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

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