Ekonomik Politika Belirsizliği İle Borsa Getirileri Arasındaki Nedensellik İlişkisi

Year 2019, Cilt: 23 Özel Sayı, 2239 - 2251, 31.12.2019

Merve Karacaer Ulusoy , Burak Pirgaip

Abstract

Finansal piyasaların küresel
ekonomideki önemli ölçüde artan rolü göz önüne alındığında, hisse senedi
fiyatlarının ekonomik politika belirsizliğindeki (EPB) değişimlere nasıl tepki
verdiğiyle ilgili çeşitli ampirik çalışmalar bulunmaktadır. Bu çalışma EPB ve
borsa getirileri arasındaki ilişkiyi ölçmek için bootstrap panel Granger
nedensellik yaklaşımı kullanarak literature katkıda bulunmaktadır. Sonuçlar,
gelişmekte olan piyasalar bağlamında tetikleyici rolü borsaların belirlediğini,
gelişmiş piyasaların çoğunda ise EPB ile borsa getirileri arasında herhangi bir
nedensellik ilişkisi olmadığını ortaya koymuştur. 

Keywords

Ekonomik politika belirsizliği, borsa getirileri, , Panel Granger nedensellik, gelişmekte olan piyasalar, gelişmiş piyasalar

The Causal Relationship between Economic Policy Uncertainty and Stock Market Returns

Abstract

Given the substantially increased
role of financial markets in the global economy, there is a various empirical
evidence regarding how stock prices respond to changes in economic policy
uncertainty (EPU). This study contributes to the literature by employing a
bootstrap panel Granger causality approach on the relationship between EPU and
stock market returns. The results, provide insight into the fact that it may
indeed be the stock market that plays the triggering role in the context of
emerging markets and for majority of developed markets there is no causal
relationship between EPU and stock market returns. 

Keywords

Economic policy uncertainty, stock market returns, Panel Granger causality, emerging markets, developed markets

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