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Causality Relationship Between Global Risk Indicators and BIST-Tourism Index

Year 2023, Volume: 7 Issue: 2, 1429 - 1444, 25.05.2023

Esra Soyu Yıldırım

https://doi.org/10.25295/fsecon.1264753

Abstract

The aim of the study is to examine the causal relationship between the VIX index, oil price, dollar index, and BIST-Tourism index in the context of the global EPU between February 1997 and September 2022. To achieve this aim, the Fourier Toda Yamamoto (TY) causality test and the fractional Fourier TY causality test were used. The Fourier TY causality test results show that there is a one-way causative relationship between the dollar index and the BIST-Tourism index, between the VIX index and the global EPU index, and between the dollar index and oil price. In addition, it is seen that there is a bidirectional causal relationship between the dollar index and the global EPU index. According to the results obtained from the fractional Fourier TY causality test, there is a bidirectional causal relationship between BIST-tourism and global EPU and between BIST-tourism and oil price. In addition, a one-way causality relationship was found from the VIX index to the BIST-Tourism index, from the dollar index to the BIST-Tourism index, from the global EPU to the VIX index, and from the oil price to the dollar index. These results show that the shocks are permanent.

Keywords

Global EPU ındex Fourier Toda-Yamamoto BIST-Tourism

References

  • Akçalı, B. Y., Mollaahmetoğlu. E. & Altay, E. (2019). Borsa İstanbul ve Küresel Piyasa Göstergeleri Arasındaki Volatilite Etkileşiminin DCC-GARCH Yöntemi ile Analizi. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 14(3), 597-614.
  • Akdag, S., Yildirim, H. & Alola, A. A. (2021). The USA–China Trade Policy Uncertainty and Inference for the Major Global South Indexes. Journal of Economic and Administrative Sciences. https://doi.org/10.1108/JEAS-05-2020-0077
  • Akdag, S. & Yildirim, H. (2021). The Effect of Uncertain in European Economic Policies on the BIST 100 Index. Journal of Research in Economics, Politics & Finance, 6(2), 322-331.
  • Akdag, S. & Iskenderoglu, Ö. (2021). The Impact of Global Uncertainty and Risks on the Global Tourism Index. Journal of Tourism Theory and Research, 7(2), 70-76.
  • Arouri, M., Estay, C., Rault, C. & Roubaud, D. (2016). Economic Policy Uncertainty and Stock Markets: Long-Run Evidence From the US. Finance Research Letters, 18, 136-141.
  • Arunajatesan, S. & Vıswanathan, T. R. (2008). Risk Management & Insurance Concepts and Practices of Life and General Insurance.
  • Aslan, A. & Altinöz, B. (2019). The Nexus Between Economic Policy Uncertainty and Stock Returns of Tourism Companies: Evidence from Turkey. Tourism Review International, 87-98.
  • Baker, S. R., Bloom, N. & Davis, S. J. (2014). Measuring Economic Policy Uncertainty. Stanford University and University of Chicago Unpublished working paper.
  • Baker, S. R., Bloom, N. & Davis, S. J. (2016). Measuring Economic Policy Uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636.
