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Hisse Senedi Piyasası İle Ekonomik Politika Belirsizliği Arasındaki İlişki: Gelişmiş ve Gelişmekte Olan Bazı Ülkeler Üzerine Bir Uygulama

Year 2022, Volume: 7 Issue: Özel Sayı, 178 - 193, 24.10.2022
https://doi.org/10.30784/epfad.1160794

Abstract

Küresel sistem içerisinde meydana gelen savaş, kriz, siyasi seçim gibi faktörler ulusal ve uluslararası piyasalarda belirsizlikler yaratmaktadır. Ortaya çıkan belirsizlikler, makroekonomik büyüklüklere ilişkin olarak ülkelerin alacağı kararlar üzerinde önemli etkiler yaratmakta ve ekonomi politikası açısından ülkeleri belirsizliğe sürükleyebilmektedir. Belirsizlik ortamında yatırımcıların ekonomiye güveni azalabilmekte ve bu durumdan hisse senedi piyasaları da olumsuz etkilenebilmektedir. Bu çalışmada ekonomi politikasında yaşanan belirsizlikler ile hisse senedi piyasaları arasındaki ilişkinin incelenmesi amaçlanmaktadır. Bu doğrultuda gelişmiş ve gelişmekte olan bazı ülkelerde (ABD, Avustralya, Belçika, Brezilya, Çin, Hindistan, Hong Kong, İngiltere, İrlanda, Japonya, Kanada, Meksika, Pakistan, Rusya, Şili) Ağustos 2010 – Şubat 2022 dönemini kapsayan aylık veriler ve panel nedensellik analizi kullanılarak bir araştırma yapılmıştır. Yatay kesit bağımlılığını ve heterojenliği dikkate alan panel nedensellik analizi; Japonya’da ekonomik politika belirsizliğinin hisse senedi piyasasını etkilediğini; ABD, Avustralya, Brezilya, İngiltere, İrlanda, Meksika, Pakistan’da ise hisse senedi piyasasının ekonomik politika belirsizliğini etkilediğini ve Kanada’da ise her iki sektörün de birbirini etkilediğini göstermektedir.

