NON-LINEAR IMPACTS OF GLOBAL AND COUNTRY-SPESIFIC GEOPOLITICAL RISKS ON STOCK MARKETS

Year 2022, , 858 - 892, 27.12.2022

Selim Güngör , Elif Erer

https://doi.org/10.36543/kauiibfd.2022.035

Abstract

In this study, it is aimed to investigate the effects of country-specific and global geopolitical risks on stock markets in European Union countries for the period January-1998-February 2022. In this context, global and country-spesific news-based geopolitical risk indices and country stock indices are analyzed with Balcilar et al. (2016)’s non-parametric quantile causality test. The findings revealed that country-specific and global geopolitical risks have a significant effect on stock returns and volatility for Finland, Germany and France. These findings highlight the importance of a strong financial sector that can help the market return to a stable structure that allows local investors to diversify country-specific risks in their portfolios.

Keywords

Geopolitical Risk, Financial Markets, Non-Parametric Quantile Causality

KÜRESEL VE ÜLKEYE ÖZGÜ JEOPOLİTİK RİSKLERİN HİSSE SENEDİ PİYASALARINA DOĞRUSAL OLMAYAN ETKİLERİ

Abstract

Bu çalışmada Ocak-1998-Şubat 2022 dönemi için Avrupa Birliği ülkelerinde küresel ve ülkeye özgü jeopolitik risklerin hisse senedi piyasaları üzerindeki etkilerinin araştırılması amaçlanmıştır. Bu kapsamda, küresel ve ülkeye özgü haber tabanlı jeopolitik risk endeksleri ve ülkelerin hisse senedi endeksleri Balcilar vd. (2016)’nin parametrik olmayan kantil nedensellik testiyle incelenmiştir. Elde edilen bulgular, Finlandiya, Almanya ve Fransa ülkeleri için ülkeye özgü ve küresel jeopolitik risklerin hisse senedi getiri ve volatilitesi üzerinde anlamlı bir etkiye sahip olduğunu ortaya koymuştur. Bu bulgular, piyasanın, yerel yatırımcıların portföylerinde ülkeye özgü riskleri çeşitlendirmelerine izin veren istikrarlı bir yapıya geri dönmesine yardımcı olabilecek güçlü bir finans sektörünün önemini vurgulamaktadır.

Keywords

Jeopolitik risk, finansal piyasalar, parametrik olmayan kantil nedensellik

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