  • Camgöz, M. (2022). Global Belirsizlik Faktörlerinin BIST Hisse Senedi Fiyatlarına Asimetrik Etkilerinin NARDL Modeliyle Analizi. Maliye ve Finans Yazıları, 118, 71-100.
  • Christou, C., Cunado, J., Gupta, R. & Hassapis, C. (2017). Economic Policy Uncertainty and Stock Market Returns in PacificRim Countries: Evidence Based on a Bayesian Panel VAR Model. Journal of Multinational Financial Management, 40, 92-102.
  • Demirkale, Ö. & Can, E. N. (2021). Makroekonomik Değişkenlerin BIST Turizm Endeksi Üzerindeki Etkisinin İncelenmesi. Sakarya Üniversitesi İşletme Enstitüsü Dergisi, 3(1), 175-180.
  • Dong, X. & Min-Yoon, S. (2019). What Global Economic Factors Drive Emerging Asian Stock Market Returns? Evidence From a Dynamic Model Averaging Approach. Economic Modelling, 77, 204-215.
  • Enders W. & Jones P. (2016). Grain Prices, Oil Prices, and Multiple Smooth Breaks in a VAR. Studies in Nonlinear Dynamics and Econometrics, 20(4), 399-419.
  • Enders, W. & Lee, J. (2012). The Flexible Fourier form and Dickey– Fuller Type Unit Root Tests. Economics Letters, 117(1), 196-199.
  • Gözgör, G. & Demir, E. (2018). Ekonomi Politikası Belirsizliğinin Giden Seyahat Harcamaları Üzerindeki Etkileri. Rekabetçilik Dergisi, 10(3), 5-15.
  • Granger, C. W. (1969). Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica: Journal of the Econometric Society, 37(3), 424-438.
  • Gulcan, N. (2022). The Relationship of Global Economic Policy Uncertainty and Crude Oil Prices: Application of Causality in Frequency. PressAcademia Procedia (PAP), 15, 109-116.
  • Gulen, H. & Ion, M. (2013). Policy Uncertainty and Corporate Investment. Working Paper. Purdue University.
  • Güler, S., Tunç, R. & Orçun, Ç. (2010). Petrol Fiyat Riski ve Hisse Senedi Fiyatları Arasındaki İlişkinin Belirlenmesi: Turkiye’de Enerji Sektörü Üzerinde Bir Uygulama. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(4), 297.
  • Güler, S. & Nalın, H. T. (2013). Petrol Fiyatlarının İMKB Endeksleri Üzerindeki Etkisi. AİBÜ-İİBF Ekonomik ve Sosyal Araştırmalar Dergisi, 9, 2-72.
  • Gürsoy S. & Zeren, F. (2022). Ekonomik Politika Belirsizliği ve Borsa İlişkisi: G7 ve BRIC Ülkeleri Örneği. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (61), 353-368.
  • Hatipoğlu, M, & Tekin, B. (2017). The Effects of VIX Index, Exchange Rate & Oil Prices on the BIST 100 Index: A Quantile Regression Approach. Ordu Üniversitesi Sosyal Bilimler Araştırmaları Dergisi, 7(3), 627-634.
  • Jouini, J. (2013). Stock Markets in GCC Countries and Global Factors: A Further Investigation. Economic Modelling, 31, 80-86.
  • Juhro, S. M. & Phan, D. H. B. (2018). Can Economic Policy Uncertainty Predict Exchange Rate and Its Volatility? Evidence from ASEAN Countries. Buletin Ekonomi Moneter dan Perbankan, 21(2), 251-268.
  • Kang, W. & Ratti, R. A. (2013). Oil Shocks, Policy Uncertainty and Stock Market Return. Journal of International Financial Markets, Institutions & Money, 26, 305-318.
  • Kiracı, K. (2019). BİST Turizm Endeksi ile Dolar Kuru, Dolar Endeksi ve Petrol Fiyatları Arasındaki Nedensellik İlişkisinin Ampirik Analizi. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (53), 73-86.