References

  • Algaba, A., Borms, S., Boudt, K. and Pelt, J.V. (2020). The economic policy uncertainty index for Flanders, Wallonia and Belgium (BFW Digitaal/RBF Numerique, 2020/6). Retrieved from https://sentometrics.com/papers/WP6.pdf
  • Algahtani, A. and Martinez, M. (2020). US economic policy uncertainty and GCC stock market. Asia-Pacific Financial Markets, 27, 415-425. https://doi.org/10.1007/s10690-019-09300-5
  • Arbatli, E., Davis, S.J., Ito, A. and Miake, N. (2017). Policy uncertainty in Japan (NBER Working Paper No. 23411). Retrieved from https://www.nber.org/system/files/working_papers/w23411/w23411.pdf
  • Baker, S.R., Bloom, N. and Davis, S.J and Wang, X. (2013). A measure of economic policy uncertainty for China. Chicago: University of Chicago.
  • Baker, S.R., Bloom, N. and Davis, S.J. (2016). Measuring economic policy uncertainty. Quarterly Journal of Economics, 131(4), 1593-1636. https://doi.org/10.1093/qje/qjw024
  • Breitung, J. (2005). A parametric approach to the estimation of cointegration vectors in panel data. Econometric Reviews, 24(2), 151-173. https://doi.org/10.1081/ETC-200067895
  • Breusch, T.S. and Pagan, A.R. (1980). The Lagrange multiplier test and its applications to model specification in econometrics. The Review of Economic Studies, 47(1), 239-253. https://doi.org/10.2307/2297111
  • Cerda, R., Silva, A. and Valente, J.T. (2016). Economic policy uncertainty indices for Chile (Economic Policy Uncertainty Working Paper). Retrieved from https://www.policyuncertainty.com/chile_monthly.html
  • Choudhary, A.A., Faroog, P. and Mohsin, W. (2020). Measuring economic policy uncertainty in Pakistan (MPRA Paper No. 100013). Retrieved from https://mpra.ub.uni-muenchen.de/100013/
  • Christou, C., Cunado, J., Gupta, R. and Hassapis, C. (2017). Economic policy uncertainty and stock market returns in Pacific Rim countries: Evidence based on a Bayesian panel VAR model. Journal of Multinational Financial Management, 40, 92-102. http://dx.doi.org/10.1016/j.mulfin.2017.03.001
  • Dash, S.R., Maitra, D., Debata, B. and Mahakud, J. (2019). Economic policy uncertainty and stock market liquidity: Evidence from G7 countries. International Review of Finance, 21, 611–626. doi:10.1111/irfi.12277
  • Economic Policy Uncertainty. (2022). Monthly EPU indices for 22 countries [Dataset]. Retrieved from https://www.policyuncertainty.com
  • Eğilmez, M. (2011). Ekonomi politikası teori ve Türkiye uygulaması (15. bs.). İstanbul: Remzi Kitabevi.
  • Gemici, E. (2020). Ekonomi politikası belirsizliği ile G7 ülke borsaları arasındaki ilişki. Bingöl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 20, 353-372. https://doi.org/10.29029/busbed.732124
  • Investing.com. (2022). Dünya ve sektör endeksleri [Veri seti]. Erişim adresi: https://tr.investing.com/indices/world-indices
  • Kar, M., Nazlıoğlu, Ş. ve Ağır, H. (2011). Financial development and economic growth nexus in the MENA countries: Bootstrap panel granger causality analysis. Economic Modelling, 28, 685-693. doi:10.1016/j.econmod.2010.05.015
  • Kara, H.T. (2019). Global economic policy uncertainty and its effects on selected emerging market countries (Yayımlanmamış Doktora Tezi). Ankara Yıldırım Beyazıt Üniversitesi Sosyal Bilimler Enstitüsü, Ankara.
  • Konya, L. (2006). Exports and growth: Granger causality analysis on OECD countries with panel data approach. Economic Modelling, 23(6), 978-992. https://doi.org/10.1016/j.econmod.2006.04.008
  • Li, X-M. and Peng, L. (2017). US economic policy uncertainty and co-movements between Chinese and US stock markets. Economic Modelling, 61, 27-39. http://dx.doi.org/10.1016/j.econmod.2016.11.019
  • Luk, P., Cheng, M., Ng, P. and Wong, K. (2017). Economic policy uncertainty spillovers in small open economies: The case of Hong Kong. Pacific Economic Review, 25(1), 21-46. https://doi.org/10.1111/1468-0106.12283
  • Ma, Y., Wang, Z. and He, F. (2022). How do economic policy uncertainties affect stock market volatility? Evidence from G7 countries. International Journal of Finance & Economics, 27(2), 2303-2325. https://doi.org/10.1002/ijfe.2274
  • Menyah, K., Nazlıoğlu, Ş. and. Rufael, Y.W. (2014). Financial development, trade openness and economic growth in African countries: New insight from a panel causality approach. Economic Modelling, 37, 386-394. http://dx.doi.org/10.1016/j.econmod.2013.11.044
  • Pesaran, H.H. (2021). General diagnostic tests for cross-sectional dependence in panels. Empirical Economics, 60, 13-50. https://doi.org/10.1007/s00181-020-01875-7
  • Pesaran, H.M. (2004). General diagnostic tests for cross section dependence in panels (IZA Discussion Paper No. 1240). Retrieved from http://repec.iza.org/dp1240.pdf
  • Pesaran, H.M., Ullah, A. and. Yamagata, T. (2008). A bias – adjusted LM test of error cross section independence. The Econometrics Journal, 11(1), 105-127. https://doi.org/10.1111/j.1368-423X.2007.00227.x
  • Riaz, A., Homgbing, O., Hashmi, S.H. and. Khan, M.A. (2018). The impact of economic policy uncertainty on US transportation sector stock returns. International Journal of Academic Research in Accounting, Finance and Management Sciences, 8(4), 163-170. http://dx.doi.org/10.6007/IJARAFMS/v8-i4/5500
  • Sum, V. (2012). The effect of economic policy uncertainty in the US on the stock market performance in Canada and Mexico. International Journal of Economics and Finance, 4(11), 165-171. http://dx.doi.org/10.5539/ijef.v4n11p165
  • Wu, T-P., Liu S.-B. and Hsueh, S.-J. (2016). The causal relationship between economic policy uncertainty and stock market: A panel data analysis. International Economic Journal, 30(1), 109-122. https://doi.org/10.1080/10168737.2015.1136668
  • Zalla, R. (2016). Economic policy uncertainty in Ireland (Policy Uncertainty Working Paper). Retrieved from https://www.policyuncertainty.com/ireland_monthly.html

