EKONOMİK POLİTİKA BELİRSİZLİĞİ VE BORSA İLİŞKİSİ: G7 VE BRIC ÜLKELERİ ÖRNEĞİ

Samet Gürsoy; Feyyaz Zeren

doi:10.18070/erciyesiibd.986321

Research Article

EKONOMİK POLİTİKA BELİRSİZLİĞİ VE BORSA İLİŞKİSİ: G7 VE BRIC ÜLKELERİ ÖRNEĞİ

Year 2022, Issue: 61, 353 - 368, 29.04.2022

Samet Gürsoy , Feyyaz Zeren

https://doi.org/10.18070/erciyesiibd.986321

Cited By: 8

Abstract

Bugün dünya üzerinde işlem yapılan tüm piyasalar için risk ve belirsizlik büyük önem arz etmektedir. Özellikle finansal piyasaların en aktif pazarları olan ülke borsalarında bu durum daha belirgin olarak görülebilmektedir. Hatta dünyanın önde gelen ülke borsalarında gerçekleşen ekonomik, politik, finansal belirsizliklerin birçok ülke borsalarında getiri kaybına sebep olmaktadır. Bu çalışmada ise seçili gelişmiş ve gelişmekte olan ülkelerde))))) bu durum araştırılmak istenmiştir. Buna bağlı olarak Ocak 2015-Kasım 2020 dönemleri arasında G7 ve BRIC ülkelerinde her ülke için hesaplanan ekonomik politik belirsizlik endeksi (EPU) ile ülkelerin borsaları arasında bir ilişkinin varlığı sorgulanmıştır. Konya panel nedensellik testi kullanılarak yapılan analizler neticesinde, panellerin genelinde EPU’dan borsalara doğru tek yönlü nedensellik olduğu görülmüştür. Elde edilen sonuçlar ülkeler bazında değerlendirildiğinde İngiltere, Amerika ve Brezilya için EPU endeksinden Borsalara doğru tek yönlü bir nedensellik gerçekleşirken, yalnızca Almanya için iki yönlü bir nedenselliğin varlığı tespit edilmiştir. Bunun dışından diğer ülkelerde herhangi bir nedensellik bulgusuna rastlanmamıştır.

