The Response of ETF Markets to Global Uncertainty Shocks: Evidence from Newly Industrialized Countries

Authors : Fazlı Irmak

Pages : 377-395

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Publication Date : 2025-12-19

Article Type : Research Paper

Abstract :This study investigates the short- and long-term relationships between iShares MSCI ETF funds in newly industrialized countries and the global risk and uncertainty indicators represented by the VIX index, gold (ONS), and Brent oil volatility. Using monthly data for the period from February 2012 to April 2025, the Johansen cointegration test and the Vector Error Correction Model (VECM) are applied. The empirical findings reveal a significant and negative long-run relationship between ETFs and the VIX index for most countries. While gold volatility generates positive effects in some markets, Brent oil volatility adversely affects ETF prices, particularly in energy-importing economies. The short-run analyses indicate that ETF prices in Brazil, Indonesia, the Philippines, Malaysia, Thailand, and Turkey are negatively influenced by volatility shocks. Conversely, short-run responses to VIX and gold volatility differ across countries. The error-correction coefficients demonstrate that short-term deviations from equilibrium tend to adjust in the long run-in certain markets. Overall, the results suggest that ETF markets in newly industrialized countries are highly sensitive to global risk and uncertainty; however, the magnitude of this sensitivity varies depending on country-specific factors such as energy dependence and financial depth. These findings emphasize the importance of designing country-specific risk management strategies for both investors and policymakers.
Keywords : Borsa Yatırım Fonları (ETF), Yeni sanayileşen Ülkeler, Küresel Belirsizlik, VECM

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