Research Article
Analysis of the Relationship between Economic Freedom Index and Stock Market Indices; Evidence from Turkey
Abstract
According to the Heritage
Foundation Economic Freedom Index, Turkey, with a overall score of 65.4, seems
below the regional average. On the other hand, BIST 100 has a good performance
with a nearly %20 rise from 2016 to 2017 except the last nine-month period
performance. The objective of this study is to analyze the causality relationship
between Economic Freedom Index and BIST 100 in the period of 1995-2018 by
employing Fourier KPSS Test and Fourier Granger Causality Test. The results supported
no causality relationship between economic freedom index and stock market
indices in Turkey in the period of 1995-2018.
References
- Becker, R., Enders, W. & Lee, J. (2006). A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks, Journal of Time Series Analysis, 3(5), 381-409.Bekaert, G., Harvey, C.R. & Lundblad, C. (2005). Does Financial Liberalization Spur Growth?, Journal of Financial Economics, 77, 3-55. Chami, R., Fullenkamp, C. & Sharma, S. (2009). A Framework for Financial Market Development, IMF Working Paper, WP/09/156, 1-58. Chen, C.R. & Huang, Y.S. (2009). Economic Freedom, Equity Performance and Market Volatility, International Journal of Accounting and Information Management, 17(2), 189-197.Chen, C.Y, Chen, P. F. &Jin, Q. (2015) Economic Freedom, Investment Flexibility, and Equity Value: A Cross-Country Study, Accounting Review, 90(5), 1839-1870. Easton, S., & Walker, A. (1997). Income, Growth, and Economic Freedom, American Economic Review, 87(2), 328-332. Enders, W. & Jones, P. (2016), “Grain Prices, Oil Prices, and Multiple Smooth Breaks in a VAR”, Studies in Nonlinear Dynamics & Econometrics, 20(4), 399-419.Eldomiaty, T.I., Al Qassemi, T., Mabrouk, A.F. & Abdelghany, L.S. (2015). Economic Freedom and Stock Market Volatility in the MENA Region, Macroeconomics and Finance in Emerging Market Economies, 9(3), 262-283. Gehring, K. (2013). Who Benefits from Economic Freedom? Unraveling the Effect of Economic Freedom on Subjective Well-Being.” World Development, 50, 74-90.
- Hall, J., & Lawson, R. (2014). Economic Freedom of the World: An Accounting of the Literature, Contemporary Economic Policy, 32(1), 1-19.
- Hawkings, J. (2002). Bond Markets and Banks in Emerging Economies, A Chapter in the Development of Bond Markets in Emerging Economies, 11, 42–48. Available at; http://www.bis.org/publ/bppdf/bispap11d.pdf. Helmy, H.E. (2017). The Index of “Economic Independence”: A New Measure of an Economy’s Ability to Survive Unilaterally, Journal of Economic Issues, 51(3), 782-812. Lawson, R.A. (2009), Economic Freedom and the Wealth and Well-Being of Nations, The Annual Proceedings of the Wealth and Well-Being of Nations, 65-80. Available at; https://www.beloit.edu/upton/assets/Lawson.pgs.pdf Luo, Y. (2014). Economic Freedom, Financial Crisis and Stock Volatilities in Emerging Markets, International Journal of Financial Management, 4(1), 1-10. Olson, R. (2014), Using the Index of Economic Freedom A Practical Guide for Citizens and Leaders, The Heritage Foundation, 1-16. Available at; http://thf_media.s3.amazonaws.com/2014/pdf/UsingTheIndexOfEconomicFreedomBooklet.pdf Ozatay, F. & Sak, G. (2002). Financial Liberalization in Turkey. Why Was the Impact on Growth Limited?, Emerging Markets Finance and Trade, 38(5), 6-22. Rejeb, A.B. & Boughrara, A. (2013). Financial Liberalization and Stock Markets Efficiency: New Evidence from Emerging Economies, Emerging Markets Review, 17, 186-208. Smimou, K. & Karabegovic, A. (2010). On the Relationship between Economic Freedom and Equity Returns in the Emerging Markets: Evidence from the Middle East and North Africa (MENA) Stock Markets, Emerging Markets Review, 11(2), 119-151.Stocker, M. (2005). Equity Returns and Economic Freedom, Cato Journal, 25(3), 583-594.Rasiah, D., Ying, T.L. & Solarin, A. (2016), Economic Freedom Index and Stock Returns in Malaysia, Theoretical and Applied Economics, 1(606), 213-236. Miller, T., Kim, A.B. & Roberts, J.M. (2018), 2018 Index of Economic Freedom, The Heritage Foundation, 1-470 Available at; https://www.heritage.org/index/pdf/2018/book/index_2018.pdf
Ekonomik Özgürlük Endeksi ve Hisse Senedi Piyasası Endeksi Arasındaki İlişkinin Analizi; Türkiye Örneği
Abstract
Heritage Ekonomik Özgürlük
Endeksi’ne göre, Türkiye, 65,4 seviyesindeki puanıyla, bölgesel ortalamanın
altında seyretmektedir. Diğer yandan, Türkiye hisse senedi piyasası (BIST100)
endeks değeri, son dokuz aylık performansı hariç tutulduğunda, 2016-2017
döneminde kaydettiği %20’lik artışla olumlu bir performansa sahiptir. Bu
çalışmanın amacı, 1995-2018 döneminde, sözkonusu değişkenlere ait yıllık
verileri kullanarak, Ekonomik Özgürlük Endeksi ile BIST100 arasındaki
nedensellik ilişkisini, Fourier KPSS Testi ve Fourier Granger Nedensellik
Testi’ni kullanarak analiz etmektir. Analiz sonuçları, sözkonusu dönemde,
Türkiye’de, Ekonomik Özgürlük Endeksi ile BIST100 arasında bir nedensellik
ilişkisini desteklememektedir.
