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How Political and Geopolitical Risks Affect Stock Markets: Empirical Evidence From Emerging Market Economies

Yıl 2021, Cilt 16, Sayı 3, 688 - 704, 01.12.2021
https://doi.org/10.17153/oguiibf.952112

Öz

This study investigates the effects of political and geopolitical risks on stock markets in emerging market economies. A panel data set containing data between the years 2005-2018 was used in the study. Principal Component Analysis (PCA) method, Parks-Kmenta Estimator, and were used as an econometric method. According to the findings, it has been observed that there is a negative and statistically significant relationship between both political risk and geopolitical risk and stock markets. In this context, the findings of this study indicate that high-risk perceptions towards emerging markets economies limit the investments of both domestic and foreign investors in stock markets.

Kaynakça

  • Afşar, A. ve Doğan E. (2018). Politik risklerin hisse senedi piyasaları üzerine etkileri: Ampirik bir analiz. 22. Finans Sempozyumu içinde (993-1003), Mersin.
  • Akçay, A. Ö. ve Erataş, F. (2012). Cari açık ve ekonomik büyüme ilişkisinin panel nedensellik analizi ekseninde değerlendirilmesi. Türkiye Ekonomi Kurumu, UEK-TEK 2012 İzmir, 1-24.
  • Antonakakis, N., Gupta, R., Kollias, C., & Papadamou, S. (2017). Geopolitical risks and the oil-stock nexus over 1899–2016. Finance Research Letters, 23, 165-173.
  • Ayaydın, H., Pala, F., & Barut, A. (2016). Ülke Riskinin Hisse Senedi Getirisine Etkisi: Ampirik Bir Analiz. Global Journal of Economics and Business Studies, 5 (10), 66-75.
  • Bekaert, G., Harvey, C. R., Lundblad, C. T., & Siegel, S. (2014). Political Risk Spreads. Journal of International Business Studies, 45(4), 471-493.
  • Bezgin, M. S. (2010). Türkiye’nin Jeopolitik Riski’nin Borsa İstanbul Endeks Getirileri Üzerine Etkisinin İncelenmesi.
  • Bilson, C. M., Brailsford, T. J., & Hooper, V. C. (2002). The Explanatory Power of Political Risk in Emerging Markets. International Review of Financial Analysis, 11(1), 1-27.
  • Boyd, J. H., Levine, R., & Smith, B. D. (2001). The impact of inflation on financial sector performance. Journal of monetary Economics, 47(2), 221-248.
  • Breusch, T. S ve Pagan, A. R. (1980), The Lagrange Multiplier Test and its applications to model specification tests in econometrics”, Review of Economic Studies, 47, 239-53.
  • Butler, K. C., & Joaquin, D. C. (1998). A note on political risk and the required return on foreign direct investment. Journal of International Business Studies, 29(3), 599-607.
  • Caldara, D., & Iacoviello, M. (2018). Measuring geopolitical risk. FRB International Finance Discussion Paper, (1222).
  • Çam, A.V. (2014). Politik Riskin Firma Değeri ile İlişkisi: İMKB’ye Kayıtlı Firmalar Üzerinde Bir Uygulama. Doğuş Üniversitesi Dergisi, 15(1), 109-122.
  • Çetin, Ö. G. D. T. Türkiye’de Jeopolitik Risk ve İslami Hisse Senedi Endeksi Arasındaki Nedensellik İlişkisi: Ampirik Bir Analiz. In International Congress of Islamic Economy, Finance and Ethics (p. 108).
  • Das, D., Kannadhasan, M., & Bhattacharyya, M. (2019). Do the emerging stock markets react to international economic policy uncertainty, geopolitical risk and financial stress alike?. The North American Journal of Economics and Finance, 48, 1-19.
  • De Santis, G. (1997). Stock returns and volatility in emerging financial markets. Journal of International Money and finance, 16(4), 561-579.
  • Diamonte, R. L., Liew, J. M., & Stevens, R. L. (1996). Political Risk in Emerging and Developed Markets. Financial Analysts Journal, 52(3), 71-76.
  • Diebold, F. X., & Yilmaz, K. (2008). Macroeconomic volatility and stock market volatility, worldwide: National Bureau of Economic Research.
  • Dimic, N., Orlov, V., & Piljak, V. (2015). The Political Risk Factor in Emerging, Frontier and Developed Stock Markets. Finance Research Letters, 15, 239-245.
  • Estrin, S., & Uvalic, M. (2013). Foreign Direct Investment into Transition Economies: Are the Balkans Different?. LSE ‘Europe in Question’ Discussion Paper Series, No. 64/2013, 5-42.
  • Field, A. (2000). Discovering Statistics using SPSS for Windows. London, Thousand Oaks, Sage Publications, New Delhi.