Keywords

Ekonomik Politika Belirsizliği, Borsa, Konya Panel Nedensellik Testi, G7, BRIC

References

Arouri, M., Rault, C. ve Teulon, F. (2014). Economic policy uncertainty, oil price shocks and GCC stock markets. Economics Bulletin, 34(3), 1822–1834. https://ideas.repec.org/a/ebl/ecbull/eb-14-00507.html adresinden erişildi.
Azız, T., Marwat, J., Mustafa, S. ve Kumar, V. (2020). Impact of economic policy uncertainty and macroeconomic factors on stock market volatility: Evidence from islamic indices. The Journal of Asian Finance, Economics and Business, 7(12), 683–692. doi:10.13106/jafeb.2020.vol7.no12.683
Baker, S. R., Bloom, N. ve Davis, S. J. (2011). Policy uncertainty : A new indicator. Chicago Booth Research Paper, 21–23.
Baker, S. R., Bloom, N. ve Davis, S. J. (2013). Measuring economic policy uncertainty.
Baker, S. R., Bloom, N. ve Davis, S. J. (2016). Measuring economic policy uncertainty.
Bloom, N. (2014). Fluctuations in uncertainty. Journal of Economic Perspectives, 28(2), 153–176. doi:10.1257/jep.28.2.153
Chang, T., Chen, W. Y., Gupta, R. ve Nguyen, D. K. (2015). Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test. Economic Systems, 39(2), 288–300. doi:10.1016/j.ecosys.2014.10.005
Christou, C., Cunado, J., Gupta, R. ve Hassapis, C. (2017). Economic policy uncertainty and stock market returns in pacificrim countries: Evidence based on a bayesian panel VAR model. Journal of Multinational Financial Management, 40, 92–102. doi:10.1016/j.mulfin.2017.03.001
Davis, S. (2016). An index of global economic policy uncertainty. National Bureau of Economic Research. doi:10.3386/w22740
Dong, X. ve Yoon, S.-M. (2019). What global economic factors drive emerging Asian stock market returns? Evidence from a dynamic model averaging approach. Economic Modelling, 77, 204–215. doi:10.1016/j.econmod.2018.09.003
Ersan, O., Akron, S. ve Demir, E. (2019). The effect of European and global uncertainty on stock returns of travel and leisure companies. Tourism Economics, 25(1), 51–66. doi:10.1177/1354816618792398
FOMC. (2009). Federal açık piyasa komitesi tutanakları. 20 Aralık 2020 tarihinde https://www.federalreserve.gov/monetarypolicy/fomcminutes20091216.htm adresinden erişildi.
Gemici, E. (2020). Ekonomi politikası belirsizliği ile G7 ülke borsaları arasındaki ilişki. Bingöl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 10(20), 353–372. doi:10.29029/busbed.732124
Growth, S. (2012). World Economic Outlook, October 2012: Coping with high debt and sluggish growth. World Economic Outlook, October 2012: Coping with high debt and sluggish growth. Internatıonal monetary fund. doi:10.5089/9781616354299.081
Guo, P., Zhu, H. ve You, W. (2018). Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach. Finance Research Letters, 25, 251–258. doi:10.1016/j.frl.2017.11.001
Hoque, M. E. ve Zaidi, M. A. S. (2019). The impacts of global economic policy uncertainty on stock market returns in regime switching environment: Evidence from sectoral perspectives. International Journal of Finance and Economics, 24(2), 991–1016. doi:10.1002/ijfe.1702
Investing.com yatırım portalı, Erişim Adresi: https://tr.investing.com/, Erişim Tarihi: 01.04.2021
Konya, L. (2006). “Exports and growth: Granger causality analysis on OECD countries with a panel data approach”. Economic Modeling, C.23, ss. 978-992.
Korkmaz, Ö. ve Güngör, S. (2018). Küresel ekonomi politika belirsizliğinin borsa istanbul’da işlem gören seçilmiş endeks getirileri üzerindeki etkisi. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 6(6), 27–28. doi:10.18506/anemon.452749
Li, X., Balcilar, M., Gupta, R. ve Chang, T. (2016). The causal relationship between economic policy uncertainty and stock returns in China and India: Evidence from a bootstrap rolling window approach. Emerging Markets Finance and Trade, 52(3), 674–689. doi:10.1080/1540496X.2014.998564
Policyuncertainty.com veri sitesi Erişim Adresi: policyuncertainty.com, Erişim Tarihi: 01.04.2021
Wu, T.-P., Liu, S.-B. ve 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. doi:10.1080/10168737.2015.1136668
Yu, H., Fang, L. ve Sun, W. (2018). Forecasting performance of global economic policy uncertainty for volatility of Chinese stock market. Physica a: Statistical Mechanics and its Applications, 505, 931–940. doi:10.1016/j.physa.2018.03.083

ECONOMIC POLITICAL UNCERTAINTY AND STOCK MARKET RELATIONSHIP: EVIDENCE FROM G7 AND BRIC COUNTRIES

Year 2022, Issue: 61, 353 - 368, 29.04.2022

Samet Gürsoy , Feyyaz Zeren

https://doi.org/10.18070/erciyesiibd.986321

Cited By: 8

Abstract

Today, risk and uncertainty are of great importance for all markets traded around the world. This situation can be seen more clearly in the stock markets of countries, which are the most active markets of financial markets in particular. In fact, economic, political and financial uncertainties in the world's leading countries' stock exchanges cause loss of returns in the stock markets of many countries. In this study, it is aimed to investigate this situation in selected developed and developing countries. However, it was questioned the existence of a relationship between the economic and political uncertainty index (EPU) calculated for each country in G7 and BRIC countries and the stock markets of the countries in period of the January 2015 and November 2020. As a result of the analysis using the Konya panel causality test, it was observed that there was unidirectional causality from EPU to stock markets throughout the panels. Among these countries, it was found results a unidirectional causality from the EPU index to the Stock Markets for UK, US and Brazil, while a bidirectional causality occurred only for Germany. Apart from this, it was observed that neither unidirectional nor directional causal relationship accurred in other countries.

Keywords

Economic Political Uncertainty, Stock Market, Konya Panel Causality Test, G7, BRIC

