Can the Global Economic Uncertainty Index and Twitter Uncertainty Index Be Decision Variables in Portfolio Management Strategies?

Authors : Murat Topcu

Pages : 450-461

View : 61 | Download : 379

Publication Date : 2025-12-19

Article Type : Research Paper

Abstract :The paper examines the relationships between the Twitter-Based Uncertainty Index, the Global Economic Policy Uncertainty Index, and the Turkey BIST Banking Index using the Vector Autoregressive Model (VAR) and Granger causality analysis methods. According to variance decomposition results, 11.11% of the variation in the standard deviation of the BIST bank index is explained by the Global Economic Uncertainty Index, and 1.29% is explained by the Twitter-Based Uncertainty Index. The effects of economic uncertainties on the BIST bank index are moderate. The effect of the Twitter uncertainty index is low and volatile. The effect of the Global Economic Uncertainty Index on the Turkish banking sector index is more dominant than that of the Twitter-Based Uncertainty Index. The market memory of the BIST banking index is short-term against its own shocks, while its market memory is longer-term against economic uncertainties and social media-driven uncertainties. A two-way causality has been identified between the banking sector index and the Global Economic Policy Uncertainty Index, and a one-way causality has been identified from the Twitter-Based Uncertainty Index to the banking sector index. The results of the study can be used by portfolio managers to predict market memory against uncertainty shocks, to support portfolio selection and portfolio risk management decisions in short-term portfolio management strategies based on impact-response results, and to plan and implement periodic timing strategies in response to shocks.
Keywords : Piyasa hafızası, Portföy stratejisi, Ekonomi Politika Endeksi (GEPU), Twitter Belirsizlik Endeksi (TEU), BIST Banka Endeksi (XBANK)

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