Влияние основных макроэкономических переменных и рыночных рисков на индексы Стамбульской фондовой биржи: сравнительный отраслевой анализ

Целью данного исследования является эмпирическое изучение влияния различных макроэкономических переменных на индекс Стамбульской фондовой биржи и отраслевые индексы. Поводом для этого исследования послужили значительные колебания макроэкономических переменных в экономике Турции, особенно в начале 2020-х гг. Мы использовали методологию авторегрессии с распределенным лагом (ARDL) для изучения набора данных, охватывающего период 2013–2024 гг. Результаты показывают, что в долгосрочной перспективе общие индексы Стамбульской фондовой биржи (BIST) испытывают отрицательное влияние процентных ставок и премий по кредитным дефолтным свопам (CDS), в то время как валютные курсы оказывают на них положительное влияние. Следует отметить отсутствие заметного влияния процентных ставок США, инфляции или цен на золото; однако влияние индекса волатильности (VIX) наблюдается только в краткосрочной перспективе.

 При изучении секторальных эффектов негативное влияние процентных ставок и премий CDS, а также позитивное влияние обменных курсов согласуются между секторами с особенно выраженными эффектами в банковском секторе и секторе недвижимости. Напротив, влияние процентных ставок США, инфляции, цен на золото и индекса VIX отражает то, что наблюдается в общих индексах. Интересным результатом является то, что, в то время как индекс волатильности VIX отрицательно влияет только на акции банков и строительных компаний в долгосрочной перспективе, компании почти во всех секторах подвержены влиянию глобальных рисков в краткосрочной перспективе. Основной вывод исследования заключается в том, что обменные курсы и внутренние индикаторы риска, такие как процентные ставки и премии CDS, являются наиболее влиятельными долгосрочными драйверами фондового рынка Турции и секторальных показателей, тогда как глобальные факторы, такие как денежно-кредитная политика США и индекс VIX, в первую очередь влияют на краткосрочную динамику и настроения инвесторов.

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