References

Arouri, M., Rault, C. ve Teulon, F. (2014). Economic policy uncertainty, oil price shocks and GCC stock markets. Economics Bulletin, 34(3), 1822–1834. https://ideas.repec.org/a/ebl/ecbull/eb-14-00507.html adresinden erişildi.
Azız, T., Marwat, J., Mustafa, S. ve Kumar, V. (2020). Impact of economic policy uncertainty and macroeconomic factors on stock market volatility: Evidence from islamic indices. The Journal of Asian Finance, Economics and Business, 7(12), 683–692. doi:10.13106/jafeb.2020.vol7.no12.683
Baker, S. R., Bloom, N. ve Davis, S. J. (2011). Policy uncertainty : A new indicator. Chicago Booth Research Paper, 21–23.
Baker, S. R., Bloom, N. ve Davis, S. J. (2013). Measuring economic policy uncertainty.
Baker, S. R., Bloom, N. ve Davis, S. J. (2016). Measuring economic policy uncertainty.
Bloom, N. (2014). Fluctuations in uncertainty. Journal of Economic Perspectives, 28(2), 153–176. doi:10.1257/jep.28.2.153
Chang, T., Chen, W. Y., Gupta, R. ve Nguyen, D. K. (2015). Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test. Economic Systems, 39(2), 288–300. doi:10.1016/j.ecosys.2014.10.005
Christou, C., Cunado, J., Gupta, R. ve Hassapis, C. (2017). Economic policy uncertainty and stock market returns in pacificrim countries: Evidence based on a bayesian panel VAR model. Journal of Multinational Financial Management, 40, 92–102. doi:10.1016/j.mulfin.2017.03.001
Davis, S. (2016). An index of global economic policy uncertainty. National Bureau of Economic Research. doi:10.3386/w22740
Dong, X. ve Yoon, S.-M. (2019). What global economic factors drive emerging Asian stock market returns? Evidence from a dynamic model averaging approach. Economic Modelling, 77, 204–215. doi:10.1016/j.econmod.2018.09.003
Ersan, O., Akron, S. ve Demir, E. (2019). The effect of European and global uncertainty on stock returns of travel and leisure companies. Tourism Economics, 25(1), 51–66. doi:10.1177/1354816618792398
FOMC. (2009). Federal açık piyasa komitesi tutanakları. 20 Aralık 2020 tarihinde https://www.federalreserve.gov/monetarypolicy/fomcminutes20091216.htm adresinden erişildi.
Gemici, E. (2020). Ekonomi politikası belirsizliği ile G7 ülke borsaları arasındaki ilişki. Bingöl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 10(20), 353–372. doi:10.29029/busbed.732124
Growth, S. (2012). World Economic Outlook, October 2012: Coping with high debt and sluggish growth. World Economic Outlook, October 2012: Coping with high debt and sluggish growth. Internatıonal monetary fund. doi:10.5089/9781616354299.081
Guo, P., Zhu, H. ve You, W. (2018). Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach. Finance Research Letters, 25, 251–258. doi:10.1016/j.frl.2017.11.001
Hoque, M. E. ve Zaidi, M. A. S. (2019). The impacts of global economic policy uncertainty on stock market returns in regime switching environment: Evidence from sectoral perspectives. International Journal of Finance and Economics, 24(2), 991–1016. doi:10.1002/ijfe.1702
Investing.com yatırım portalı, Erişim Adresi: https://tr.investing.com/, Erişim Tarihi: 01.04.2021
Konya, L. (2006). “Exports and growth: Granger causality analysis on OECD countries with a panel data approach”. Economic Modeling, C.23, ss. 978-992.
Korkmaz, Ö. ve Güngör, S. (2018). Küresel ekonomi politika belirsizliğinin borsa istanbul’da işlem gören seçilmiş endeks getirileri üzerindeki etkisi. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 6(6), 27–28. doi:10.18506/anemon.452749
Li, X., Balcilar, M., Gupta, R. ve Chang, T. (2016). The causal relationship between economic policy uncertainty and stock returns in China and India: Evidence from a bootstrap rolling window approach. Emerging Markets Finance and Trade, 52(3), 674–689. doi:10.1080/1540496X.2014.998564
Policyuncertainty.com veri sitesi Erişim Adresi: policyuncertainty.com, Erişim Tarihi: 01.04.2021
Wu, T.-P., Liu, S.-B. ve 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. doi:10.1080/10168737.2015.1136668
Yu, H., Fang, L. ve Sun, W. (2018). Forecasting performance of global economic policy uncertainty for volatility of Chinese stock market. Physica a: Statistical Mechanics and its Applications, 505, 931–940. doi:10.1016/j.physa.2018.03.083

There are 23 citations in total.

Details

Primary Language	Turkish
Journal Section	Makaleler
Authors	Samet Gürsoy 0000-0003-1020-7438 Feyyaz Zeren 0000-0003-0163-5916
Early Pub Date	April 28, 2022
Publication Date	April 29, 2022
Acceptance Date	January 13, 2022
Published in Issue	Year 2022 Issue: 61

Cite

APA	Gürsoy, S., & Zeren, F. (2022). EKONOMİK POLİTİKA BELİRSİZLİĞİ VE BORSA İLİŞKİSİ: G7 VE BRIC ÜLKELERİ ÖRNEĞİ. Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi(61), 353-368. https://doi.org/10.18070/erciyesiibd.986321

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