Does Energy Uncertainty Matter for BIST 100 Stock Returns? Fresh Evidence From Wavelet and Quantile Approaches

İngilizce (OpenAlex)

Risk and uncertainty factors play a significant role in both the sector and the country's economy. Uncertainties in financial markets, in particular, can have substantial effects on stock indices. These uncertainties can negatively affect firm performance, investment decisions and consumer confidence, leading to declines in stock returns. This study aims to empirically examine whether the effect of the energy uncertainty index on BIST 100 stock returns is homogeneous or heterogeneous in short, medium and long-term time scales. For this purpose, wavelet-based quantile-on-quantile regression (WQQR) and wavelet-based quantile-on-quantile Granger causality (WQQGC) methods were used using monthly data for the period of January 1996 to November 2023. The findings indicate that energy uncertainty is heterogeneous in BIST 100 returns, both in raw data and across different time scales. It was observed that the negative relationship was dominant in raw data analyses. It was determined that there was both a negative and a positive relationship in the short term, but the positive relationship was dominant. In the medium term, energy uncertainty is generally positively related at low and medium quantiles, while a negative relationship is observed at high uncertainty levels. Although an adverse effect is observed at most quantiles in the long term, it has been determined that investors can react positively with optimistic expectations during periods of high uncertainty. Finally, the causality analysis results reveal that EUI has significant predictive power on BIST 100 returns at short, medium, and long-term time scales. The findings emphasise the importance of energy policies in maintaining the stability of financial markets and offer important implications for investors and policymakers.