Jeopolitik Risklerin Parametrik Olmayan Bir Yöntem Kullanarak Borsa Getirileri ve Döviz Kurları Üzerindeki Etkilerinin Bir Analizi

Year 2021, Issue: 89, 237 - 250, 11.01.2021

Eyyüp Ensari Şahin , Halil Arslan

https://doi.org/10.25095/mufad.852174

Cited By: 4

Abstract

Bu çalışma, Jeopolitik Riskin Parametrik Olmayan Nedensellik-Quantiles Test Etme yaklaşımı kullanılarak hisse senedi ve döviz kuru getirileri ve oynaklığı üzerine nedensel bir etkisinin olup olmadığını araştırmaktadır. Jeopolitik Risk bilgisinin ulaşılabilir olduğu 18 gelişmekte olan ülkeden elde edilen aylık Jeopolitik Risk Endeksi, Borsa Endeksi ve USD / ulusal para birimi verilerine dayanarak çeşitli analizler yapılmıştır. Elde edilen sonuçlara göre, jeopolitik risklerin, bu çalışmaya dâhil olan ülkelerin yaklaşık yarısında borsa ve kur getirilerini etkilediği, bu risklerin örneklemdeki tüm ülkelerde borsa ve kur dalgalanması üzerinde önemli bir etkisi olduğu tespit edilmiştir.

Keywords

Jeopolitik Risk, Hisse Endeksleri, Faiz Oranları, Volatilite, Gelişmekte Olan Piyasalar

