Cilt/Volume: 23 Sayı/Issue: 1 Mart/March 2025 ss. /pp.

139-159
Z. R. Yaşar, http://dx.doi.org/10.11611/yead.1621178

THE EFFECT OF THE UNCERTAINTIES OF MONETARY AND ECONOMY POLICIES

ON STOCK MARKETS

Asst. Prof. Zaim Reha YAŞAR (Ph.D.)

ABSTRACT

Uncertainties create asymmetric and variable effects in economic and financial decision-making
processes. However, empirical findings on how these effects differ depending on market conditions
remain limited. This paper aims to evaluate the effects of uncertainty on the returns of the Borsa Istanbul
(BIST 100) index in a layered manner, using a quantile regression model, in the case of Türkiye.
Empirical findings show that both economic and monetary policy uncertainties cause influence on
returns during periods of poor market conditions. This result indicates that rising uncertainty increases
the risk premium, triggers negative expectations in the market and worsens conditions about it. On the
other hand, market returns tend to increase when the effect of uncertainties changes in a positive
direction, and increasing uncertainties have positive effects on returns. Consequently, the findings
provided by using the quantile regression reveal that the effects of uncertainty on financial markets are
not static and homogeneous.

Keywords: Quantile Regression, Stock Returns, Uncertanities.

Jel Classification: C32, E44, G15.

1.INTRODUCTION

Uncertainty may stem from different factors including crises, wars and unexpected political
changes and can impact the economy in different ways whatever triggers it (Bloom vd., 2013). The idea
that uncertainty drags economic and financial activities into stagnation is also assisted by the rapidly
growing applied and theoretical literature. Research examining the effects of uncertainty on financial
and macroeconomic indicators also attract attention accordingly. Among the types of uncertainty
examined in the literature, many studies focus on the nexus between monetary policy uncertainty (MPU)
and stock markets (Paule-Vianez et al., 2020a; Chiang, 2021; Wen et al., 2022). These research usually
examine the correlation between MPU and stock markets for different countries or groups of countries
and use only a single MPU index. Therefore, this study tries to expand the nexus between the MPU and
stock markets in a different country context, using an alternative MPU index. The effect of monetary
policy decisions on financial markets may vary depending on how uncertainty is perceived. Both

 KırıkkaleUniversity, Faculty of Economics and Administrative Sciences, Department of Economics, Kırıkkale/ Türkiye, E-
mail: reha@kku.edu.tr.

Makale Geçmişi/Article History

Başvuru Tarihi / Date of Application : 24 Ocak / January 2025 139
Düzeltme Tarihi / Revision Date : 7 Şubat / February 2025
Kabul Tarihi / Acceptance Date : 18 Şubat/ February 2025 Araştırma Makalesi/Research Article
 Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research
Cilt/Volume: 23 Sayı/Issue: 1 Mart/March 2025 ss. /pp. 139-159
Z. R. Yaşar, http://dx.doi.org/10.11611/yead.1621178

domestic and international developments can increase policy uncertainty by causing uncertainty in
economic activities. In addition, the design and adaptation process of unconventional monetary policy
instruments that have become widespread recently may blur the functioning of transmission
mechanisms. This increase in uncertainty may complicate the decision-making processes of economic
and financial actors, causing important decisions to be postponed. Increasing uncertainty brings about
an abatement in investments and consumption expenditures and a slowdown in economic activities due
to the tendency to act cautiously (Bernanke, 1983; Dixit and Pindyck, 1994; Bloom, 2009). This is also
the case in the financial markets. In an environment of uncertainty, investment decisions can be
postponed until more information becomes available, similarly to consumption decisions (Dixit and
Pindyck, 1994). The “wait-and-see” approach adopted by investors to protect themselves may have
negative consequences on both employment and production. In this process, financial market investors
act more cautiously and tend to direct their assets to instruments that can be easily converted into cash.

Because of improving capital movements between international financial markets, a close link
has raised between the exchange rates and stock markets. The link between these two markets is
explained within the framework of commodity market theory and portfolio balancing theory (Tian and
Ma, 2010). In commodity market theory, they argue that a country’s exchange rates are largely driven
by current transactions in the country and, that changes in exchange rates affect real economic factors,
impacting both international competition and the balance of trade. In this theory, the causality
relationship from the exchange rate to the stock market differs between export-oriented and import-
oriented countries. It is estimated that the abatement in the exchange rate in the country (or rise in the
country’s domestic currency valuation) will negatively affect an export-intensive economy, thus
affecting the stock markets because of the diminish in the appeal of the stocks of exporting companies.
On the contrary, for the economy of an import-intensive country, the decline in exchange rates is
expected to have a positive influence on the stock market. It is estimated that an improvement in the
exchange rate will similarly influence the stock markets depending on whether the economy is import
or export-oriented and in the opposite direction of the above-mentioned movements (Dornbusch and
Fisher, 1980; Obben et al., 2006).

Another macroeconomic factor that impacts stock prices is adjusts in the money supply because
of monetary policy practices. Regarding this relationship, which has been researched since the 1970s,
in the field, although the effect of monetary expansion on stock prices is generally evaluated as positive,
there are different opinions on this issue. The link between stock prices and the money supply is
explained by different economic theories. The monetarist approach explains this relationship with the
portfolio balance effect: The rise in the money supply causes individuals to direct their portfolios to
assets such as stocks. Thus, an upward pressure on stock prices occurs, and a new balance is established
between the money in individuals’ hands and other assets. Increased liquidity allows individuals to
invest their excess money in consumer goods or financial assets. At the same time, the increase in
Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research 140
 Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research
Cilt/Volume: 23 Sayı/Issue: 1 Mart/March 2025 ss. /pp. 139-159
Z. R. Yaşar, http://dx.doi.org/10.11611/yead.1621178

demand for fixed income assets increases bond prices and reduces their yields. Such a situation causes
investors to prefer stocks instead of bonds and results in even greater rises in stock prices (Wiedmann,
2011). Sellin (2001) stated that alters in the money supply can influence stock prices only when they
change future monetary policy expectations. Expansionary monetary policies that create expectations of
tightening in the future may cause stock prices to decline. According to the real activity theory, monetary
expansion strengthens cash flows by increasing economic activity, which positively affects stock prices
(Maskay, 2007).

In approaches focusing on the impact of interest rates, it is seen that increasing interest rates
increase the discount rate and therefore stock prices decrease. Bernanke and Kuttner (2005) argued that
the money supply can change the value of stocks by affecting interest rates. Accordingly, a tight
monetary policy increases the discount rate by increasing interest rates and diminishes the value of
stocks. Similarly, cash flow models recommend that an enhancement in the money supply abates interest
rates, which increases the existing value of companies' forthcoming cash movements. This effect
increases companies' profits and strengthens investors' dividend expectations, causing stock prices to
rise. Therefore, monetary expansion is generally associated with increased demand and price increases
in the stock markets. Monetarist economists discuss that this process increases the demand for the market
and pushes prices up (Ariff et al., 2012).

The basic aim of this paper is to examine the response of financial markets (stocks listed in
BIST100) to economic and monetary policy uncertainties, without ignoring the effect of real effective
exchange rate and money supply changes. In this context, the paper is different from previous research
in three prominent aspects: First, it focuses on the impact of both the EPU and its sub-index, the MPU
index, on the Turkish stock market within, the framework of basic macroeconomic factors. Second, it
analyzes data from the Turkish economy, which is an emerging market economy. Finally, by applying
the quantile regression (QR) method (Koenker and Bassett, 1978), which allows estimation by dividing
the dependent variable into percentiles, it step by step evaluates how the BIST100 index reacts to
uncertainties in heterogeneous market conditions (normal, bearish, and bullish market).