The Relationship between the Stock Markets and Economic Policy Uncertainty: An Application on Some Developed and Developing Countries

Year 2022, Volume: 7 Issue: Özel Sayı, 178 - 193, 24.10.2022
https://doi.org/10.30784/epfad.1160794

Abstract

Factors such as war, crisis, and political election occurring in the global system create uncertainties in national and international markets. Emerging uncertainties have important effects on the decisions to be taken by countries regarding macroeconomic aggregates and may lead countries to uncertainty in terms of economic policy. In an environment of uncertainty, investors' confidence in the economy may decrease and stock markets may be adversely affected by this situation. In this study, it is aimed to examine the relationship between the economic policy uncertainty and stock markets. Accordingly, a study was conducted using panel causality analysis and monthly data covering the period from August 2010 to February 2022 in some developed and developing countries (USA, Australia, Belgium, Brazil, China, India, Hong Kong, England, Ireland, Japan, Canada, Mexico, Pakistan, Russia, Chile). Panel causality analysis, which considers cross-sectional dependence and heterogeneity, shows that economic policy uncertainty affects the stock market in Japan, the stock market affects the economic policy uncertainty in the USA, Australia, Brazil, England, Ireland, Mexico, Pakistan, and both sectors affect each other in Canada.

References

  • Algaba, A., Borms, S., Boudt, K. and Pelt, J.V. (2020). The economic policy uncertainty index for Flanders, Wallonia and Belgium (BFW Digitaal/RBF Numerique, 2020/6). Retrieved from https://sentometrics.com/papers/WP6.pdf
  • Algahtani, A. and Martinez, M. (2020). US economic policy uncertainty and GCC stock market. Asia-Pacific Financial Markets, 27, 415-425. https://doi.org/10.1007/s10690-019-09300-5
  • Arbatli, E., Davis, S.J., Ito, A. and Miake, N. (2017). Policy uncertainty in Japan (NBER Working Paper No. 23411). Retrieved from https://www.nber.org/system/files/working_papers/w23411/w23411.pdf
  • Baker, S.R., Bloom, N. and Davis, S.J and Wang, X. (2013). A measure of economic policy uncertainty for China. Chicago: University of Chicago.
  • Baker, S.R., Bloom, N. and Davis, S.J. (2016). Measuring economic policy uncertainty. Quarterly Journal of Economics, 131(4), 1593-1636. https://doi.org/10.1093/qje/qjw024
  • Breitung, J. (2005). A parametric approach to the estimation of cointegration vectors in panel data. Econometric Reviews, 24(2), 151-173. https://doi.org/10.1081/ETC-200067895
  • Breusch, T.S. and Pagan, A.R. (1980). The Lagrange multiplier test and its applications to model specification in econometrics. The Review of Economic Studies, 47(1), 239-253. https://doi.org/10.2307/2297111
  • Cerda, R., Silva, A. and Valente, J.T. (2016). Economic policy uncertainty indices for Chile (Economic Policy Uncertainty Working Paper). Retrieved from https://www.policyuncertainty.com/chile_monthly.html
  • Choudhary, A.A., Faroog, P. and Mohsin, W. (2020). Measuring economic policy uncertainty in Pakistan (MPRA Paper No. 100013). Retrieved from https://mpra.ub.uni-muenchen.de/100013/
  • Christou, C., Cunado, J., Gupta, R. and Hassapis, C. (2017). Economic policy uncertainty and stock market returns in Pacific Rim countries: Evidence based on a Bayesian panel VAR model. Journal of Multinational Financial Management, 40, 92-102. http://dx.doi.org/10.1016/j.mulfin.2017.03.001
  • Dash, S.R., Maitra, D., Debata, B. and Mahakud, J. (2019). Economic policy uncertainty and stock market liquidity: Evidence from G7 countries. International Review of Finance, 21, 611–626. doi:10.1111/irfi.12277
  • Economic Policy Uncertainty. (2022). Monthly EPU indices for 22 countries [Dataset]. Retrieved from https://www.policyuncertainty.com
  • Eğilmez, M. (2011). Ekonomi politikası teori ve Türkiye uygulaması (15. bs.). İstanbul: Remzi Kitabevi.