  • Gärtner, M., & Wellershoff, K. W. (1999). Theories of Political Cycles: Lessons from the American Stock Market. International Review of Economics, 46(4), 22-39.
  • Hausmann, R. and Fernández-Arias, E. (2000). “Foreign direct investment: goodcholesterol?”. Inter American Development Bank Working Paper 417, New Orleans, April.
  • Hoque, M. E., & Zaidi, M. A. S. (2020). Global and country-specific geopolitical risk uncertainty and stock return of fragile emerging economies. Borsa Istanbul Review, 20(3), 197-213.
  • Johnson, R. A. and Wichern, D. W. 2002. Applied multivariate statistical analysis (Vol. 5, No. 8). Upper Saddle River, NJ: Prentice hall.
  • Kaya, A., Güngör, B., & Özçomak, M.S. (2014). Politik Risk Yatırımcının Dikkate Alması Gereken Bir Risk Midir? Borsa İstanbul Örneği. İktisadi ve İdari Bilimler Fakültesi Dergisi, 16(1), 74-87.
  • Kmenta, Jan (1986), Elements of Econometrics (Second ed.), New York: Macmillan, pp. 302–320.
  • Kobbi, H., & Abdelhedi, M. (2018). The Effect of Political Instability and Terrorism on Tunisian Financial Market. IUP Journal of Applied Economics, 17(1), 7-16.
  • Laopodis, N.T, (2013). Monetary policy and stock market dynamics across monetary regimes, Journal of International Money and Finance, www.elsevier.com/locate/jimf.
  • Lehkonen, H., & Heimonen, K. (2015). Democracy, Political Risks and Stock Market Performance. Journal of International Money and Finance, 59, 77-99.
  • Levchenko, A. A., & Mauro, P. (2007). Do some forms of financial flows help protect against “sudden stops”? The World Bank Economic Review, 21(3), 389-411.
  • Malcus, R., & Persson, M. (2018). The Impact of Foreign Direct Investment on the Stock Market Development in Sweden.
  • Mei, J., & Guo, L. (2004). Political Uncertainty, Financial Crisis and Market Volatility. European Financial Management, 10(4), 639-657.
  • Minovic, J., & Eric, D. (2016). Impact of Political Risk on Frontier Capital Market. Engineering Economics, 27(2), 151-162.
  • Özdamar, K. 2010. Paket programlar ile istatistiksel veri analizi-2 (Çok değişkenli analizler). Kaan Kitabevi, Eskişehir.
  • Parks, R. (1967), Efficient Estimation of a System of Regression Equations When Disturbances Are Both Serially and Contemporaneously Correlated, Journal of the American Statistical Association, 62: 500–509.
  • Perotti, E. C., & Van Oijen, P. (2001). Privatization, Political Risk and Stock Market Development in Emerging Economies. Journal of International Money and Finance, 20(1), 43-69.
  • Pesaran, Hashem M. (2007). A simple panel unit root test in the presence of Cross-Section Dependence. Journal of Applied Econometrics, 22 (2), 265-312.
  • Pesaran, Hashem M. (2004).General Diagnostic Tests for Cross Section Dependence in Panels. IZA Discussion Papers, 1240, 1-39.
  • Tatlıdil, H. 2002. Uygulamalı çok değişkenli istatistiksel analiz. Cem Web Ofset Ltd, 424, Ankara.
  • Tatoğlu, F. Yerdelen (2013). Panel Veri Ekonometrisi (2. Baskı). İstanbul: Beta Yayınevi.
  • Thapa, C., & Poshakwale, S. S. (2010). International equity portfolio allocations and transaction costs. Journal of Banking & Finance, 34(11), 2627-2638.
  • Tolstova, E., & Kapolková, J. (2015). The Impact of Political Risk on Equity Market Performance.
  • Tuncay, M. (2018). Do Political Risks Matter in the Financial Markets?: Evidence From Turkey. Eurasian Business Review, 8(2), 209-227.
  • Tükenmez, N. M., & Kutay, N. (2016). Ülke Riskinin Hisse Senetleri Getirileri Üzerine Etkisi: Türkiye ve Arjantin Piyasaları İçin Bir Karşılaştırma. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 20(2), 631-645.
  • Vargas, K., Gonzalez, A., & Silva, J. (2019, June). The effect of global political risk on stock returns: a cross-sectional and a time-series analysis. In International Conference on Intelligent Computing, Information and Control Systems (pp. 540-548). Springer, Cham.
  • Vortelinos, D. I., & Saha, S. (2016). The Impact of Political Risk on Return, Volatility and Discontinuity: Evidence From The International Stock and Foreign Exchange Markets. Finance Research Letters, 17, 222-226.
  • Waszkiewicz, G. (2017). Political Risk on Financial Markets in Developed and Developing Economies. Journal of Economics & Management, 28, 112-132.