2. LITERATURE REVIEW

Various studies have evaluated the effects of MPU on stock markets for different countries or
country groups using various econometric techniques and control variables (Cai, 2018; Paule-Vianez et
al., 2020a; Uğurlu-Yıldırım et al., 2021). Cai (2018) examined the international spillover of MPU into
stock returns in New Zealand and Australia using time-varying causality tests. For Australia, the study
revealed that MPU had an adverse effect on stock returns for several months after the debt crisis in
Europe in 2009, and also found a unidirectional causality from stock returns to MPU during the Dot-
com bubble time span. In the New Zealand context, the paper presents that MPU has an adverse
influence on stock returns for several months and that there is a unidirectional causality from stock
Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research 141
 Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research
Cilt/Volume: 23 Sayı/Issue: 1 Mart/March 2025 ss. /pp. 139-159
Z. R. Yaşar, http://dx.doi.org/10.11611/yead.1621178

returns to MPU. Additionally, this study reveals that the impacts of MPU on stock returns in Australia
and New Zealand are heterogeneous. Paule-Vianez et al., (2020a) tested the effect of MPU on the returns
of the S&P 500 and NASDAQ 100 indices.

The results show that MPU is effective on stock returns, principally during the economic
expansion times. Additionally, it has been concluded that controlling uncertainty is important in limiting
the negative effects of MPU on stock markets. Paule-Vianez et al., (2020b) examined the effect of MPU
on stock returns between January 1985 and March 2020 with regression models, controlling for arbitrage
limits and the economic cycle. The study reveals that MPU has an adverse effect on stock returns.
Uğurlu-Yıldırım et al., (2021) analyzed the non-linear and cointegration relationships between MPU
and the US stock market, taking into account potential risk factors. In this study, conducted using a non-
linear lagged distributed autoregressive model (NARDL), it was determined that there is a cointegrated
relationship between the MPU and the US stock market. Additionally, it has been determined that there
is a bidirectional and adverse link between the performance of the US stock market and MPU in the
short term. Chiang (2021) proved the impact of MPU on international stock returns, considering market
volatility and dividend yield variables. The findings of the study show that MPU has a significant and
negative effect on North American stock returns, and this effect persists with a one-month lag. It was
also concluded that the enhancement in MPU spread to the global stock markets. Wen et al., (2022)
examined the heterogeneous and asymmetric effects of MPU on the BRICS and G7 countries. Utilizing
the quantile regression technique, the findings reveal that MPU has a negative impact on stock returns
in most countries, especially when the MPU level is high and returns are low. The study also reveals
that yields decline during crisis periods when uncertainty is high and that the reactions of the stock
markets in BRICS countries to MPU shocks are less volatile compared to the G7 countries. A study
evaluating EPU and MPU indices together was conducted by Jin et al., (2018) and probed the impacts
of EPU and MPU on US banks.

Although the findings obtained by quantile regression reveal that EPU and MPU increase the
opacity in bank earnings, it is emphasized that banks with strong capital ratios are less affected by these
uncertainties in different quantiles. Nusair and Al-Khasawneh (2023) evaluated the asymmetric effects
of oil price changes and EPU on the stock returns of the G7 countries. Their findings using the quantile
regression technique point out that while increasing EPU abates stock returns in bearish markets, rising
EPU can increase returns in bullish markets. Conversely, study on the nexus between monetary policy
and the stock market has provided ample proof that monetary policy has a substantial influence on
prices.

Applied investigations relevant to this scope comprise Thorbecke (1997), Ewing et al., (1998,
2003), Kwon and Shin (1999), Cassola and Morana (2004), Bernanke and Kuttner (2005), and Chulia
et al., (2010). Within the framework of the Keynesian and Monetarist views, it is stated that monetary
policy changes can affect stock prices. The monetarist approach argues that expansionary monetary
Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research 142
 Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research
Cilt/Volume: 23 Sayı/Issue: 1 Mart/March 2025 ss. /pp. 139-159
Z. R. Yaşar, http://dx.doi.org/10.11611/yead.1621178

policy changes enhance the demand for stocks by increasing optimal monetary balances, thus increasing
stock prices. The Keynesian framework, on the other hand, states that when interest rates fall through
an expansionary monetary policy, bonds become less charming than stocks, inducing stock prices to
rise. Conversely, Fama (1981) discussed that rise in the money supply may result in inflation, thereby
decreasing stock prices. Recent studies have also made more detailed evaluations specific to different
country groups. Accordingly, the empirical literature supports both effects.

Many applied research has perused the nexus between stock prices and exchange rates. Aggarwal
(1981) obtained findings that support the estimations of flow models. Soenen and Hennigar (1988)
reached a negative relationship between the effective value of the dollar and US stock prices. Bahmani-
Oskooee and Sohrabian (1992) analysed the nexus between the S&P 500 index and the effective
exchange rate and stated that there is a bidirectional causality relationship in the findings, supporting
both the portfolio approach and flow models.

Studies conducted in different countries have also examined the relationship between stock prices
and exchange rates. Abdalla and Murinde (1997) proved that exchange rate increases positively affected
stock prices in South Korea, India, and Pakistan, but this relationship was in the opposite direction in
the Philippines. Wong (2017) examined the relationship between stock prices and real exchange rate
returns in the Philippines, Malaysia, Korea, Singapore, Japan, Germany, and the UK. Although the study
varies between countries, it draws attention to the dynamic structure of the relationship between stock
prices and exchange rates. Kassouri and Altıntaş (2020) analyzed the effect of real foreign exchange and
dollar exchange rates on stock prices in Türkiye. The study revealed that increases in the real exchange
rate negatively affect stock prices. Ülkü and Demirci (2012) analyzed the relationship between exchange
rates and stock markets in 9 developing countries, including Türkiye, within the framework of SVAR.
The research revealed significant and same-directional relationship between exchange rates and stock
markets, and that this relationship is shaped depending on stock returns in developed countries.

Most of the analyses mentioned before examined the nexus between uncertainties and stock
markets for developed economies and generally used the monetary policy uncertainty index. Studies
focusing on developing economies considering alternative uncertainty indices are limited. In addition,
basic macroeconomic determinants have been neglected in studies investigating the effects of
uncertainty. To fill this gap, this paper examines the effects of monetary policy and economic policy
uncertainties on the stock market in the context of a developing economy like Türkiye, in a framework
where the basic macroeconomic determinants of the stock market are not neglected.

3. METHODOLOGICAL FRAMEWORK

In applied macroeconomic or financial time series research, the series subject to research may be
exposed to several shocks (natural disasters such as earthquakes, famine, etc., economic recession, and
financial crises) in the long term. If the shocks in question have a permanent effect on the series, the
Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research 143
 Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research
Cilt/Volume: 23 Sayı/Issue: 1 Mart/March 2025 ss. /pp. 139-159
Z. R. Yaşar, http://dx.doi.org/10.11611/yead.1621178

stationarity of the series will be negatively affected and a non-stationary process will emerge. The
stationarity of the process is closely related to whether the estimated regression reflects a real
relationship (Granger and Newbold, 1974; Gujarati, 1995). There are many unit root tests in the literature
that have been developed to investigate the stationarity of time series. In this paper, stationarity
evaluations of the variables subject to the research were carried out by using the ADF and PP unit root
tests, which are considered as a reference test, as well as KPSS stationarity tests in order to robust the
results.

