Fluctuations of BIST Sectoral Index Movements During High Inflation Periods: A Markov Regime Switching Analysis

Turgay Münyas; Havva Koç

Article Details

Fluctuations of BIST Sectoral Index Movements During High Inflation Periods: A Markov Regime Switching Analysis

Authors:

Turgay Münyas | Havva Koç

Publisher:

Ahmet Arif EREN

Main Topics:

Ekonometri Teorisi

Journal:

Fiscaoeconomia Vol.8 Issue 3, pp.968-994

Document Type:

Article

Publication Date:

9/2024

Document Language:

English

Document ID (Org No.):

2001327601

pISSN:

2564-7504

Keywords:

Abstract:

 Periods of high inflation generally cause uncertainty and risks in financial markets. In Turkey, the 2017-2023 period covers a time period characterized by frequent economic and financial fluctuations. High inflation in this period affected many sectors in the country and created significant volatility in financial markets. BIST sector indices were also affected by this economic environment and exhibited different volatile performances. In particular, sectors such as energy, food and beverages are generally more affected by inflation, while sectors such as services and technology have adapted more flexibly to economic fluctuations. In this study, BIST Sector Indices: Food and Beverages, Electricity, Tourism and Technology indices over time 2017-2023, i.e., high and low return periods, a univariate Markov Regime Switching MRS model is estimated. According to the findings, the Food and Beverages index is stable in a particular market regime for a long period of time and has a high probability of remaining in that regime once it is switched. For the Electricity index, the index tends to remain in a particular market regime for a long time and can adapt quickly to changes in the market. During periods of high inflation, the BIST-Tourism Index exhibited long-term stability and the low volatility period covered a large period of time. This suggests that the tourism sector is resilient to economic uncertainties and is more suitable for long-term planning. For the BIST-Technology Index, it is understood that there is a long period of stability in a particular market regime and the period of low volatility lasts almost as long as the period of high volatility. This suggests that the technology sector is resilient to economic uncertainties and maintains its long-term stability. The contribution of this study to the literature is that it reveals sector-specific long-term stability and volatility characteristics to analyze the fluctuations of BIST sectoral indices during periods of high inflation. It provides investors with important information about the different performance characteristics across sectors, allowing them to formulate more effective strategies.

 Periods of high inflation generally cause uncertainty and risks in financial markets. In Turkey, the 2017-2023 period covers a time period characterized by frequent economic and financial fluctuations. High inflation in this period affected many sectors in the country and created significant volatility in financial markets. BIST sector indices were also affected by this economic environment and exhibited different volatile performances. In particular, sectors such as energy, food and beverages are generally more affected by inflation, while sectors such as services and technology have adapted more flexibly to economic fluctuations. In this study, BIST Sector Indices: Food and Beverages, Electricity, Tourism and Technology indices over time 2017-2023, i.e., high and low return periods, a univariate Markov Regime Switching MRS model is estimated. According to the findings, the Food and Beverages index is stable in a particular market regime for a long period of time and has a high probability of remaining in that regime once it is switched. For the Electricity index, the index tends to remain in a particular market regime for a long time and can adapt quickly to changes in the market. During periods of high inflation, the BIST-Tourism Index exhibited long-term stability and the low volatility period covered a large period of time. This suggests that the tourism sector is resilient to economic uncertainties and is more suitable for long-term planning. For the BIST-Technology Index, it is understood that there is a long period of stability in a particular market regime and the period of low volatility lasts almost as long as the period of high volatility. This suggests that the technology sector is resilient to economic uncertainties and maintains its long-term stability. The contribution of this study to the literature is that it reveals sector-specific long-term stability and volatility characteristics to analyze the fluctuations of BIST sectoral indices during periods of high inflation. It provides investors with important information about the different performance characteristics across sectors, allowing them to formulate more effective strategies.

 Periods of high inflation generally cause uncertainty and risks in financial markets. In Turkey, the 2017-2023 period covers a time period characterized by frequent economic and financial fluctuations. High inflation in this period affected many sectors in the country and created significant volatility in financial markets. BIST sector indices were also affected by this economic environment and exhibited different volatile performances. In particular, sectors such as energy, food and beverages are generally more affected by inflation, while sectors such as services and technology have adapted more flexibly to economic fluctuations. In this study, BIST Sector Indices: Food and Beverages, Electricity, Tourism and Technology indices over time 2017-2023, i.e., high and low return periods, a univariate Markov Regime Switching MRS model is estimated. According to the findings, the Food and Beverages index is stable in a particular market regime for a long period of time and has a high probability of remaining in that regime once it is switched. For the Electricity index, the index tends to remain in a particular market regime for a long time and can adapt quickly to changes in the market. During periods of high inflation, the BIST-Tourism Index exhibited long-term stability and the low volatility period covered a large period of time. This suggests that the tourism sector is resilient to economic uncertainties and is more suitable for long-term planning. For the BIST-Technology Index, it is understood that there is a long period of stability in a particular market regime and the period of low volatility lasts almost as long as the period of high volatility. This suggests that the technology sector is resilient to economic uncertainties and maintains its long-term stability. The contribution of this study to the literature is that it reveals sector-specific long-term stability and volatility characteristics to analyze the fluctuations of BIST sectoral indices during periods of high inflation. It provides investors with important information about the different performance characteristics across sectors, allowing them to formulate more effective strategies.

