implies that investors investing in spot and futures markets in Borsa Istanbul should take into account the movements in the GEPU index in their investments. On the other hand, it emphasizes the importance of structural regulations that can reduce the risks arising from global economic uncertainties for emerging equity markets, especially Turkey.

 The main objective of the study is to investigate the relationship between the global economic policy uncertainty GEPU index and spot and futures markets in Borsa Istanbul using RALS models. The Residual Augmented Least Squares RALS approach contributes to more reliable results in the analysis of non-normally distributed time series by taking into account the non-normal distribution. Thanks to this approach, the data set characteristics of leptokurtic financial time series, which usually contain thick tails, can be modeled. Therefore, this study analyzes the cointegration relationships between the global economic policy uncertainty GEPU index and the BIST100, BIST30, and BIST30 futures indices using monthly data for the period 2005March -2024October using RALS-ADL and RALS-EG2 tests. According to the findings, both tests revealed cointegration relationships between the GEPU index and BIST100, BIST30, and BIST30 future indices. This result implies that investors investing in spot and futures markets in Borsa Istanbul should take into account the movements in the GEPU index in their investments. On the other hand, it emphasizes the importance of structural regulations that can reduce the risks arising from global economic uncertainties for emerging equity markets, especially Turkey.

 Çalışmanın temel amacı küresel ekonomik politika belirsizliği GEPU endeksi ile Borsa İstanbuldaki spot ve vadeli piyasalar arasındaki ilişkiyi RALS modelleri ile araştırmaktır. Kalıntılarla genişletilmiş en küçük kareler RALS yaklaşımı, normal dağılıma sahip olmayan zaman serilerinin analizinde, normal dağılım sergilememe durumunu dikkate almak suretiyle daha güvenilir sonuçlara ulaşılmasına katkı sağlamaktadır. Bu yaklaşım sayesinde genellikle kalın kuyruklar içeren leptokurtik karakterdeki finansal zaman serilerinin veri seti özellikleri modellenebilmektedir. Buradan hareketle çalışmada, 2005Mart2024Ekim dönemine ilişkin aylık veriler kullanılarak, küresel ekonomik politika belirsizliği GEPU endeksi ile BIST100, BIST30 ve BIST30 vadeli işlemler endeksleri arasındaki eşbütünleşme ilişkileri RALS-ADL ve RALS-EG2 testleri ile analiz edilmiştir. Ulaşılan bulgulara göre, her iki test sonucunda da GEPU endeksi ile BIST100, BIST30 ve BIST30 vadeli işlemler endeksleri arasında eşbütünleşme ilişkileri tespit edilmiştir. Elde edilen sonuç, Borsa İstanbuldaki spot ve vadeli piyasalara yatırım yapan yatırımcıların, yatırımlarında GEPU endeksinde meydana gelen hareketleri dikkate almaları gerektiği anlamına gelmektedir. Öte yandan başta Türkiye olmak üzere gelişmekte olan pay piyasaları açısından küresel ekonomik belirsizliklerden kaynaklı riskleri azaltabilecek yapısal düzenlemelerin önemini vurgulamaktadır.

Makale detayları

Analysis of the relationship between the GEPU index and spot and futures markets with the RALS cointegration approach: An application on Borsa Istanbul

Yazarlar:

Ethem Kılıç | Enes Yıldız

Yayıncı:

Afyon Kocatepe University

Ana Başlıklar:

Finans | Finans ve Yatırım (Diğer)

Dergi:

Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.27 Issue 1, pp.165-176

Belge Tipi:

Makale

Yayın Tarihi:

6/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001332907

pISSN:

1302-1966

Global Economic Policy Uncertainty (GEPU) Index

Spot Equity Market

Futures Market

RALSKüresel Ekonomik Politika Belirsizliği (GEPU) Endeksi

Spot Pay Piyasası

Vadeli İşlemler Piyasası

RALS

Sayı

Makale detayları

Yazarlar: Ethem Kılıç | Enes Yıldız

Yayıncı: Afyon Kocatepe University

Ana Başlıklar: Finans | Finans ve Yatırım (Diğer)

Dergi: Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.27 Issue 1, pp.165-176

Belge Tipi: Makale

Yayın Tarihi: 6/2025

Belge Dili: Türkçe

Document ID (Org No.): 2001332907

pISSN: 1302-1966

Sayı

Yazarlar:

Ethem Kılıç | Enes Yıldız

Yayıncı:

Afyon Kocatepe University

Ana Başlıklar:

Finans | Finans ve Yatırım (Diğer)

Dergi:

Afyon Kocatepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Vol.27 Issue 1, pp.165-176

Belge Tipi:

Makale

Yayın Tarihi:

6/2025

Belge Dili:

Türkçe

Document ID (Org No.):

2001332907

pISSN:

1302-1966