3.1. Augmented Dickey-Fuller (ADF) Unit Root Test

The ADF unit root test, which is frequently chosen in testing the existence of unit roots in time
series, is evaluated a design of the Dickey-Fuller (DF) unit root test that takes into account higher
correlation, making use of the AR(1) process. To solve the higher order correlation problem, the ADF
test utilizes the AR(p) process instead of the AR(1) process and covers the "p" lagged difference terms
in the equation (Gujarati, 2011). Thus, the ADF equations are specified as follows (none, intercept, and
intercept& trend, respectively):
𝑝
∆𝑦𝑡 = 𝛿𝑦𝑡−1 + ∑𝑖=1 𝛽𝑖 ∆𝑦𝑡−𝑖 + 𝜀𝑖 (1)
𝑝
∆𝑦𝑡 = 𝜇 + 𝛿𝑦𝑡−1 + ∑𝑖=1 𝛽𝑖 ∆𝑦𝑡−𝑖 + 𝜀𝑖 (2)
𝑝
∆𝑦𝑡 = 𝜇 + 𝛽𝑡 + 𝛿𝑦𝑡−1 + ∑𝑖=1 𝛽𝑖 ∆𝑦𝑡−𝑖 + 𝜀𝑖 (3)

where, μ is the intercept, t is the deterministic trend, p is the number of lags, and εt is the residuals.
For all three of the ADF equations, the null hypotheses claiming the existence of unit roots in the series
are the same (Dickey and Fuller, 1979; 1981).

3.2. Phillips-Perron Unit Root Test

In the Dickey-Fuller (DF) (1979) and Augmented Dickey-Fuller (ADF) (1981) unit root tests,
which are the first unit root tests in the literature, it is considered that the residuals are independent and
homoscedastic. However, in time series applications, it has been stated that most time series have
heterogeneously distributed and weakly dependent residuals. For this reason, it is recommended to
make nonparametric corrections in the PP unit root test developed by Phillips and Perron (1988), based
on the possibility that the residuals may be autocorrelated. The PP unit root test is as follows (4):

∆𝑦𝑡 = 𝑎𝑦𝑡−1 + 𝑥𝑡′ 𝛿 + 𝜀𝑡 (4)

where a=𝜌-1, while xt denotes the deterministic components and εt denotes the residuals. Under
the null hypothesis tested in the PP unit root test, it is stated that the series encloses a unit root, while in
the alternative hypothesis it is stated that the series does not contain a unit root (Phillips and Perron,
1988).

Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research 144
 Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research
Cilt/Volume: 23 Sayı/Issue: 1 Mart/March 2025 ss. /pp. 139-159
Z. R. Yaşar, http://dx.doi.org/10.11611/yead.1621178

3.3. KPSS Stationarity Test

Kwitkowski, Phillips, Schmidt, and Shin (KPSS) (1992) introduced a test statistic based on the
null hypothesis that the time series is stationary. Considering yt as the time series under investigation, it
is expressed in Equation (5) as the sum of a deterministic trend, a stationary residuals, and a random
walk process:

ve t=1,2,…,T (5)

where rt, corresponds to the random walk process, t corresponds to the deterministic trend and ε t
corresponds to the residuals. Test statistics of the KPSS test (Kwiatkowski et al., 1992: 161-165):

(6)

Under the null hypothesis, the yt series is tested for being trend stationary or stationary around an
intercept. In this context, the KPSS stationarity test differs from other unit root tests by operating on the
null of the alternative hypothesis of a non-stationarity against the null hypothesis of stationarity.

3.4. Quantile Regression

Quantile regression, developed by Koenker and Basset (1978), emerged to provide robust results
in cases where the assumption that the series of residuals distributed normal, which is among the
classical assumptions of regression, is ignored. The quantile regression technique, which is commonly
used in cases where the distribution of the researched data is distorted, is also an approach designed to
provide a more comprehensive regression view (Koenker, 2005). This approach is especially useful in
situations where conditional quantiles vary. In the quantile regression technique, the regression
coefficients are determined depending on the quantiles (percentiles) therefore different results are
provided in different quantiles. This situation can be explicated as the explained variable reacting
differently to changes in the independent variables at different points of the conditional distribution
(Erilli and Çamurlu, 2019). The quantile regression model is as follows:

𝑌𝑖 = 𝑥𝑖 𝛽0 + 𝑒𝑖 (7)

where xi, corresponds to the (k+1) dimensional vector of the explanatory variables and indicates
the linear regression between the th quantile of the conditional distribution of the explained variable
and the explanatory variables.  refers to the vector of parameters in the th quantile regression.
Quantile regression estimators can be thought of as a linear programming problem and can be solved by
optimizing the two-piece linear objective function of the residuals and using solution methods of linear
programming problems such as the boundary technique or the simplex method (Koenker and Hallock,

Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research 145
 Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research
Cilt/Volume: 23 Sayı/Issue: 1 Mart/March 2025 ss. /pp. 139-159
Z. R. Yaşar, http://dx.doi.org/10.11611/yead.1621178

2001). The objective function corresponds to the weighted sum of the absolute deviations and is shown
in Equation (8) (Wu, 1986):

1
min { ∑ 𝜃 |𝑦𝑖 − 𝑥𝑖 𝛽| + ∑ (1 − 𝜃)|𝑦𝑖 − 𝑥𝑖 𝛽| } (8)
𝛽 𝑛
𝑖:𝑦𝑖 ≥𝑥𝑖 𝛽 𝑖:𝑦𝑖 ≥𝑥𝑖 𝛽

When the objective function shown in Equation (8) is minimized according to β, the coefficient
(parameter) estimate is calculated with the equation in Equation (9):
𝑛
1
min {∑ 𝜌𝜃 (𝑦𝑖 − 𝑥𝑖 𝛽) } (9)
𝑛
1=1

In this case, the 𝛽̂ estimator for the optimal value of θ (0< θ<1) is shown in Equation (10):
𝑛

𝛽̂ (𝜃) = arg 𝑚𝑖𝑛𝛽𝜖𝑅𝑝 {∑ 𝜌𝜃 (𝑦𝑖 − 𝑥𝑖 𝛽) } (10)

1=1

The most important feature of the quantile regression technique is that it presents knowledge
about the whole conditional distribution of y according to the explanatory variable x for different
quantile (percentile) values, not about the average of the conditional distribution of the dependent
variable y, like the classical multiple linear regression method. (Erilli and Çamurlu, 2019).

4. DATA SET, MODEL AND EMPIRICAL FINDINGS

In the primary stage of this section, the dataset used in the research is introduced and then the
econometric model developed in the light of the literature review and a preliminary analysis is
introduced.

4.1. Data Set and Model

The main aim of this analysis is to observe the effects of basic macroeconomic indicators and
uncertainties on financial markets. In the data set used in this context, five variables are adopted,
including the BIST 100 index return (BIST 100; log diff. series of BIST 100 index), the economic policy
uncertainty index (EPU), the monetary policy uncertainty index (MPU), one of the sub-indices of the
EPU, the real effective exchange rate (REER; percentage change), and the money supply (M2;
percentage change). The dataset of the research covers the periods between January 2006 and September
2023 and has a monthly frequency. Table 1 demonstrates the definitions, units, and database information
of the variables.

Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research 146
 Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research
Cilt/Volume: 23 Sayı/Issue: 1 Mart/March 2025 ss. /pp. 139-159
Z. R. Yaşar, http://dx.doi.org/10.11611/yead.1621178

Table 1. Abbreviations, Units and Database Information

Variables Abbrevation Unit Database
BIST 100 Index Return BIST100 Percentage Matriksdata.com
Monetary Policy Uncertainty Index MPU Index Policyuncertainty.com
Economic Policy Uncertainty Index EPU Index Policyuncertainty.com
Real Effective Exchange Rate REER Index (percentage change) TCMB-EVDS
Money Supply M2 TL (percentage change) TCMB-EVDS

In order to estimate the log-log form regression, the natural logarithms of the variables subject to
the research were taken and econometric analyses were continued with these forms. The advantage of
making inferences through log-log models is that the effect of variables on the dependent variable can
be expressed more clearly by making percentage comments regardless of the unit.

Table 2 maintains the descriptive statistics of the variables, including the mean, median, standard
deviation, minimum, and maximum values. These statistics offer ideas into the data distribution and the
general characteristics of the variables. The LBIST100 variable demonstrates positive average and
median values during the examined period, reflecting positive average returns. The values range from
approximately -0.21 to +0.26, indicating the bounds of the maximum returns and losses. JB statistics
reveal that the null hypothesis of normality holds only for the uncertainty indices, confirming their
normal distribution. In contrast, BIST100 returns, along with the M2 and REER, deviate from the normal
distribution, highlighting differences in their statistical behaviours.

Table 2. Descriptive Statistics

Variables Mean Median Std. Dev. Maximum Minimum JB Statistics

LBIST100 0.00723 0.007425 0.075436 0.205784 -0.26292 9.285437***
LMPU 4.210921 4.207119 0.583978 5.717256 2.927631 3.708932
LEPU 4.985736 4.963514 0.416513 6.064387 3.889305 0.466447
LREER -0.0007 -0.00034 0.006944 0.027512 -0.03652 168.2434***
LM2 0.000706 0.000674 0.000865 0.005392 -0.00178 229.2084***
Note: i.*** indicates 1% significance levels. ii. “L” refers to the logarithmic operation.

Descriptive statistics were followed by a correlation analysis to explore the direction of

the relationships between the variables. The positive and negative correlation coefficients show
the direction of these relationships, while the magnitude of the coefficient reflects their strength.
Table 3 summarises the correlation coefficients for the variables.

Table 3. Correlation Analysis

Variables LBIST100 LEPU LMPU LREER LM2

LBIST100 1
LEPU -0.0892 1
LMPU -0.0329 0.4118 1
LREER 0.2599 -0.0853 -0.1352 1
LM2 -0.3195 0.1825 0.1322 -0.6228 1
Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research 147
 Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research
Cilt/Volume: 23 Sayı/Issue: 1 Mart/March 2025 ss. /pp. 139-159
Z. R. Yaşar, http://dx.doi.org/10.11611/yead.1621178

According to the results of the correlation analysis, there is a 41% positive correlation between
LEPU and LMPU. On the other hand, LM2, LMPU, and LEPU appear to be negatively correlated with
BIST100 returns, while there is a positive correlation relationship between LREER and BIST100.

Table 2 represents the descriptive statistics, while Table 3 gives the results of the correlation
analysis, contributing to the specification and examination approach (within the context of regression
estimators) informed by the literature for the models analyzed in this paper. A positive 41% correlation
between LEPU and LMPU, along with the fact that LMPU is a subindex of LEPU, suggests a potential
multicollinearity issue when evaluating their effects on LBIST100. To address this, the impacts of these
two uncertainty indices on BIST100 returns were assessed using separate models.

The positive correlation between the variables implies that the LEPU and LMPU findings are
expected to align directionally in the modelling results. Additionally, the dependent variable, LBIST100,
does not follow a normal distribution and demonstrates high volatility, as indicated by its standard
deviation exceeding its mean. Given this, robust results can be achieved using estimators targeting the
median and other percentiles, such as quantile regression, rather than mean-based regression estimators.

The closed and open form representations of the return models examined in this paper are
presented below, respectively:

𝐿𝐵𝐼𝑆𝑇100𝑡 = f (LMPUt, LREERt, LM2t) (11)

𝐿𝐵𝐼𝑆𝑇100𝑡 = f (LEPUt, LREERt, LM2t) (12)

The open form representations of the BIST100 return models within the framework of the quantile
regression are as follows:

𝑄𝐿𝐵𝐼𝑆𝑇100𝑡 (𝜏|𝑥𝑡 )=𝛼(𝜏) + 𝛿1 (𝜏)𝐿𝑀𝑃𝑈𝑡 + 𝛿2 (𝜏)𝐿𝐷𝐾𝑡 + 𝛿3 (𝜏)𝐿𝑀2𝑡 + 𝜀(𝜏), 0 < 𝜏 < 1 (13)

𝑄𝐿𝐵𝐼𝑆𝑇100𝑡 (𝜏|𝑥𝑡 )=𝜔(𝜏) + 𝛽1 (𝜏)𝐿𝐸𝑃𝑈𝑡 + 𝛽2 (𝜏)𝐿𝐷𝐾𝑡 + 𝛽3 (𝜏)𝐿𝑀2𝑡 + 𝜈(𝜏), 0<τ<1 (14)

where 𝜹𝟏 , 𝜹𝟐 , 𝜹𝟑 and 𝜷𝟏 , 𝜷𝟐 , 𝜷𝟑 correspond slope coefficients, α and 𝜔 represent the intercepts, and
ε(τ) and ν(τ) symbolizes the residuals of the models. τ is a parameter specific to the quantile regression
adopted in this research and corresponds to percentages varying between 0 and 1.

4.2. Empirical Findings

In the regression models introduced in Eq. (3) and Eq. (4), unit root and stationarity analyses are
included in the primary stage of econometric analyses to prohibit the spurious regression issue (Granger
and Newbold, 1974; Gujarati, 2015; Kartal et al., 2023). To investigate the existence of a unit root,
information about the stationarity of the variables was provided by applying the ADF unit root test,

Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research 148
 Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research
Cilt/Volume: 23 Sayı/Issue: 1 Mart/March 2025 ss. /pp. 139-159
Z. R. Yaşar, http://dx.doi.org/10.11611/yead.1621178

which is a very reference test, and the PP unit root tests, which include some corrections to the ADF
test, and then the KPPS stationarity test. Currently, Monte Carlo simulations performed by Amano and
Norden (1992) and Schlitzer (1995) have everlastingly shown that combining ADF and KPSS tests for
unit root analysis provides the most reliable findings.

Table 4. Summary of the Unit Root Tests

ADF Unit Root Test PP Unit Root Test
Variables Intercept (𝛕 Stat.) Int. & trend (𝛕 Stat.) Intercept (Adj. 𝛕 Stat.) Int. & trend (Adj. 𝛕 Stat.)
LBIST100 -13.3257*** (0.0000) -13.2899*** (0.0000) -13.3294*** (0.0000) -13.2931*** (0.0000)
LMPU -6.0578*** (0.0000) -6.0884*** (0.0000) -5.9621*** (0.0000) -5.9863*** (0.0000)
LEPU -3.2224** (0.0153) -4.9016*** (0.0000) -2.9003** (0.0473) -4.6572*** (0.0011)
LREER -10.8450*** (0.0000) -10.9417*** (0.0000) -9.4967*** (0.0000) -9.7739*** (0.0000)
LM2 -12.6061*** (0.0000) -12.6758*** (0.0000) -12.5855***(0.0000) -12.6807***(0.0000)
Note: ** and *** mean significance levels for 10% and 5%.

