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Analysis of the Asymmetric Effects of Global Uncertainty Factors on BIST Stock Prices Evidence from NARDL Model

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  • Mevlüt Camgöz

    (Bursa Technical University)

Abstract

The aim of this study is to examine the short and long-term asymmetric effects of global uncertainty factors on BIST stock prices, employing the NARDL (Nonlinear Autoregressive Distributed Lag) model. Implied volatility indices, which measure economic, geopolitical, energy, and financial risks, are used to represent global uncertainty factors. Empirical findings show that there is a long-term asymmetric cointegration relationship between all stocks and global uncertainty factors under investigation. In both long-term and short-term analyzes, uncertainty factors affect stock prices in different directions and extents asymmetrically. The findings will figure an important role in making asset allocation, diversification, risk management, and trading decisions for investors and portfolio managers.

Suggested Citation

  • Mevlüt Camgöz, 2022. "Analysis of the Asymmetric Effects of Global Uncertainty Factors on BIST Stock Prices Evidence from NARDL Model," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 37(118), pages 71-100, October.
    • Handle: RePEc:acc:malfin:v:37:y:2022:i:118:p:71-100
    DOI: https://doi.org/10.33203/mfy.1103403
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    Keywords

    Uncertainty Factors; Implied Volatility Indices; Stock Market; NARDL Model;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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