Mustafa ÖZYEŞİL

Endeksler Borsa Yatırımcıları İçin İyi Tahminciler mi? BDI, VIX ve GEPU Endeksleri ile Borsa Getirileri Arasındaki İlişkinin Analizi: Seçilmiş Bazı Gelişmiş Ülkelerin Borsaları Üzerine Bir Araştırma

Bu çalışmada Baltık Kuru Yük Endeksi (BDI), Volatilite Endeksi (VIX) ve Küresel Ekonomik Politika Belirsizlik Endeksi (GEPU) ile gelişmiş dünya borsaları arasındaki ilişki incelenmiştir. Çalışmanın temel amacı, bu endekslerin hisse senedi yatırım zamanlamasında kullanılabilecek iyi birer tahmin edici olup olmadığını analiz etmektir. Bu amaçla 2012 Temmuz ve 2021 Mayıs dönemine ait BDI, VIX, GEPU endeks verileri ile ABD, ALMANYA, İngiltere, İTALYA, FRANSA ve KANADA borsa verileri kullanılmıştır. Çalışmada regresyon analizi ve Granger nedensellik testi uygulanmıştır. Analiz sonucunda, örneklemde yer alan hisse senedi endeksleri üzerinde BDI, VIX ve GEPU endekslerinin istatistiksel olarak anlamlı bir etkiye sahip olduğu ve yatırımcıların bu endekslere bakarak bu borsalarda etkin zamanlama yapabilecekleri tespit edilmiştir.

Anahtar Kelimeler:

BDI, VIX, GEPU, Volatilite, Belirsizlik, Borsa, Regresyon, Nedensellik

Are Indices Good Estimators for the Stock Investors? Analysis of the Relationship Between BDI, VIX and GEPU Indices and Stock Exchanges: A Research on Stock Exchanges of Some Selected Developed Countries

In this study, the relationship between the Baltic Dry Index (BDI), Volatility Index (VIX) and Global Economic Policy Uncertainity Index (GEPU) with the developed world stock markets has been examined. The main purpose of the study is to analyze whether these indices are good predictors that can be used in stock investment timing. For this purpose, the BDI, VIX, GEPU index data for the 2012 July and 2021 May period and the data of the USA, GERMANY, UK, ITALY, FRANCE and CANADA stock markets are used. In the study, regression analysis and Granger causality test are applied. As a result of the analysis, it has been determined that the BDI, VIX and GEPU indices have a statistically significant effect on the stock indices in the sample and investors can make efficient timing in these stock markets by looking at these indices.

Keywords:

BDI, VIX, GEPU, Uncertainity, Stock Exchange, Volatility, Casuality, Regression,

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