At the first stage of unit root testing, the paper examines the variables performing the ADF
and PP unit root tests. Table 4 presents the results. The ADF test evaluates whether the variable
comprises a unit root, and the statistics imply that the null hypothesis is rejected for LBIST100,
LMPU, LEPU, LREER, and LM2. This outcome confirms that these variables are stationary.
Similarly, the Phillips-Perron (PP) test produces consistent results by rejecting the null hypothesis
for the same variables, reaffirming their stationarity at the level and alignment with the I(0) process.
The ADF and PP test results consistently indicate that LBIST100, LMPU, LEPU, LREER, and LM2
exhibit stationarity at the level. To ensure greater robustness, the paper also applies the KPSS
stationarity test, with its results detailed in Table 5.

Table 5. KPSS Stationarity Test

Variables Intercept (LM Stat.) Intercept & trend (LM Stat.)

LBIST100 0.0305*** 0.0301***
LMPU 0.2105*** 0.1449***
LEPU 0.6325*** 0.1302***
LREER 0.2343*** 0.0299***
LM2 0.2600*** 0.1003***
Note: *** means significance level for 1%.

The KPSS stationarity test was run with a null hypothesis that contrasts with the ADF and PP
tests, as it tests stationarity against the alternative hypothesis of non-stationarity. The LM test statistics
reveal that the null hypothesis of stationarity holds for all variables. Consequently, the unit root and
stationarity analyses conclude that LBIST100, LMPU, LEPU, LREER, and LM2 are stationary at their
levels. These findings demonstrate that it is possible to estimate these variables at their levels without
encountering the risk of spurious regression.

Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research 149
 Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research
Cilt/Volume: 23 Sayı/Issue: 1 Mart/March 2025 ss. /pp. 139-159
Z. R. Yaşar, http://dx.doi.org/10.11611/yead.1621178

Table 6. Estimation Results of the Quantile Regression Models

Dependent variable: LBIST100
Model I Model II
Quantile 1 Regressors Coefficient Std. Err. t Stat. Regressors Coefficient Std. Err. t Stat.
(0.05) LMPU -0.0478*** 0.0183 -2.6213 LEPU -0.1337*** 0.0487 -2.7473
LM2 0.0137 0.0165 0.8301 LM2 0.0817*** 0.0262 3.1134
LREER 1.9578 1.6257 1.2043 LREER 0.9489 1.1196 0.8475
Quantile 2 Regressors Coefficient Std. Err. t Stat. Regressors Coefficient Std. Err. t Stat.
(0.10) LMPU -0.02582** 0.0131 -1.9790 LEPU -0.0476* 0.0282 -1.6867
LM2 0.0153 0.0120 1.2727 LM2 0.0291** 0.0135 2.1592
LREER 2.6533** 1.2470 2.1277 LREER 3.5409** 1.6809 2.1065
Quantile 3 Regressors Coefficient Std. Err. t Stat. Regressors Coefficient Std. Err. t Stat.
(0.25 ) LMPU -0.0233* 0.0124 -1.8722 LEPU -0.0530** 0.0246 -2.153
LM2 0.0059 0.0112 0.5246 LM2 0.0305** 0.0144 2.1147
LREER 2.7618* 1.4015 1.9706 LREER 3.1380** 1.4828 2.1163
Quantile 4 Regressors Coefficient Std. Err. t Stat. Regressors Coefficient Std. Err. t Stat.
(0.5) LMPU 0.0040 0.0131 0.3081 LEPU 0.0253 0.0328 0.7706
LM2 0.0028 0.0120 0.2345 LM2 -0.0100 0.0211 -0.4756
LREER 3.8250*** 1.4310 2.6729 LREER 4.0858*** 1.4676 2.7840
Quantile 5 Regressors Coefficient Std. Err. t Stat. Regressors Coefficient Std. Err. t Stat.
(0.75) LMPU 0.0290** 0.0147 1.9700 LEPU 0.0721** 0.0313 2.3057
LM2 -0.0026 0.0111 -0.2350 LM2 -0.0367** 0.0179 -2.0515
LREER 2.1402** 1.0845 1.9735 LREER 2.5805** 1.1371 2.2695
Quantile 6 Regressors Coefficient Std. Err. t Stat. Regressors Coefficient Std. Err. t Stat.
(0.95 ) LMPU 0.0321** 0.0192 1.6666 LEPU 0.1136*** 0.0464 2.4472
LM2 -0.0150 0.0158 -0.9513 LM2 -0.0778*** 0.0302 -2.5737
LREER 2.7722** 1.5886 1.7450 LREER 3.0647*** 1.0522 2.9128
Note: *,**,*** mean the significance levels for 10%, 5%, and 1%.

Table 6 shows the findings of the quantile regression models. The 5%, 10%, and 25% percentiles
represent the effects of EPU and MPU on stock market returns (bearish market), where BIST100 returns
are lowest. The 50% percentage represents the normal values of the market (normal market conditions),
and the 75% and 95% percentages represent the ranges where the return is highest (bullish market). In
other words, the first three quantiles represent the bearish market where stock returns are low, the median
regression represents the normal earnings period, and the last three quantiles represent the bullish
market, indicating the highest values of returns (Mensi, 2014; Chen et al., 2022). According to the
findings:

• Statistically significant coefficients were obtained for MPU and EPU in periods when
market conditions were bad. Moreover, the sign of these coefficients is negative in all
three quantiles. Therefore, increases in both MPU and EPU worsen bad market
conditions. As stock returns increase, in other words, as the transition from the 5% and
10% quantiles to the 25% quantile, the coefficient estimates for monetary policy
uncertainty decrease quantitatively. This situation shows that the adverse effect of MPU
and EPU has decreased in line with the improvements in the market,

• In periods when the stock market provides relatively normal returns, statistically
significant coefficient estimates regarding monetary policy uncertainty, economic
policy uncertainty and money supply are not observed. The REER has a statistically

Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research 150
 Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research
Cilt/Volume: 23 Sayı/Issue: 1 Mart/March 2025 ss. /pp. 139-159
Z. R. Yaşar, http://dx.doi.org/10.11611/yead.1621178

significant positive effect. In this context, while the market exhibits normal condition
behavior, the appreciation of the domestic currency has an increasing effect on returns,

• When the periods during which the markets are highly efficient (75% and 95%
segments) are examined, the effect of MPU and EPU on the markets is positive and
statistically significant, and this effect also increases as the market improves. In other
words, increases in uncertainty that occur when the market is in good shape also
increase returns,

• The REER variable is statistically significant and positive in all percentiles except the
5% percentage in both models. The appreciation of the country’s domestic currency has
positive effects on financial markets. However, it is seen that this effect reaches its
maximum level under normal market conditions in both models (there is a structure that
gradually increases from low quantiles to the middle quantile and then follows a
fluctuating course, see Figure 1). When the model findings regarding REFC are
considered as a whole, it is seen that the most coefficient effective variable on stock
returns is the country's domestic currency,

• The effect of the M2 has a different pattern than the other variables. The relationships
become significant in the right and left tails of the distribution. When the 75% and 95%
percentiles of Model II, which includes economic policy uncertainty, are examined,
which correspond to the bullish market, it is seen that money supply increases have a
negative (reducing) effect on returns. On the other hand, statistically significant and
positive coefficient estimates regarding the money supply were obtained at low
quantiles. Under normal market conditions, there is no statistically significant
relationship. This finding shows that when market conditions are bad, money supply
increases stimulate financial markets positively. Although negative coefficient
estimates regarding money supply were obtained in the 75% and 95% percentages of
Model I, these coefficients are not statistically significant.

