How uncertainty transmits across Turkish equity sectors

Abstract

In this study we investigate the asymmetric and state-dependent transmission of the Economic Country-Specific Uncertainty Index (ECSUI) for Türkiye to sectoral equity returns on the Borsa Istanbul using a quantile-on-quantile connectedness framework and monthly data from 2006 to 2024. The results show that the ECSUI consistently operates as a dominant net transmitter of negative shocks, with substantial heterogeneity across sectors. Technology exhibits the greatest vulnerability, followed by Industrials and Services, while Banks and Financials demonstrate comparatively moderate but still meaningful exposure. Dynamic spillover patterns intensify during major stress events including the 2018 currency crisis and the COVID-19 pandemic, confirming that uncertainty-driven contagion becomes most pronounced under tail conditions. Overall, the findings highlight policy credibility and transparent macroeconomic governance's critical role in mitigating uncertainty propagation and strengthening sectoral resilience in emerging markets.