  • Gemici, E. (2020). Ekonomi politikası belirsizliği ile G7 ülke borsaları arasındaki ilişki. Bingöl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 20, 353-372. https://doi.org/10.29029/busbed.732124
  • Investing.com. (2022). Dünya ve sektör endeksleri [Veri seti]. Erişim adresi: https://tr.investing.com/indices/world-indices
  • Kar, M., Nazlıoğlu, Ş. ve Ağır, H. (2011). Financial development and economic growth nexus in the MENA countries: Bootstrap panel granger causality analysis. Economic Modelling, 28, 685-693. doi:10.1016/j.econmod.2010.05.015
  • Kara, H.T. (2019). Global economic policy uncertainty and its effects on selected emerging market countries (Yayımlanmamış Doktora Tezi). Ankara Yıldırım Beyazıt Üniversitesi Sosyal Bilimler Enstitüsü, Ankara.
  • Konya, L. (2006). Exports and growth: Granger causality analysis on OECD countries with panel data approach. Economic Modelling, 23(6), 978-992. https://doi.org/10.1016/j.econmod.2006.04.008
  • Li, X-M. and Peng, L. (2017). US economic policy uncertainty and co-movements between Chinese and US stock markets. Economic Modelling, 61, 27-39. http://dx.doi.org/10.1016/j.econmod.2016.11.019
  • Luk, P., Cheng, M., Ng, P. and Wong, K. (2017). Economic policy uncertainty spillovers in small open economies: The case of Hong Kong. Pacific Economic Review, 25(1), 21-46. https://doi.org/10.1111/1468-0106.12283
  • Ma, Y., Wang, Z. and He, F. (2022). How do economic policy uncertainties affect stock market volatility? Evidence from G7 countries. International Journal of Finance & Economics, 27(2), 2303-2325. https://doi.org/10.1002/ijfe.2274
  • Menyah, K., Nazlıoğlu, Ş. and. Rufael, Y.W. (2014). Financial development, trade openness and economic growth in African countries: New insight from a panel causality approach. Economic Modelling, 37, 386-394. http://dx.doi.org/10.1016/j.econmod.2013.11.044
  • Pesaran, H.H. (2021). General diagnostic tests for cross-sectional dependence in panels. Empirical Economics, 60, 13-50. https://doi.org/10.1007/s00181-020-01875-7
  • Pesaran, H.M. (2004). General diagnostic tests for cross section dependence in panels (IZA Discussion Paper No. 1240). Retrieved from http://repec.iza.org/dp1240.pdf
  • Pesaran, H.M., Ullah, A. and. Yamagata, T. (2008). A bias – adjusted LM test of error cross section independence. The Econometrics Journal, 11(1), 105-127. https://doi.org/10.1111/j.1368-423X.2007.00227.x
  • Riaz, A., Homgbing, O., Hashmi, S.H. and. Khan, M.A. (2018). The impact of economic policy uncertainty on US transportation sector stock returns. International Journal of Academic Research in Accounting, Finance and Management Sciences, 8(4), 163-170. http://dx.doi.org/10.6007/IJARAFMS/v8-i4/5500
  • Sum, V. (2012). The effect of economic policy uncertainty in the US on the stock market performance in Canada and Mexico. International Journal of Economics and Finance, 4(11), 165-171. http://dx.doi.org/10.5539/ijef.v4n11p165
  • Wu, T-P., Liu S.-B. and Hsueh, S.-J. (2016). The causal relationship between economic policy uncertainty and stock market: A panel data analysis. International Economic Journal, 30(1), 109-122. https://doi.org/10.1080/10168737.2015.1136668
  • Zalla, R. (2016). Economic policy uncertainty in Ireland (Policy Uncertainty Working Paper). Retrieved from https://www.policyuncertainty.com/ireland_monthly.html
There are 29 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Makaleler
Authors

Arzu Özmerdivanlı 0000-0002-2120-3312

İkbal Karatşlı 0000-0002-7847-4359

Publication Date October 24, 2022
Acceptance Date October 3, 2022
Published in Issue Year 2022 Volume: 7 Issue: Özel Sayı

Cite

APA Özmerdivanlı, A., & Karatşlı, İ. (2022). Hisse Senedi Piyasası İle Ekonomik Politika Belirsizliği Arasındaki İlişki: Gelişmiş ve Gelişmekte Olan Bazı Ülkeler Üzerine Bir Uygulama. Ekonomi Politika Ve Finans Araştırmaları Dergisi, 7(Özel Sayı), 178-193. https://doi.org/10.30784/epfad.1160794