The findings provided by the quantile regression are also compatible with the theoretical
expectations in the literature (regarding the fact that the coefficients of EPU and MPU are in the same
direction and MPU is a sub-index), and also show the separation between EPU, which is the major
uncertainty indicator, and MPU, which is its sub-index. It clearly appears: The EPU index has a more
dominant effect on financial markets than the monetary policy uncertainty index. The fact that EPU
coefficient estimates are higher than the MPU reflects the broad-spectrum effects of economic and
political decisions and shows that economic policy uncertainty plays a greater role in market
fluctuations.

Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research 151
 Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research
Cilt/Volume: 23 Sayı/Issue: 1 Mart/March 2025 ss. /pp. 139-159
Z. R. Yaşar, http://dx.doi.org/10.11611/yead.1621178

Figure 1 presents the changes and tendencies of the coefficient estimates obtained from the
quantile regression models according to different quantiles. Within the scope of this analysis, the
patterns of the impact of uncertainties on financial returns were examined, and the findings clearly
showed similar trends. It is noteworthy that these effects, which vary depending on market conditions,
differ in bullish and bearish markets. In bearish markets, increasing uncertainty worsens financial
conditions, while in bullish markets, the effect of uncertainty is reflected in an increase in returns.
Findings showing that financial markets react heterogeneously to uncertainties also show that
uncertainties that arise during periods of market optimism and growth positively affect returns by
increasing the perception of investment opportunities. The negative effects of MPU, especially in bad
market conditions, have been previously reported by Wen et al. (2022) and have also been empirically
proven. When considered from the EPU framework, Nusair and Al-Khasawneh (2023) also stated, like
this research, that uncertainty reduces returns in bad market conditions, whereas the opposite situation
occurs when market conditions are on the rise. Finally, these findings of the research show that the
effects of uncertainties on financial markets are not static but dynamic and that these effects vary
significantly according to market conditions, and these findings are bolstered by Kundu and Paul (2022);
You et al., (2017); Yuan et al. (2022) and Wen et al., (2022).

When the findings are evaluated within the framework of macroeconomic factors, the fact that
the REER has a statistically significant effect on the stock market in all quantiles except the 5%
percentage supports the goods market theory. Dornbusch and Fisher (1980), within the framework of
the commodity market theory (traditional theory), state that while the appreciation of the domestic
currency creates positive effects on the stock market in export-oriented economies, it can also positively
mobilise the market in import-oriented countries. These findings of the study are based on those of
Obben et al. (2006), Tian and Ma (2010); Kapusuzoğlu and İbicioğlu (2010); Kaya et al., (2013); and
Belen and Karamelikli (2015). It is also in parallel with the studies of Boyacıoğlu and Çürük (2016) and
Kassouri and Altıntaş (2020). Additionally, as stated by Kabir et al., (2014), the most effective variable
on the stock market is the real effective exchange rate. The findings regarding the money supply vary
according to market conditions as, well as uncertainties. When market conditions are bad, in line with
theory, increases in the money supply have a stimulating effect on the market. Moreover, as market
conditions improve, the effects of the money supply on the market first become insignificant and then
turn negative. These findings coincide with the findings of Taamouti (2015), who states that there are
significant relationships in the right and left tails, although they are not statistically significant under
normal market conditions. The negative effects of the money supply in high quantiles on the market
Taamouti, (2015); Bahloul and Amor (2022) are similar to the findings presented in Oyadeyi’s (2024)
developing country themed studies.

Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research 152
 Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research
Cilt/Volume: 23 Sayı/Issue: 1 Mart/March 2025 ss. /pp. 139-159
Z. R. Yaşar, http://dx.doi.org/10.11611/yead.1621178

Figure 1. Coefficient Sizes According to the Quantiles

5. CONCLUSION

Increasing global fluctuations and economic uncertainties in recent years have become more
effective and directive on financial markets. Economic policy uncertainties both affect investors’
decision processes and are among the primary elements influencing the volatility of stock markets. In
particular, the difficulties brought about by global economic crises, trade wars and the pandemic have
made the impact of uncertainties in financial markets even more noticeable. This reveals that movements
in financial markets are shaped not only by economic factors but also by the unpredictability of policy
decisions.

In this research, the rebound of the stock market to economic and monetary policy uncertainties
is investigated within the framework of the BIST100 index returns. This study, contucted with quantile
regression models, reveals the heterogeneous effects of EPU and MPU on financial returns under
varying requirements of the market.

The first finding of the research is that the effect of EPU on financial markets is vigorious than
that of MPU. This finding emphasises that this type of uncertainty, which reflects the far-reaching
consequences of economic and political decisions, has a more dominant effect on financial markets than
monetary policy. Secondly, increases in uncertainty (both EPU and MPU increases) that develop in bad
market conditions have more devastating effects on the market. During these periods, a decrease in the
negative effects of uncertainties was observed along with limited improvements in the market.
Therefore, partial recoveries in market conditions alleviate the negative effects of uncertainty and make
the market less sensitive. On the other hand, it has been determined that the effects of both EPU and
MPU on stock returns are positive in good market conditions where returns are high. Therefore, it

Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research 153
 Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research
Cilt/Volume: 23 Sayı/Issue: 1 Mart/March 2025 ss. /pp. 139-159
Z. R. Yaşar, http://dx.doi.org/10.11611/yead.1621178

indicates that the uncertainties in the recovery periods of the market go beyond the traditional risk
perception and can be considered as an opportunity by investors.

Among the findings on how the stock market is affected by macroeconomic factors, the effect of
the real effective exchange rate is too great to be ignored. The reaction of the Turkish stock market to
the exchange rate supports the commodity market theory. The fact that Türkiye is an import-intensive
economy also explains the positive effect of the REER on the markets. Money supply, whose impact
varies according to market conditions, is another macroeconomic factor. When conditions are bad,
increasing money supply stimulates stock markets by increasing market liquidity and accelerates the
recovery process. Moreover, rising the money supply in periods when market conditions are positive
can create a saturation effect in the markets and cause the stock market to stagnate. This essentially
shows that increased liquidity is considered by investors as a factor that reduces excessive risk appetite.
Thus, the effects of the money supply are related to both market conditions and investor sentiment. As
a result, this paper reveals that the effects of uncertainties and essential macroindicators on financial
markets are not static, but have a dynamic character that changes according to market conditions.

Policymakers should focus on reducing EPU through clear communication, as it has a stronger
impact on financial markets MPU. During market downturns, targeted fiscal and liquidity measures can
help stabilize markets, but excessive liquidity should be avoided in positive market conditions to prevent
stagnation. Ensuring exchange rate stability is also crucial due to its strong effect on stock markets.
Finally, given the dynamic nature of market responses, a flexible and data-driven approach to financial
regulation is essential for long-term market stability.

REFERENCES

Abdalla, I. S. A., and Murinde, V. (1997) “Exchange Rate And Stock Price Interactions in Emerging
Financial Markets: Evidence on India, Korea, Pakistan, and Philippines”, Applied Financial
Economics, 7(1), 25–35.

Amano, R.A. and Norden, S. (1992) “Unit Root Tests and the Burden of Proof”, Working Paper No. 92-
7, Bank Of Canada.

