Behavioral Reactions to Uncertainty: VIX and GEPU Effects on Bank Stock Returns

Behavioral Reactions to Uncertainty: VIX and GEPU Effects on Bank Stock Returns | Research Square window.SnipcartSettings = { analytics: { enabled: false } }; (function() { var accessVector = localStorage.getItem('access_vector') || ''; window.dataLayer = window.dataLayer || []; if (accessVector) { window.dataLayer.push({ user: { profile: { profileInfo: { snid: accessVector } } } }); } })(); (function(w,d,s,l,i){w[l]=w[l]||[];w[l].push({'gtm.start':new Date().getTime(),event:'gtm.js'});var f=d.getElementsByTagName(s)[0],j=d.createElement(s),dl=l!='dataLayer'?'&l='+l:'';j.async=true;j.src='https://www.googletagmanager.com/gtm.js?id='+i+dl;f.parentNode.insertBefore(j,f);})(window,document,'script','dataLayer','GTM-K279D39R'); Browse Preprints In Review Journals COVID-19 Preprints AJE Video Bytes Research Tools Research Promotion AJE Professional Editing AJE Rubriq About Preprint Platform In Review Editorial Policies Our Team Advisory Board Help Center Sign In Submit a Preprint Cite Share Download PDF Research Article Behavioral Reactions to Uncertainty: VIX and GEPU Effects on Bank Stock Returns Şaban Onur Viga This is a preprint; it has not been peer reviewed by a journal. https://doi.org/ 10.21203/rs.3.rs-6675518/v1 This work is licensed under a CC BY 4.0 License Status: Posted Version 1 posted You are reading this latest preprint version Abstract This study investigates the relationship between global uncertainty indices and bank stock returnsthrough the lens of behavioral finance. Using monthly data from January 2010 to December2024, the analysis incorporates three regional banking indices—S&P 500 Bank Index (USA), MSCIWorld Banks Index (Global), and BIST XBANK Index (Türkiye)—and two prominent uncertaintyindicators: the Global Economic Policy Uncertainty Index (GEPU) and the CBOE Volatility Index(VIX). While GEPU captures structural macro-level uncertainty through text-based analytics,VIX reflects short-term market sentiment based on option-implied volatility. Econometric methods—includingAugmented Dickey-Fuller (ADF), Pearson correlation, Granger causality, vectorautoregression (VAR), and impulse response functions (IRF)—are employed. Results show thatVIX changes have short-term negative effects, especially in Türkiye. GEPU lacks consistent causaleffects. The findings highlight how volatility shocks shape investor behavior more than policyuncertainty, particularly in emerging markets. JEL Codes: G15, G41, C32, E44, G21 Financial Uncertainty Bank Stock Returns Behavioral Finance VIX Index GEPU Full Text Additional Declarations No competing interests reported. Cite Share Download PDF Status: Posted Version 1 posted You are reading this latest preprint version Research Square lets you share your work early, gain feedback from the community, and start making changes to your manuscript prior to peer review in a journal. As a division of Research Square Company, we’re committed to making research communication faster, fairer, and more useful. We do this by developing innovative software and high quality services for the global research community. Our growing team is made up of researchers and industry professionals working together to solve the most critical problems facing scientific publishing. Also discoverable on Platform About Our Team In Review Editorial Policies Advisory Board Help Center Resources Author Services Accessibility API Access RSS feed Manage Cookie Preferences © Research Square 2026 | ISSN 2693-5015 (online) Privacy Policy Terms of Service Do Not Sell My Personal Information {"props":{"pageProps":{"initialData":{"identity":"rs-6675518","acceptedTermsAndConditions":true,"allowDirectSubmit":true,"archivedVersions":[],"articleType":"Research Article","associatedPublications":[],"authors":[{"id":466541378,"identity":"5ab87b88-bb89-4cdb-a03d-79aa092d53ed","order_by":0,"name":"Şaban Onur Viga","email":"data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAZAAAAAyAQMAAABI0h/eAAAABlBMVEX///8AAABVwtN+AAAACXBIWXMAAA7EAAAOxAGVKw4bAAAA9UlEQVRIiWNgGAWjYNACAwYGfmS+BFFaJBugbB6IFgMidB0gVgu/dI/ZZ56CWnnj4+0PHxe2Hc63Z2A+eJuH4U8+Li2Sc84Yz+YxOG647cwZY+OZbYctexjYkq15GAwsG3BoMbiRY8w4w+AY47YbOWzSvG2HDXgYeMykgVpwugymxX7z/OfPf0O08H8jqIXhg0FN4gYJBjNmqC1seLVIzkgrBmo5kDzjTI6xNM+5dAOew2zGlnMMjHFq4ZdI3syQ8KfOtr/9+MPPPGXWBuztzQ9vvKmQIxQxhyEUIxuQYAY7mIAGBoY6KP2HoMpRMApGwSgYgQAAIRRKxvCxroYAAAAASUVORK5CYII=","orcid":"","institution":"Istanbul Esenyurt University","correspondingAuthor":true,"prefix":"","firstName":"Şaban","middleName":"Onur","lastName":"Viga","suffix":""}],"badges":[],"createdAt":"2025-05-15 