References

• Abadie, Alberto - Gardeazabal, J Gardeazabal (2008), “Terrorism and the World Economy”, European Economic Review, 52(1), pp.1-27.
• Aghion, Philipp - Bacchetta, Philippe - Rancière, Romain - Rogoff, Kenneth (2009), “Exchange Rate Volatility and Productivity Growth: The Role of Financial Development”, Journal of Monetary Economics, 56(4), pp.494-513.
• Aksoy, Mine (2014), “The Effects of Terrorism on Turkish Stock Market”, Ege Academic Review, 14(1), ss. 31-41.
• Algan, Neşe - Balcılar, Mehmet. - Bal, Hasan. - Manga, Müge (2017), “Terörizmin Türkiye Finansal Piyasaları Üzerine Etkisi: Ampirik Bir Çalışma”, Ege Academic Review, 17(1), ss.147-160.
• Al-Tamimi, Hussein A. Hassan - Ali Abdulla Alwan, - A. A. Abdel Rahman (2011), “Factors Affecting Stock Prices in the UAE Financial Markets”, Journal of Transnational Management, 16(1), pp.3-19.
• Antonakakis, Nikolaos - Gupta, Rangan - Kollias, Christo. - Papadamou, Stephanos (2017), “Geopolitical Risks and the Oil-Stock Nexus Over 1899–2016”, Finance Research Letters, 23, pp.165-173.
• Apergis, Nicholas - Bonato, Matteo - Gupta, Rangan - Clement Kyei (2017), “Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach”, Defence and Peace Economics, doi:10.1080/10242694.2017.1292097.
• Balcilar, Mehmet - Stelios Bekiros - Rangan Gupta (2016), “The Role of News-Based Uncertainty Indices in Predicting Oil Markets: A Hybrid Nonparametric Quantile Causality Method”, Empirical Economics, 53(3), ss.879-889.
• Balcilar, Mehmet - Gupta, Rangan - Pierdzioch, Christian - Wohar, Mark E. (2017), “Do Terror Attacks Affect the Dollar-Pound Exchange Rate? A Nonparametric Causality-in-Quantiles Analysis”, The North American Journal of Economics and Finance, 41, ss.44-56.
• Balcilar, Mehmet - Bonato, Matteo - Demirer, Rıza - Gupta, Rangan. (2018a), “Geopolitical Risks and Stock Market Dynamics of the BRICS”, Economic Systems, 42(2), ss.295-306.
• Balcilar, Mehmet - Gupta, Rangan - Pierdzioch, Christian - Wohar, Mark E (2018b), “Terror Attacks and Stock-Market Fluctuations: Evidence Based on a Nonparametric Causality-in-Quantiles Test for The G7 Countries”, The European Journal of Finance, 24(4), ss.333-346.
• Baur, Dirk G. - Lee A. Smales (2018), “Gold and Geopolitical Risk”, SSRN Working Paper, doi:10.2139/ssrn.3109136.
• Berkman, Henk - Ben Jacobsen - John B. Lee (2011), “Time-Varying Rare Disaster Risk And Stock Returns”, Journal of Financial Economics, 101(2), ss.313-332.
• Bouri, Elie - Demirer, Rıza - Gupta, Rangan - Marfatia, Hardik A. (2018), “Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note Defence and Peace Economics”, doi:10.1080/10242694.2018.1424613.
• Caldara, Dario, - Matteo Iacoviello (2018), “Measuring Geopolitical Risk”, SSRN Working Paper, doi:10.17016/IFDP.2018.1222.
• Chun-Ping Chang - Chu, Yin (2017), “Oil Prices and Geopolitical Risk: A Frequency and Time-varying Analysis”, Asia-Pacific Applied Economics Association Conference Proceedings, the 3rd Applied Financial Modelling Conference, Kampar, Malaysia, ISSN: 2208-6767.
• Chen, Andrew H. - Thomas F. Siems (2004), “The Effects of Terrorism on Global Capital Markets”, European Journal of Political Economy, 20, pp.349-366. Nikos Christofıs - Christos Kollıas - Stefanos Papadamou - Apostolos Stagiannis (2013), “Istanbul Stock Market’s Reaction to Terrorist Attacks”, Doğuş Üniversitesi Dergisi, 14(2), pp.153-164.
• Drakos, Konstantinos (2004), “Terrorism-Induced Structural Shifts in Financial Risk: Airline Stocks in The Aftermath of The September 11th Terror Attacks”, European Journal of Political Economy, 20(2), pp.435-446.
• Drakos, Konstantinos. (2010), “Terrorism Activity, Investor Sentiment and Stock Returns”, Review of Financial Economics, 19(3), pp.128-135, doi:10.1016/j.rfe.2010.01.001. Eldor, Rafi - Rafi Melnick (2004), “Financial Markets and Terrorism”, European Journal of Political Economy, 20, pp.367-386.
• Gkillas, Konstantinos - Gupta, Rangan - Wohar, Mark E. (2018), Volatility Jumps: The role of Geopolitical Risks, Finance Research Letters, pp.247-258, In Press. doi: 10.1016/j.frl.2018.03.014.
• Glick, Reuven - Taylor, Alan M. (2010), “Collateral Damage: Trade Disruption and the Economic Impact of War”, The Review of Economics and Statistics, 92(1), pp.102-127.
• Hon, Mark T. - Strauss, Jack - Yong, Soo-Keong (2004), “Contagion in Financial Markets After September 11: Myth or Reality?”, Journal of Financial Research, 27, pp.95-114.
• Jeong, Kiho, Härdle, Wolfgang K. - Song, Song (2012), “A Consistent Nonparametric Test for Causality in Quantile”, Econometric Theory, 28, pp.861-887.
• Johnston, R. Barry - Nedelescu, Oana M. (2006), “The Impact of Terrorism on Financial Markets”, Journal of Financial Crime, 13(1), pp.7-25.
• Nishiyama, Yoshihiko - Hitomi, Kohtaro - Kawasaki, Yoshinori - Jeong, Kiho. (2011), “A Consistent Nonparametric Test for Nonlinear Causality – Specification in Time Series Regressio”, Journal of Econometrics, 165, pp.112-127.
• www.policyuncertainty.com. [Accessed 8.11.2019]
• www.tr.investing.com [Accessed 8.11.2019]