Keywords
References
- Becker, R., Enders, W. & Lee, J. (2006). A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks, Journal of Time Series Analysis, 3(5), 381-409.Bekaert, G., Harvey, C.R. & Lundblad, C. (2005). Does Financial Liberalization Spur Growth?, Journal of Financial Economics, 77, 3-55. Chami, R., Fullenkamp, C. & Sharma, S. (2009). A Framework for Financial Market Development, IMF Working Paper, WP/09/156, 1-58. Chen, C.R. & Huang, Y.S. (2009). Economic Freedom, Equity Performance and Market Volatility, International Journal of Accounting and Information Management, 17(2), 189-197.Chen, C.Y, Chen, P. F. &Jin, Q. (2015) Economic Freedom, Investment Flexibility, and Equity Value: A Cross-Country Study, Accounting Review, 90(5), 1839-1870. Easton, S., & Walker, A. (1997). Income, Growth, and Economic Freedom, American Economic Review, 87(2), 328-332. Enders, W. & Jones, P. (2016), “Grain Prices, Oil Prices, and Multiple Smooth Breaks in a VAR”, Studies in Nonlinear Dynamics & Econometrics, 20(4), 399-419.Eldomiaty, T.I., Al Qassemi, T., Mabrouk, A.F. & Abdelghany, L.S. (2015). Economic Freedom and Stock Market Volatility in the MENA Region, Macroeconomics and Finance in Emerging Market Economies, 9(3), 262-283. Gehring, K. (2013). Who Benefits from Economic Freedom? Unraveling the Effect of Economic Freedom on Subjective Well-Being.” World Development, 50, 74-90.
- Hall, J., & Lawson, R. (2014). Economic Freedom of the World: An Accounting of the Literature, Contemporary Economic Policy, 32(1), 1-19.
- Hawkings, J. (2002). Bond Markets and Banks in Emerging Economies, A Chapter in the Development of Bond Markets in Emerging Economies, 11, 42–48. Available at; http://www.bis.org/publ/bppdf/bispap11d.pdf. Helmy, H.E. (2017). The Index of “Economic Independence”: A New Measure of an Economy’s Ability to Survive Unilaterally, Journal of Economic Issues, 51(3), 782-812. Lawson, R.A. (2009), Economic Freedom and the Wealth and Well-Being of Nations, The Annual Proceedings of the Wealth and Well-Being of Nations, 65-80. Available at; https://www.beloit.edu/upton/assets/Lawson.pgs.pdf Luo, Y. (2014). Economic Freedom, Financial Crisis and Stock Volatilities in Emerging Markets, International Journal of Financial Management, 4(1), 1-10. Olson, R. (2014), Using the Index of Economic Freedom A Practical Guide for Citizens and Leaders, The Heritage Foundation, 1-16. Available at; http://thf_media.s3.amazonaws.com/2014/pdf/UsingTheIndexOfEconomicFreedomBooklet.pdf Ozatay, F. & Sak, G. (2002). Financial Liberalization in Turkey. Why Was the Impact on Growth Limited?, Emerging Markets Finance and Trade, 38(5), 6-22. Rejeb, A.B. & Boughrara, A. (2013). Financial Liberalization and Stock Markets Efficiency: New Evidence from Emerging Economies, Emerging Markets Review, 17, 186-208. Smimou, K. & Karabegovic, A. (2010). On the Relationship between Economic Freedom and Equity Returns in the Emerging Markets: Evidence from the Middle East and North Africa (MENA) Stock Markets, Emerging Markets Review, 11(2), 119-151.Stocker, M. (2005). Equity Returns and Economic Freedom, Cato Journal, 25(3), 583-594.Rasiah, D., Ying, T.L. & Solarin, A. (2016), Economic Freedom Index and Stock Returns in Malaysia, Theoretical and Applied Economics, 1(606), 213-236. Miller, T., Kim, A.B. & Roberts, J.M. (2018), 2018 Index of Economic Freedom, The Heritage Foundation, 1-470 Available at; https://www.heritage.org/index/pdf/2018/book/index_2018.pdf
There are 3 citations in total.
Details
| Primary Language | English |
|---|---|
| Journal Section | Articles |
| Authors | |
| Publication Date | April 30, 2019 |
| Submission Date | December 3, 2018 |
| Published in Issue | Year 2019 Issue: 111 |
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