Ariff, M., Chung T. F., and Shamsher, M. (2012)M “oney Supply, Interest Rate, Liquidity and Share
Prices: A Test of Their Linkage”, Global Finance Journal, 23, 202–220.

Bahloul, S., and Ben Amor, N. (2022) “A Quantile Regression Approach to Evaluate the Relative Impact
of Global and Local Factors on the MENA Stock Markets”, International Journal of Emerging
Markets, 17(10), 2763-2786.

Baker, S. R., Bloom, N., and Davis, S. J. (2016) “Measuring Economic Policy Uncertainty”, Quarterly
Journal of Economics, 131(4), 1593–1636.

Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research 154
 Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research
Cilt/Volume: 23 Sayı/Issue: 1 Mart/March 2025 ss. /pp. 139-159
Z. R. Yaşar, http://dx.doi.org/10.11611/yead.1621178

Belen, M., and Karamelikli, H. (2016) “Türkiye’de Hisse Senedi Getirileri ile Döviz Kuru Arasındaki
İlişkinin İncelenmesi: ARDL Yaklaşımı”, İstanbul Üniversitesi İşletme Fakültesi Dergisi, 45(1),
34-42.

Bernanke, B. S. (1983) “Irreversibility, Uncertainty, and Cyclical Investment”, The Quarterly Journal
of Economics, 98(1), 85.

Bernanke, B., and K. N. Kuttner. (2005). What Explains The Stock Market’s Reaction To Federal
Reserve Policy?. The Journal Of Finance, 60(3), 1221–1257.

Boyacıoğlu, M. A., and Çürük, D. (2016). Döviz Kuru Değişimlerinin Hisse Senedi Getirisine Etkisi:
Borsa İstanbul 100 Endeksi Üzerine Bir Uygulama. Muhasebe Ve Finansman Dergisi, (70), 143-
156.

Bloom, N. (2009) “The Impact of Uncertainty Shocks”, Econometrica, 77(3), 623–685.

Bloom, N., Kose, A. M., and Terrones, M. E. (2013) “Held Back by Uncertainty: Recoveries Are Slowed
When Businesses and Consumers Are Unsure of the Future”, Finance & Development, 50, 38-
41. Https://Www.Elibrary.İmf.Org/View/Journals/022/0050/001/Article-A012-En.Xml

Cai, Y. (2018) “Predictive Power of Us Monetary Policy Uncertainty Shock on Stock Returns in
Australia and New Zealand”, Australian Economic Papers, 57(4), 470–488.

Cassola, N., and C. Morana. (2004) “Monetary Policy and the Stock Market in the Euro Area”, Journal
of Policy Modelling, 26(3), 387–399.

Chen, Y., Zhu, X., and Li, H. (2022) “The Asymmetric Effects of Oil Price Shocks and Uncertainty on
Non-Ferrous Metal Market: Based on Quantile Regression”, Energy, 246, 123365.

Chiang, T. C. (2021) “Spillovers of U.S. Market Volatility and Monetary Policy Uncertainty to Global
Stock Markets”, North American Journal of Economics and Finance, 58.

Chulia, H., M. Martens, and D. V. Dijk. (2010) “Asymmetric Effects of Federal Funds Target Rate
Changes on S&P100 Stock Returns, Volatilities and Correlations”, Journal of Banking and
Finance, 34(4), 834–839.

Dağlı, H., and Ayaydın, H. (2012) “Gelişen Piyasalarda Hisse Senedi Getirisini Etkileyen
Makroekonomik Değişkenler Üzerine Bir İnceleme: Panel Veri Analizi”, Atatürk Üniversitesi
İktisadi ve İdari Bilimler Dergisi, 26(3-4), 45-65.

Dickey, D. A., and Fuller, W. A. (1979) “Distribution of the Estimators for Autoregressive Time Series
with A Unit Root”, Journal of the American Statistical Association, 74(366a), 427-431.

Dickey, D.A., and Fuller, W.A. (1981), Likelihood Ratio Statistics for Autoregressive Time Series with
A Unit Root. Econometrica, 49(4), 1057-1072.

Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research 155
 Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research
Cilt/Volume: 23 Sayı/Issue: 1 Mart/March 2025 ss. /pp. 139-159
Z. R. Yaşar, http://dx.doi.org/10.11611/yead.1621178

Dixit, A., and Pindyck, R. (1994) “Investment Under Uncertainty”, Princeton University Press.
Https://Doi.Org/10.1515/9781400830176

Dornbush, R., and Fisher S. (1980) “Exchange Rates and the Current Account”, American Economic
Review, 70, 960– 971.

Enders, W. (2008) “Applied Econometric Time Series”, John Wiley & Sons.

Erilli, N., and Çamurlu, S. (2018) “Kantil Regresyon Analizinde Bootstrap Tahmini”, Erciyes
Üniversitesi Fen Bilimleri Enstitüsü Fen Bilimleri Dergisi, 35(2), 16-25.

Ewing, B. T., J. E. Payne, and S. M. Forbes. (1998) “Co-Movement of the Prime Rate, CD Rate, and
The S&P Financial Stock Index”, Journal of Financial Research, 21(4), 469–482.

Ewing, B. T., S. M. Forbes, and J. E. Payne. (2003) “The Effects of Macroeconomic Shocks on Sector-
Specific Returns”, Applied Economics ,35(2), 201–207.

Fama, E. F. (1981) “Stock Returns, Real Activity, Inflation, and Money”, The American Economic
Review, 71(4): 545–565.

Ge, Z. (2023) “The Asymmetric Impact of Oil Price Shocks on China Stock Market: Evidence from
Quantile-on-Quantile Regression”, The Quarterly Review of Economics and Finance, 89, 120-
125.

Granger, C. W., and Newbold, P. (1974) “Spurious Regressions in Econometrics”, Journal of

Econometrics, 2(2), 111-120.

Gujarati, D. N. (1995) “Basic Econometrics”, Third Edition, Singapore.

Heimonen, K.(2010) “Money and Equity Returns in the Euro Area”, Global Finance Journal, 21(2),152–
169.

Jin, J. Y., Kanagaretnam, K. G., Liu, Y., and Lobo, G. J. (2018) “Economic Policy Uncertainty,
Monetary Policy Uncertainty, and Bank Earnings Opacity”, Monetary Policy Uncertainty, and
Bank Earnings Opacity (January 6).

Kabir, S. H., Bashar, O. K., and Masih, A. M. M. (2014) “Is Domestic Stock Price Cointegrated with
Exchange Rate and Foreign Stock Price? Evidence from Malaysia”, The Journal of Developing
Areas, 285-302.

Kapusuzoğlu, A., and İbicioğlu, M. (2010) “Döviz Kuru ile Hisse Senedi Fiyatları Arasındaki İlişkinin
Analizi: Türkiye Uygulaması”, Muhasebe Bilimi Dünyası, 12(4), 135-153.

Kartal, M. T., Ayhan, F., and Altaylar, M. (2023) “The Impacts of Financial and Macroeconomic Factors
on Financial Stability in Emerging Countries: Evidence from Turkey’s Nonperforming Loans”,
Journal of Risk, 25(3).

Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research 156
 Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research
Cilt/Volume: 23 Sayı/Issue: 1 Mart/March 2025 ss. /pp. 139-159
Z. R. Yaşar, http://dx.doi.org/10.11611/yead.1621178

Kassouri, Y., and Altıntaş, H. (2020) “Threshold Cointegration, Nonlinearity, and Frequency Domain
Causality Relationship Between Stock Price and Turkish Lira”, Research in International
Business and Finance, 52, 1– 18.