  • Korkmaz, Ö. & Güngör, S. (2018). Küresel Ekonomi Politika Belirsizliğinin Borsa İstanbul’da İşlem Gören Seçilmiş Endeks Getirileri Üzerindeki Etkisi. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 6(ICEESS’18), 211-219.
  • Krol, R. (2014). Economic Policy Uncertainty and Exchange Rate Volatility. International Finance, 17(2), 241–256.
  • Li, X. M., Zhang, B. & Gao, R. (2015). Economic Policy Uncertainty Shocks and Stock–Bond Correlations: Evidence from the US Market. Economics Letters, 132, 91-96.
  • Liu, B. (2010). Uncertainty Theory. Studies in Computational Intelligence, 300. Springer, Berlin, Heidelberg.
  • Luo, Y. & Zhang, C. (2020). Economic Policy Uncertainty and Stock Price Crash Risk. Research in International Business and Finance, 51, 101112.
  • Lütkepohl, H. (2005), New Introduction to Multiple Time Series Analysis. Berlin: Springer Science and Business Media.
  • Matkovskyy, R., Jalan, A. & Dowling, M. (2020). Effects of Economic Policy Uncertainty Shocks on the Interdependence between Bitcoin and Traditional Financial Markets. The Quarterly Review of Economics and Finance, 77, 150-155.
  • Nazlioglu S., Gormus, N. A. & Soytas, U. (2016). Oil Prices and Real Estate Investment Trusts (REITs): Gradual-Shift Causality and Volatility Transmission Analysis. Energy Economics, 60, 168-175.
  • Pan, Z., Wang, Y. & Liu, L. (2016). The Relationships Between Petroleum and Stock Returns: An Asymmetric Dynamic Equi-Correlation Approach. Energy Economics, 56, 453-463.
  • Pastor, L. & Veronesi, P. (2012). Uncertainty About Government Policy and Stock Prices. The Journal of Finance, 67(4), 1219-1264.
  • Payne, J. E. & Apergis, N. (2020). The Influence of Economic Policy Uncertainty and Geopolitical Risk on US Citizens Overseas Air Passenger Travel by Regional Destination. Tourism Economics, 1354816620981199.
  • Singh, R., Das, D., Jana, R. K. & Tiwari, A. K. (2019). A Wavelet Analysis for Exploring the Relationship Between Economic Policy Uncertainty and Tourist Footfalls in the USA. Current Issues in Tourism, 22(15), 1789-1796.
  • Syed, Q. R. & Bouri, E. (2022). Spillovers From Global Economic Policy Uncertainty and Oil Price Volatility to The Volatility of Stock Markets of Oil Importers and Exporters. Environmental Science and Pollution Research, 29, 15603-15613.
  • Toda, H. Y. & Yamamoto, T. (1995). Statistical Inference in Vector Autoregressions with Possibly Integrated Processes. Journal of Econometrics, 66(1-2), 225-250.
  • Trung, N. B. (2019). The Spillover Effects of US Economic Policy Uncertainty on the Global Economy: A Global VAR Approach. The North American Journal of Economics and Finance, 48, 90-110.
  • Tsai, I-C. (2017). The Source of Global Stock Market Risk: A Viewpoint of Economic Policy Uncertainty. Economic Modelling, 60, 122-131.
  • Wu, T. P., Liu, S. B. & Hsueh, S. J. (2016). The Causal Relationship Between Economic Policy Uncertainty and Stock Market: A Panel Data Analysis. International Economic Journal, 30(1), 109-122.
  • Yuan, D., Li, S., Li, R. & Zhang, F. (2016). Economic Policy Uncertainty, Oil and Stock Markets in BRIC: Evidence from Quantiles Analysis. Energy Economics, 110, 105972.

