The
uncertainty in global democratic decision-making mechanisms causes the economic
consequences of world countries to take place in a volatile structure and it
effects investors’ confidence to economies negatively. The purpose of this
study is to determine the impact of the global economic policy uncertainty on
returns of the companies traded in the Istanbul Stock Exchange with the models
of volatility. Accordingly, it has been used from 1997:1 to 2018:4 period data
in the study. It has been considered monthly global economic policy uncertainty
index and ISE-Electric, ISE-Chemical, Petroleum, Plastic, ISE-Industrial and
ISE-Main Metal Return Indexes in the study. According to the estimation results
of the volatility model for ISE-Electric, ISE-Chemical, Petroleum, Plastic
Return Indexes and ISE-Main Metal Return Index series, it has been determined
that the impact of global economic policy uncertainty on the volatility of the
stock returns of companies traded in the related sectors is statistically
significant and positive.
Global Economic Policy Uncertainty Return Indexes ARCH Models GARCH Models
Küresel Ekonomi Politika Belirsizliği Getiri Endeksleri ARCH Modelleri GARCH Modelleri
Birincil Dil | Türkçe |
---|---|
Bölüm | Araştırma Makalesi |
Yazarlar | |
Yayımlanma Tarihi | 15 Aralık 2018 |
Kabul Tarihi | 4 Eylül 2018 |
Yayımlandığı Sayı | Yıl 2018 |
Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi Creative Commons Atıf-GayriTicari 4.0 Uluslararası Lisansı (CC BY NC) ile lisanslanmıştır.