Kaya, V., Çömlekçi, İ., and Kara, O. (2013) “Hisse Senedi Getirilerini Etkileyen Makroekonomik
Değişkenler 2002-2012 Türkiye Örneği”, Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, Sayı
35,167-176

Koenker, R., and Bassett Jr, G. (1978) “Regression Quantiles”, Econometrica: Journal of the
Econometric Society, 33-50.

Koenker, R. (2005) “Quantile Regression”, Cambridge University Press, USA.

Koenker, R., and Hallock, K.F. (2001) “Quantile Regression: An Introduction”, Journal of Economic
Perspectives, 15, 143–156.

Kumar, N. P., and P. Padhi. (2012) “The Impact of Macroeconomic Fundamentals on Stock Prices
Revisited: An Evidence from Indian Data”, Munich Personal Repec Archive MPRA Paper No.
38980, 1–24.

Kundu, S., and Paul, A. (2022) “Effect of Economic Policy Uncertainty on Stock Market Return and
Volatility Under Heterogeneous Market Characteristics”, International Review of Economics &
Finance, 80, 597-612.

Kwiatkowski, D., Phillips, P. C., Schmidt, P., and Shin, Y. (1992) “Testing the Null Hypothesis of
Stationarity Against the Alternative of A Unit Root: How Sure Are We That Economic Time
Series Have A Unit Root?”, Journal of Econometrics, 54(1-3), 159-178.

Kwon, C. S., and T. S. Shin. (1999) “Cointegration and Causality Between Macroeconomic Variables
and Stock Market Returns”, Global Finance Journal ,10(1), 71–81.

Maskay, B. (2007) “Analyzing the Effect of Change in Money Supply on Stock Prices”, The Park Place
Economist, 15(1), 72-79.

Mensi, W., Hammoudeh, S., Reboredo, J. C., and Nguyen, D. K. (2014) “Do Global Factors Impact
BRICS Stock Markets? A Quantile Regression”, Approach. Emerging Markets Review, 19, 1-17.

Nusair, S. A., and Al-Khasawneh, J. A. (2023) “Changes in Oil Price and Economic Policy Uncertainty
and the G7 Stock Returns: Evidence from Asymmetric Quantile Regression Analysis”, Economic
Change and Restructuring, 56(3), 1849-1893.

Obben, J., Pech, A., and Shakur, S. (2006) “Analysis of the Relationship Between the Share Market
Performance and Exchange Rates in New Zealand: A Cointegrating VAR Approach”, New
Zealand Economic Papers, 40(2), 147- 180.

Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research 157
 Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research
Cilt/Volume: 23 Sayı/Issue: 1 Mart/March 2025 ss. /pp. 139-159
Z. R. Yaşar, http://dx.doi.org/10.11611/yead.1621178

Paule-Vianez, J., Gómez-Martínez, R.,and Prado-Román, C. (2020a) “Effect of Economic and Monetary
Policy Uncertainty on Stock Markets. Evidence on Return, Volatility and Liquidity”, Economics
Bulletin, 40(2), 1261–1271.

Paule-Vianez, J., Prado-Román, C., and Gómez-Martínez, R. (2020b) “Monetary Policy Uncertainty
and Stock Market Returns: Influence of Limits to Arbitrage and the Economic Cycle”, Studies in
Economics and Finance, 37(4), 777–798.

Pearce, D. K., and Roley, V. V. (1984) “Stock Prices and Economic News (No. W1296)”, National
Bureau of Economic Research.

Phillips, P. C. B., and Perron, P. (1988) “Testing for A Unit Root in Time Series Regression”,
Biometrika,75, 335-346.

Ratanapakorn, O., and S. C. Sharma. (2007) “Dynamic Analysis Between The US Stock Returns and
the Macroeconomic Variables”, Applied Financial Economics, 17(5), 369–377.

Sellin, P. (2001) “Monetary Policy and the Stock Market: Theory and Empirical Evidence”, Journal of
Economic Surveys, 15, 491–541.

Schlitzer, G. (1995) “Testing the Stationarity of Economic Time Series: Further Monte Carlo Evidence”,
Ricerche Economiche, 49,125-144.

Taamouti, A. (2015) “Stock Market’s Reaction to Money Supply: A Nonparametric Analysis”, Studies
in Nonlinear Dynamics & Econometrics, 19(5), 669-689.

Tian, G. G., and Ma, S. (2010) “The Relationship Between Stock Returns and the Foreign Exchange
Rate: The ARDL Approach”, Journal of the Asia Pacific Economy, 15(4), 490-508.

Thorbecke, W. (1997) “On Stock Market Returns and Monetary Policy”, Journal of Finance, 52(2), 635–
654.

Uğurlu-Yıldırım, E., Kocaarslan, B., and Ordu-Akkaya, B. M. (2021) “Monetary Policy Uncertainty,
Investor Sentiment, and US Stock Market Performance: New Evidence from Nonlinear
Cointegration Analysis”, International Journal of Finance and Economics, 26(2), 1724–1738.

Ülkü, N., and Demirci, E. (2012) “Joint Dynamics of Foreign Exchange and Stock Markets in Emerging
Europe”, Journal of International Financial Markets, Institutions & Money, 22, 55–86.

Wen, F., Shui, A., Cheng, Y., and Gong, X. (2022) “Monetary Policy Uncertainty and Stock Returns in
G7 and BRICS Countries: A Quantile-on-Quantile Approach”, International Review of
Economics and Finance, 78, 457–482.

Wiedmann, M. (2011) “Springer Science & Business Media”.

Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research 158
 Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research
Cilt/Volume: 23 Sayı/Issue: 1 Mart/March 2025 ss. /pp. 139-159
Z. R. Yaşar, http://dx.doi.org/10.11611/yead.1621178

Wong, H. T. (2017) “Real Exchange Rate Returns and Real Stock Price Returns”, International Review
of Economics and Finance, 49, 340–352.

Wu, C. F. J. (1986) “Jackknife, Bootstrap and Other Resampling Methods in Regression Analysis”, The
Annals of Statistics, 14(4), 1261-1295.

You, W., Guo, Y., Zhu, H., and Tang, Y. (2017) “Oil Price Shocks, Economic Policy Uncertainty and
Industry Stock Returns in China: Asymmetric Effects with Quantile Regression”, Energy
Economics, 68, 1-18.

Yuan, D., Li, S., Li, R., and Zhang, F. (2022) “Economic Policy Uncertainty, Oil and Stock Markets in
BRIC: Evidence from Quantiles Analysis”, Energy Economics, 110, 105972.

Oyadeyi, O. (2024) “Banking Innovation, Financial Inclusion and Economic Growth in Nigeria”,
Journal of the Knowledge Economy, 15, 7014–7043. Https://Doi.Org/10.1007/S13132-023-
01396-5

Hakem Değerlendirmesi: Dış bağımsız.

Çıkar Çatışması: Yazar çıkar çatışması bildirmemiştir.
Finansal Destek:. Yazar bu çalışma için finansal destek almadığını beyan etmiştir.
Teşekkür: -

Peer-review: Externally peer-reviewed.

Conflict of Interest: The author has no conflict of interest to declare.
Grant Support: The author declared that this study has received no financial support.
Acknowledgement: -

Yönetim ve Ekonomi Araştırmaları Dergisi / Journal of Management and Economics Research 159