Year 2023, Volume: 7 Issue: 2, 1429 - 1444, 25.05.2023

Esra Soyu Yıldırım

https://doi.org/10.25295/fsecon.1264753

Abstract

References

  • Akçalı, B. Y., Mollaahmetoğlu. E. & Altay, E. (2019). Borsa İstanbul ve Küresel Piyasa Göstergeleri Arasındaki Volatilite Etkileşiminin DCC-GARCH Yöntemi ile Analizi. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 14(3), 597-614.
  • Akdag, S., Yildirim, H. & Alola, A. A. (2021). The USA–China Trade Policy Uncertainty and Inference for the Major Global South Indexes. Journal of Economic and Administrative Sciences. https://doi.org/10.1108/JEAS-05-2020-0077
  • Akdag, S. & Yildirim, H. (2021). The Effect of Uncertain in European Economic Policies on the BIST 100 Index. Journal of Research in Economics, Politics & Finance, 6(2), 322-331.
  • Akdag, S. & Iskenderoglu, Ö. (2021). The Impact of Global Uncertainty and Risks on the Global Tourism Index. Journal of Tourism Theory and Research, 7(2), 70-76.
  • Arouri, M., Estay, C., Rault, C. & Roubaud, D. (2016). Economic Policy Uncertainty and Stock Markets: Long-Run Evidence From the US. Finance Research Letters, 18, 136-141.
  • Arunajatesan, S. & Vıswanathan, T. R. (2008). Risk Management & Insurance Concepts and Practices of Life and General Insurance.
  • Aslan, A. & Altinöz, B. (2019). The Nexus Between Economic Policy Uncertainty and Stock Returns of Tourism Companies: Evidence from Turkey. Tourism Review International, 87-98.
  • Baker, S. R., Bloom, N. & Davis, S. J. (2014). Measuring Economic Policy Uncertainty. Stanford University and University of Chicago Unpublished working paper.
  • Baker, S. R., Bloom, N. & Davis, S. J. (2016). Measuring Economic Policy Uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636.
  • Camgöz, M. (2022). Global Belirsizlik Faktörlerinin BIST Hisse Senedi Fiyatlarına Asimetrik Etkilerinin NARDL Modeliyle Analizi. Maliye ve Finans Yazıları, 118, 71-100.
  • Christou, C., Cunado, J., Gupta, R. & Hassapis, C. (2017). Economic Policy Uncertainty and Stock Market Returns in PacificRim Countries: Evidence Based on a Bayesian Panel VAR Model. Journal of Multinational Financial Management, 40, 92-102.
  • Demirkale, Ö. & Can, E. N. (2021). Makroekonomik Değişkenlerin BIST Turizm Endeksi Üzerindeki Etkisinin İncelenmesi. Sakarya Üniversitesi İşletme Enstitüsü Dergisi, 3(1), 175-180.
  • Dong, X. & Min-Yoon, S. (2019). What Global Economic Factors Drive Emerging Asian Stock Market Returns? Evidence From a Dynamic Model Averaging Approach. Economic Modelling, 77, 204-215.
  • Enders W. & Jones P. (2016). Grain Prices, Oil Prices, and Multiple Smooth Breaks in a VAR. Studies in Nonlinear Dynamics and Econometrics, 20(4), 399-419.
  • Enders, W. & Lee, J. (2012). The Flexible Fourier form and Dickey– Fuller Type Unit Root Tests. Economics Letters, 117(1), 196-199.
  • Gözgör, G. & Demir, E. (2018). Ekonomi Politikası Belirsizliğinin Giden Seyahat Harcamaları Üzerindeki Etkileri. Rekabetçilik Dergisi, 10(3), 5-15.
  • Granger, C. W. (1969). Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica: Journal of the Econometric Society, 37(3), 424-438.
  • Gulcan, N. (2022). The Relationship of Global Economic Policy Uncertainty and Crude Oil Prices: Application of Causality in Frequency. PressAcademia Procedia (PAP), 15, 109-116.
  • Gulen, H. & Ion, M. (2013). Policy Uncertainty and Corporate Investment. Working Paper. Purdue University.
  • Güler, S., Tunç, R. & Orçun, Ç. (2010). Petrol Fiyat Riski ve Hisse Senedi Fiyatları Arasındaki İlişkinin Belirlenmesi: Turkiye’de Enerji Sektörü Üzerinde Bir Uygulama. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(4), 297.
  • Güler, S. & Nalın, H. T. (2013). Petrol Fiyatlarının İMKB Endeksleri Üzerindeki Etkisi. AİBÜ-İİBF Ekonomik ve Sosyal Araştırmalar Dergisi, 9, 2-72.
  • Gürsoy S. & Zeren, F. (2022). Ekonomik Politika Belirsizliği ve Borsa İlişkisi: G7 ve BRIC Ülkeleri Örneği. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (61), 353-368.
  • Hatipoğlu, M, & Tekin, B. (2017). The Effects of VIX Index, Exchange Rate & Oil Prices on the BIST 100 Index: A Quantile Regression Approach. Ordu Üniversitesi Sosyal Bilimler Araştırmaları Dergisi, 7(3), 627-634.
  • Jouini, J. (2013). Stock Markets in GCC Countries and Global Factors: A Further Investigation. Economic Modelling, 31, 80-86.