20:53:09","currentVersionCode":1,"declarations":"","doi":"10.21203/rs.3.rs-6675518/v1","doiUrl":"https://doi.org/10.21203/rs.3.rs-6675518/v1","draftVersion":[],"editorialEvents":[],"editorialNote":"","failedWorkflow":false,"files":[{"id":85205976,"identity":"dc1dd8d1-a4db-48dd-ae6f-cfcc1b964e08","added_by":"auto","created_at":"2025-06-23 11:32:01","extension":"pdf","order_by":1,"title":"","display":"","copyAsset":false,"role":"manuscript-pdf","size":278821,"visible":true,"origin":"","legend":"","description":"","filename":"BehavioralReactionstoUncertainty.pdf","url":"https://assets-eu.researchsquare.com/files/rs-6675518/v1_covered_b2fa4232-fece-4ad3-8d3f-26e3e40e0d95.pdf"}],"financialInterests":"No competing interests reported.","formattedTitle":"\u003cp\u003eBehavioral Reactions to Uncertainty: VIX and GEPU Effects on Bank Stock Returns\u003c/p\u003e","fulltext":[],"fulltextSource":"","fullText":"","funders":[],"hasAdminPriorityOnWorkflow":false,"hasManuscriptDocX":false,"hasOptedInToPreprint":true,"hasPassedJournalQc":"","hasAnyPriority":false,"hideJournal":true,"highlight":"","institution":"","isAcceptedByJournal":false,"isAuthorSuppliedPdf":true,"isDeskRejected":"","isHiddenFromSearch":false,"isInQc":false,"isInWorkflow":false,"isPdf":true,"isPdfUpToDate":true,"isWithdrawnOrRetracted":false,"journal":{"display":true,"email":"[email protected]","identity":"researchsquare","isNatureJournal":false,"hasQc":true,"allowDirectSubmit":true,"externalIdentity":"","sideBox":"","snPcode":"","submissionUrl":"/submission","title":"Research Square","twitterHandle":"researchsquare","acdcEnabled":true,"dfaEnabled":false,"editorialSystem":"","reportingPortfolio":"","inReviewEnabled":false,"inReviewRevisionsEnabled":true},"keywords":"Financial Uncertainty, Bank Stock Returns, Behavioral Finance, VIX Index, GEPU","lastPublishedDoi":"10.21203/rs.3.rs-6675518/v1","lastPublishedDoiUrl":"https://doi.org/10.21203/rs.3.rs-6675518/v1","license":{"name":"CC BY 4.0","url":"https://creativecommons.org/licenses/by/4.0/"},"manuscriptAbstract":"\u003cp\u003eThis study investigates the relationship between global uncertainty indices and bank stock returnsthrough the lens of behavioral finance. Using monthly data from January 2010 to December2024, the analysis incorporates three regional banking indices—S\u0026amp;P 500 Bank Index (USA), MSCIWorld Banks Index (Global), and BIST XBANK Index (Türkiye)—and two prominent uncertaintyindicators: the Global Economic Policy Uncertainty Index (GEPU) and the CBOE Volatility Index(VIX). While GEPU captures structural macro-level uncertainty through text-based analytics,VIX reflects short-term market sentiment based on option-implied volatility. Econometric methods—includingAugmented Dickey-Fuller (ADF), Pearson correlation, Granger causality, vectorautoregression (VAR), and impulse response functions (IRF)—are employed. Results show thatVIX changes have short-term negative effects, especially in Türkiye. GEPU lacks consistent causaleffects. The findings highlight how volatility shocks shape investor behavior more than policyuncertainty, particularly in emerging markets.\u003c/p\u003e\n\u003cp\u003eJEL Codes: G15, G41, C32, E44, G21\u003c/p\u003e","manuscriptTitle":"Behavioral Reactions to Uncertainty: VIX and GEPU Effects on Bank Stock Returns","msid":"","msnumber":"","nonDraftVersions":[{"code":1,"date":"2025-06-05 23:23:44","doi":"10.21203/rs.3.rs-6675518/v1","editorialEvents":[{"type":"communityComments","content":0}],"status":"published","journal":{"display":true,"email":"[email protected]","identity":"researchsquare","isNatureJournal":false,"hasQc":true,"allowDirectSubmit":true,"externalIdentity":"","sideBox":"","snPcode":"","submissionUrl":"/submission","title":"Research Square","twitterHandle":"researchsquare","acdcEnabled":true,"dfaEnabled":false,"editorialSystem":"","reportingPortfolio":"","inReviewEnabled":false,"inReviewRevisionsEnabled":true}}],"origin":"","ownerIdentity":"6c81fe2d-a36d-44e7-a720-dc486687c8fa","owner":[],"postedDate":"June 5th, 2025","published":true,"recentEditorialEvents":[],"rejectedJournal":[],"revision":"","amendment":"","status":"posted","subjectAreas":[],"tags":[],"updatedAt":"2025-06-23T11:23:48+00:00","versionOfRecord":[],"versionCreatedAt":"2025-06-05 23:23:44","video":"","vorDoi":"","vorDoiUrl":"","workflowStages":[]},"version":"v1","identity":"rs-6675518","journalConfig":"researchsquare"},"__N_SSP":true},"page":"/article/[identity]/[[...version]]","query":{"redirect":"/article/rs-6675518","identity":"rs-6675518","version":["v1"]},"buildId":"XKTyCvWXoU3ODBz1xrDgd","isFallback":false,"isExperimentalCompile":false,"dynamicIds":[84888],"gssp":true,"scriptLoader":[]}