Politik ve Jeopolitik Riskler Hisse Senedi Piyasalarını Nasıl Etkiler: Yükselen Piyasa Ekonomilerinden Ampirik Kanıtlar

Yıl 2021, Cilt 16, Sayı 3, 688 - 704, 01.12.2021
https://doi.org/10.17153/oguiibf.952112

Öz

Bu çalışmada yükselen piyasa ekonomilerinde politik risk ve jeopolitik risklerin hisse senedi piyasaları üzerindeki etkileri araştırılmıştır. Çalışmada 2005-2018 yılları arasındaki verileri içeren panel veri seti kullanılmıştır. Ekonometrik yöntem olarak Temel Bileşenler Analizi (PCA) yöntemi ve Parks-Kmenta Tahmincisi kullanılmıştır. Elde edilen bulgulara göre, politik risk ve jeopolitik risk ile hisse senedi piyasaları arasında negatif ve istatistiki olarak anlamlı bir ilişki olduğu gözlemlenmiştir. Bu bağlamda, bu çalışmanın bulguları, yükselen piyasalar ekonomilerine yönelik yüksek risk algılarının hem yerli hem de yabancı yatırımcıların hisse senedi piyasalarına yapacakları yatırımları sınırlandırdığını ifade etmektedir.

Kaynakça

  • Afşar, A. ve Doğan E. (2018). Politik risklerin hisse senedi piyasaları üzerine etkileri: Ampirik bir analiz. 22. Finans Sempozyumu içinde (993-1003), Mersin.
  • Akçay, A. Ö. ve Erataş, F. (2012). Cari açık ve ekonomik büyüme ilişkisinin panel nedensellik analizi ekseninde değerlendirilmesi. Türkiye Ekonomi Kurumu, UEK-TEK 2012 İzmir, 1-24.
  • Antonakakis, N., Gupta, R., Kollias, C., & Papadamou, S. (2017). Geopolitical risks and the oil-stock nexus over 1899–2016. Finance Research Letters, 23, 165-173.
  • Ayaydın, H., Pala, F., & Barut, A. (2016). Ülke Riskinin Hisse Senedi Getirisine Etkisi: Ampirik Bir Analiz. Global Journal of Economics and Business Studies, 5 (10), 66-75.
  • Bekaert, G., Harvey, C. R., Lundblad, C. T., & Siegel, S. (2014). Political Risk Spreads. Journal of International Business Studies, 45(4), 471-493.
  • Bezgin, M. S. (2010). Türkiye’nin Jeopolitik Riski’nin Borsa İstanbul Endeks Getirileri Üzerine Etkisinin İncelenmesi.
  • Bilson, C. M., Brailsford, T. J., & Hooper, V. C. (2002). The Explanatory Power of Political Risk in Emerging Markets. International Review of Financial Analysis, 11(1), 1-27.
  • Boyd, J. H., Levine, R., & Smith, B. D. (2001). The impact of inflation on financial sector performance. Journal of monetary Economics, 47(2), 221-248.
  • Breusch, T. S ve Pagan, A. R. (1980), The Lagrange Multiplier Test and its applications to model specification tests in econometrics”, Review of Economic Studies, 47, 239-53.
  • Butler, K. C., & Joaquin, D. C. (1998). A note on political risk and the required return on foreign direct investment. Journal of International Business Studies, 29(3), 599-607.
  • Caldara, D., & Iacoviello, M. (2018). Measuring geopolitical risk. FRB International Finance Discussion Paper, (1222).
  • Çam, A.V. (2014). Politik Riskin Firma Değeri ile İlişkisi: İMKB’ye Kayıtlı Firmalar Üzerinde Bir Uygulama. Doğuş Üniversitesi Dergisi, 15(1), 109-122.
  • Çetin, Ö. G. D. T. Türkiye’de Jeopolitik Risk ve İslami Hisse Senedi Endeksi Arasındaki Nedensellik İlişkisi: Ampirik Bir Analiz. In International Congress of Islamic Economy, Finance and Ethics (p. 108).