 Enflasyonun yüksek seyrettiği dönemler genellikle finansal piyasalarda belirsizliğe ve risklere neden olmaktadır. Türkiyede 2017-2023 dönemi, ekonomik ve finansal dalgalanmaların sıklıkla yaşandığı bir zaman dilimini kapsamaktadır. Bu dönemde enflasyonun yüksek seyretmesi, ülkede birçok sektörü etkilemiş ve finansal piyasalarda belirgin volatilite yaratmıştır. BIST sektör endeksleri de bu ekonomik ortamdan etkilenmiş ve farklı volatil performans sergilemiştir. Özellikle enerji, gıda ve içecek gibi sektörler genellikle enflasyondan daha fazla etkilenirken, hizmet ve teknoloji gibi sektörler, ekonomik dalgalanmalara daha esnek bir şekilde adapte olmuştur. Bu çalışmada BIST Sektör Endekslerinden: Gıda ve İçecek, Elektrik, Turizm ve Teknoloji endekslerinin zaman içerisinde 2017-2023 izlediği seyri yani yüksek ve düşük getirili dönemleri incelemek amacıyla tek değişkenli Markov Regime Switching MRS modeli tahmin edilmiştir. Bulgulara göre, Gıda ve İçecek endeksinin belirli bir piyasa rejiminde uzun süre kararlılık gösterildiği ve bu rejime geçildiğinde kalma olasılığının yüksek olduğu görülmektedir. Elektrik endeksi için, endeksin belirli bir piyasa rejiminde uzun süre kalma eğiliminde olduğu ve piyasadaki değişikliklere hızlı uyum sağlayabildiği anlaşılmaktadır. Yüksek enflasyon dönemlerinde BIST-Turizm Endeksinde uzun süreli kararlılık gözlenmiş ve düşük volatilite dönemi geniş bir zaman dilimini kapsamıştır. Bu durum, turizm sektörünün ekonomik belirsizliklere karşı direnç gösterdiğini ve uzun vadeli planlamalara daha uygun olduğunu göstermektedir. BIST-Teknoloji Endeksi için, belirli bir piyasa rejiminde uzun süre kararlılık gösterildiği ve düşük volatilite döneminin neredeyse yüksek volatilite dönemi kadar sürdüğü anlaşılmaktadır. Bu durum, teknoloji sektörünün ekonomik belirsizliklere karşı direnç gösterdiğini ve uzun vadeli istikrarını koruduğunu göstermektedir. Bu çalışmanın literatüre katkısı, yüksek enflasyon dönemlerinde BIST sektör endekslerinin dalgalanmalarını analiz etmek amacıyla sektörlere özgü uzun vadeli kararlılık ve volatilite özelliklerini ortaya koymasıdır. Yatırımcılara sektörler arasındaki farklı performans özellikleri hakkında önemli bilgiler sağlayarak daha etkili stratejiler oluşturmalarına olanak sunmaktadır.

Article Details

Fluctuations of BIST Sectoral Index Movements During High Inflation Periods: A Markov Regime Switching Analysis

Authors:

Turgay Münyas | Havva Koç

Publisher:

Ahmet Arif EREN

Main Topics:

Ekonometri Teorisi

Journal:

Fiscaoeconomia Vol.8 Issue 3, pp.968-994

Document Type:

Article

Publication Date:

9/2024

Document Language:

English

Document ID (Org No.):

2001327601

pISSN:

2564-7504

Macroeconomy

Inflation

BIST

VolatilityMakroekonomi

Enflasyon

BIST

Volatilite

Issues

Article Details

Authors: Turgay Münyas | Havva Koç

Publisher: Ahmet Arif EREN

Main Topics: Ekonometri Teorisi

Journal: Fiscaoeconomia Vol.8 Issue 3, pp.968-994

Document Type: Article

Publication Date: 9/2024

Document Language: English

Document ID (Org No.): 2001327601

pISSN: 2564-7504

Issues

Authors:

Turgay Münyas | Havva Koç

Publisher:

Ahmet Arif EREN

Main Topics:

Ekonometri Teorisi

Journal:

Fiscaoeconomia Vol.8 Issue 3, pp.968-994

Document Type:

Article

Publication Date:

9/2024

Document Language:

English

Document ID (Org No.):

2001327601

pISSN:

2564-7504