  • Juhro, S. M. & Phan, D. H. B. (2018). Can Economic Policy Uncertainty Predict Exchange Rate and Its Volatility? Evidence from ASEAN Countries. Buletin Ekonomi Moneter dan Perbankan, 21(2), 251-268.
  • Kang, W. & Ratti, R. A. (2013). Oil Shocks, Policy Uncertainty and Stock Market Return. Journal of International Financial Markets, Institutions & Money, 26, 305-318.
  • Kiracı, K. (2019). BİST Turizm Endeksi ile Dolar Kuru, Dolar Endeksi ve Petrol Fiyatları Arasındaki Nedensellik İlişkisinin Ampirik Analizi. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (53), 73-86.
  • Korkmaz, Ö. & Güngör, S. (2018). Küresel Ekonomi Politika Belirsizliğinin Borsa İstanbul’da İşlem Gören Seçilmiş Endeks Getirileri Üzerindeki Etkisi. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 6(ICEESS’18), 211-219.
  • Krol, R. (2014). Economic Policy Uncertainty and Exchange Rate Volatility. International Finance, 17(2), 241–256.
  • Li, X. M., Zhang, B. & Gao, R. (2015). Economic Policy Uncertainty Shocks and Stock–Bond Correlations: Evidence from the US Market. Economics Letters, 132, 91-96.
  • Liu, B. (2010). Uncertainty Theory. Studies in Computational Intelligence, 300. Springer, Berlin, Heidelberg.
  • Luo, Y. & Zhang, C. (2020). Economic Policy Uncertainty and Stock Price Crash Risk. Research in International Business and Finance, 51, 101112.
  • Lütkepohl, H. (2005), New Introduction to Multiple Time Series Analysis. Berlin: Springer Science and Business Media.
  • Matkovskyy, R., Jalan, A. & Dowling, M. (2020). Effects of Economic Policy Uncertainty Shocks on the Interdependence between Bitcoin and Traditional Financial Markets. The Quarterly Review of Economics and Finance, 77, 150-155.
  • Nazlioglu S., Gormus, N. A. & Soytas, U. (2016). Oil Prices and Real Estate Investment Trusts (REITs): Gradual-Shift Causality and Volatility Transmission Analysis. Energy Economics, 60, 168-175.
  • Pan, Z., Wang, Y. & Liu, L. (2016). The Relationships Between Petroleum and Stock Returns: An Asymmetric Dynamic Equi-Correlation Approach. Energy Economics, 56, 453-463.
  • Pastor, L. & Veronesi, P. (2012). Uncertainty About Government Policy and Stock Prices. The Journal of Finance, 67(4), 1219-1264.
  • Payne, J. E. & Apergis, N. (2020). The Influence of Economic Policy Uncertainty and Geopolitical Risk on US Citizens Overseas Air Passenger Travel by Regional Destination. Tourism Economics, 1354816620981199.
  • Singh, R., Das, D., Jana, R. K. & Tiwari, A. K. (2019). A Wavelet Analysis for Exploring the Relationship Between Economic Policy Uncertainty and Tourist Footfalls in the USA. Current Issues in Tourism, 22(15), 1789-1796.
  • Syed, Q. R. & Bouri, E. (2022). Spillovers From Global Economic Policy Uncertainty and Oil Price Volatility to The Volatility of Stock Markets of Oil Importers and Exporters. Environmental Science and Pollution Research, 29, 15603-15613.
  • Toda, H. Y. & Yamamoto, T. (1995). Statistical Inference in Vector Autoregressions with Possibly Integrated Processes. Journal of Econometrics, 66(1-2), 225-250.
  • Trung, N. B. (2019). The Spillover Effects of US Economic Policy Uncertainty on the Global Economy: A Global VAR Approach. The North American Journal of Economics and Finance, 48, 90-110.
  • Tsai, I-C. (2017). The Source of Global Stock Market Risk: A Viewpoint of Economic Policy Uncertainty. Economic Modelling, 60, 122-131.
  • Wu, T. P., Liu, S. B. & Hsueh, S. J. (2016). The Causal Relationship Between Economic Policy Uncertainty and Stock Market: A Panel Data Analysis. International Economic Journal, 30(1), 109-122.
  • Yuan, D., Li, S., Li, R. & Zhang, F. (2016). Economic Policy Uncertainty, Oil and Stock Markets in BRIC: Evidence from Quantiles Analysis. Energy Economics, 110, 105972.
There are 45 citations in total.

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Primary Language English
Journal Section Articles
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Esra Soyu Yıldırım 0000-0003-1614-0967

Publication Date May 25, 2023
Published in Issue Year 2023 Volume: 7 Issue: 2

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APA Soyu Yıldırım, E. (2023). Causality Relationship Between Global Risk Indicators and BIST-Tourism Index. Fiscaoeconomia, 7(2), 1429-1444. https://doi.org/10.25295/fsecon.1264753
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