  • Das, D., Kannadhasan, M., & Bhattacharyya, M. (2019). Do the emerging stock markets react to international economic policy uncertainty, geopolitical risk and financial stress alike?. The North American Journal of Economics and Finance, 48, 1-19.
  • De Santis, G. (1997). Stock returns and volatility in emerging financial markets. Journal of International Money and finance, 16(4), 561-579.
  • Diamonte, R. L., Liew, J. M., & Stevens, R. L. (1996). Political Risk in Emerging and Developed Markets. Financial Analysts Journal, 52(3), 71-76.
  • Diebold, F. X., & Yilmaz, K. (2008). Macroeconomic volatility and stock market volatility, worldwide: National Bureau of Economic Research.
  • Dimic, N., Orlov, V., & Piljak, V. (2015). The Political Risk Factor in Emerging, Frontier and Developed Stock Markets. Finance Research Letters, 15, 239-245.
  • Estrin, S., & Uvalic, M. (2013). Foreign Direct Investment into Transition Economies: Are the Balkans Different?. LSE ‘Europe in Question’ Discussion Paper Series, No. 64/2013, 5-42.
  • Field, A. (2000). Discovering Statistics using SPSS for Windows. London, Thousand Oaks, Sage Publications, New Delhi.
  • Gärtner, M., & Wellershoff, K. W. (1999). Theories of Political Cycles: Lessons from the American Stock Market. International Review of Economics, 46(4), 22-39.
  • Hausmann, R. and Fernández-Arias, E. (2000). “Foreign direct investment: goodcholesterol?”. Inter American Development Bank Working Paper 417, New Orleans, April.
  • Hoque, M. E., & Zaidi, M. A. S. (2020). Global and country-specific geopolitical risk uncertainty and stock return of fragile emerging economies. Borsa Istanbul Review, 20(3), 197-213.
  • Johnson, R. A. and Wichern, D. W. 2002. Applied multivariate statistical analysis (Vol. 5, No. 8). Upper Saddle River, NJ: Prentice hall.
  • Kaya, A., Güngör, B., & Özçomak, M.S. (2014). Politik Risk Yatırımcının Dikkate Alması Gereken Bir Risk Midir? Borsa İstanbul Örneği. İktisadi ve İdari Bilimler Fakültesi Dergisi, 16(1), 74-87.
  • Kmenta, Jan (1986), Elements of Econometrics (Second ed.), New York: Macmillan, pp. 302–320.
  • Kobbi, H., & Abdelhedi, M. (2018). The Effect of Political Instability and Terrorism on Tunisian Financial Market. IUP Journal of Applied Economics, 17(1), 7-16.
  • Laopodis, N.T, (2013). Monetary policy and stock market dynamics across monetary regimes, Journal of International Money and Finance, www.elsevier.com/locate/jimf.
  • Lehkonen, H., & Heimonen, K. (2015). Democracy, Political Risks and Stock Market Performance. Journal of International Money and Finance, 59, 77-99.
  • Levchenko, A. A., & Mauro, P. (2007). Do some forms of financial flows help protect against “sudden stops”? The World Bank Economic Review, 21(3), 389-411.
  • Malcus, R., & Persson, M. (2018). The Impact of Foreign Direct Investment on the Stock Market Development in Sweden.
  • Mei, J., & Guo, L. (2004). Political Uncertainty, Financial Crisis and Market Volatility. European Financial Management, 10(4), 639-657.
  • Minovic, J., & Eric, D. (2016). Impact of Political Risk on Frontier Capital Market. Engineering Economics, 27(2), 151-162.
  • Özdamar, K. 2010. Paket programlar ile istatistiksel veri analizi-2 (Çok değişkenli analizler). Kaan Kitabevi, Eskişehir.
  • Parks, R. (1967), Efficient Estimation of a System of Regression Equations When Disturbances Are Both Serially and Contemporaneously Correlated, Journal of the American Statistical Association, 62: 500–509.
  • Perotti, E. C., & Van Oijen, P. (2001). Privatization, Political Risk and Stock Market Development in Emerging Economies. Journal of International Money and Finance, 20(1), 43-69.
  • Pesaran, Hashem M. (2007). A simple panel unit root test in the presence of Cross-Section Dependence. Journal of Applied Econometrics, 22 (2), 265-312.
  • Pesaran, Hashem M. (2004).General Diagnostic Tests for Cross Section Dependence in Panels. IZA Discussion Papers, 1240, 1-39.
  • Tatlıdil, H. 2002. Uygulamalı çok değişkenli istatistiksel analiz. Cem Web Ofset Ltd, 424, Ankara.
  • Tatoğlu, F. Yerdelen (2013). Panel Veri Ekonometrisi (2. Baskı). İstanbul: Beta Yayınevi.
  • Thapa, C., & Poshakwale, S. S. (2010). International equity portfolio allocations and transaction costs. Journal of Banking & Finance, 34(11), 2627-2638.
  • Tolstova, E., & Kapolková, J. (2015). The Impact of Political Risk on Equity Market Performance.
  • Tuncay, M. (2018). Do Political Risks Matter in the Financial Markets?: Evidence From Turkey. Eurasian Business Review, 8(2), 209-227.
  • Tükenmez, N. M., & Kutay, N. (2016). Ülke Riskinin Hisse Senetleri Getirileri Üzerine Etkisi: Türkiye ve Arjantin Piyasaları İçin Bir Karşılaştırma. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 20(2), 631-645.
  • Vargas, K., Gonzalez, A., & Silva, J. (2019, June). The effect of global political risk on stock returns: a cross-sectional and a time-series analysis. In International Conference on Intelligent Computing, Information and Control Systems (pp. 540-548). Springer, Cham.
  • Vortelinos, D. I., & Saha, S. (2016). The Impact of Political Risk on Return, Volatility and Discontinuity: Evidence From The International Stock and Foreign Exchange Markets. Finance Research Letters, 17, 222-226.
  • Waszkiewicz, G. (2017). Political Risk on Financial Markets in Developed and Developing Economies. Journal of Economics & Management, 28, 112-132.

Ayrıntılar

Birincil Dil Türkçe
Konular Sosyal
Bölüm Makaleler
Yazarlar

Emrah DOĞAN (Sorumlu Yazar)
İstanbul Gelişim Üniversitesi
0000-0001-9870-5719
Türkiye


Aslı AFŞAR
ANADOLU ÜNİVERSİTESİ
0000-0001-7031-1419
Türkiye

Yayımlanma Tarihi 1 Aralık 2021
Başvuru Tarihi 14 Haziran 2021
Kabul Tarihi 9 Ağustos 2021
Yayınlandığı Sayı Yıl 2021, Cilt 16, Sayı 3

Kaynak Göster

APA Doğan, E. & Afşar, A. (2021). Politik ve Jeopolitik Riskler Hisse Senedi Piyasalarını Nasıl Etkiler: Yükselen Piyasa Ekonomilerinden Ampirik Kanıtlar . Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi , 16 (3) , 688-704 . DOI: 10.17153/oguiibf.952112