Araştırma Makalesi
BibTex RIS Kaynak Göster

THE RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY AND G7 STOCK MARKETS

Yıl 2020, , 353 - 372, 23.10.2020

Eray Gemici

https://doi.org/10.29029/busbed.732124
Cited By: 9

Öz

The concept of uncertainty, which emerges in situations such as war, financial crises, and political elections, has a great influence on the decisions of economic units. An environment of uncertainty negatively affects investors' confidence in the economy. One of the areas where the negative effects of uncertainty can be observed is country stock markets. This study explores the relationship between the economic policy uncertainty index and stock exchange in G7 developed markets. For this purpose, the monthly period from 1997 to 2019 is examined with second-generation panel data methodologies to consider the possible cross-sectional dependence among observed markets. In estimating the long-term effect of the economic policy uncertainty on the G7 country stock market indices, the Common Correlated Effect (CCE) estimator, which considers the cross-sectional dependency observed between countries. The causality relationship between the economic policy uncertainty index and the G7 country stock market indexes is examined with the panel causality test, which considers the cross-section dependency and heterogeneity. The results show that economic policy uncertainty negatively affects the G7 stock market indices in the long term. On the other hand, the panel causality test results reveal that there is bidirectional causality between economic policy uncertainty and financial markets.

Anahtar Kelimeler

Economic Policy Uncertainty G7 Stock Markets Panel Cointegration Panel Causality

Kaynakça

  • Akkuş, A. G. D. Ö. (2017). Ekonomik Politika Belirsizliği ve Politik İstikrarsızlığın Büyüme Üzerindeki Etkisi. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 17(3), 27–42.
  • Alqahtani, A. ve Martinez, M. (2020). US Economic Policy Uncertainty and GCC Stock Market. Asia-Pacific Financial Markets, 1–11.
  • Alqahtani, A. ve Taillard, M. (2019). The Impact of US Economic Policy Uncertainty Shock on GCC Stock Market Performance. Asian Journal of Law and Economics, 10(2).
  • Al-Thaqeb, S. A. ve Algharabali, B. G. (2019). Economic policy uncertainty: A literature review. The Journal of Economic Asymmetries, 20, e00133. doi:10.1016/j.jeca.2019.e00133
  • Arbatli, E. C., Davis, S. J., Ito, A. ve Miake, N. (2017). Policy uncertainty in Japan. National Bureau of Economic Research. Armelius, H., Hull, I. ve Köhler, H. S. (2017). The timing of uncertainty shocks in a small open economy. Economics Letters, 155, 31–34.
  • Arouri, M. ve Roubaud, D. (2016). On the determinants of stock market dynamics in emerging countries: The role of economic policy uncertainty in China and India. Economics Bulletin, 36(2), 760–770.
  • Baker, S., Bloom, N. ve Davis, S. J. (2012). Measuring Economic Policy Uncertainty. University of Chicago and Stanford University.
  • Baker, S. R., Bloom, N. ve Davis, S. J. (2016). Measuring economic policy uncertainty. The quarterly journal of economics, 131(4), 1593–1636.
  • Breusch, T. S. ve Pagan, A. R. (1980). The Lagrange multiplier test and its applications to model specification in econometrics. The review of economic studies, 47(1), 239–253.
  • Brogaard, J. ve Detzel, A. (2015). The asset-pricing implications of government economic policy uncertainty. Management Science, 61(1), 3–18.
  • Cerda, R., Silva, A. ve Valente, J. T. (2016). Economic policy uncertainty indices for Chile. Economic Policy Uncertainty working paper.
  • Chen, J., Jiang, F. ve Tong, G. (2017). Economic policy uncertainty in China and stock market expected returns. Accounting & Finance, 57(5), 1265–1286.
  • Chiang, T. C. (2019). Economic policy uncertainty, risk and stock returns: Evidence from G7 stock markets. Finance Research Letters, 29(C), 41–49.
  • Christou, C., Cunado, J., Gupta, R. ve Hassapis, C. (2017). Economic policy uncertainty and stock market returns in PacificRim countries: Evidence based on a Bayesian panel VAR model. Journal of Multinational Financial Management, 40, 92–102.
  • Dakhlaoui, I. ve Aloui, C. (2016). The interactive relationship between the US economic policy uncertainty and BRIC stock markets. International Economics, 146, 141–157.
  • Davis, S. J. (2016). An index of global economic policy uncertainty. National Bureau of Economic Research. Dumitrescu, E.-I. ve Hurlin, C. (2012). Testing for Granger non-causality in heterogeneous panels. Economic modelling, 29(4), 1450–1460.
  • Fang, L., Yu, H. ve Li, L. (2017). The effect of economic policy uncertainty on the long-term correlation between US stock and bond markets. Economic Modelling, 66, 139–145.
  • Ghirelli, C., Pérez, J. J. ve Urtasun, A. (2019). A new economic policy uncertainty index for Spain. Economics Letters, 182, 64–67.
  • Gil, M. ve Silva, D. (2018). Economic Policy Uncertainty Indices for Colombia.
  • Guo, P., Zhu, H. ve You, W. (2018). Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach. Finance Research Letters, 25, 251–258.
  • Hadri, K. ve Kurozumi, E. (2012). A simple panel stationarity test in the presence of serial correlation and a common factor. Economics Letters, 115(1), 31–34.
  • Hardouvelis, G. A., Karalas, G., Karanastasis, D. ve Samartzis, P. (2018). Economic policy uncertainty, political uncertainty and the greek economic crisis. Political Uncertainty and the Greek Economic Crisis (April 3, 2018).
  • Im, K.-S., Lee, J. ve Tieslau, M. (2005). Panel LM unit-root tests with level shifts. Oxford Bulletin of Economics and Statistics, 67(3), 393–419.
  • Jin, X., Chen, Z. ve Yang, X. (2019). Economic policy uncertainty and stock price crash risk. Accounting & Finance, 58(5), 1291–1318.
  • Ko, J.-H. ve Lee, C.-M. (2015). International economic policy uncertainty and stock prices: Wavelet approach. Economics Letters, 134, 118–122.
  • Kroese, L., Kok, S. ve Parlevliet, J. (2015). Beleidsonzekerheid in Nederland. Economisch Statistiche Berichten, 4715, 464–467.
  • Li, X., Balcilar, M., Gupta, R. ve Chang, T. (2016). The causal relationship between economic policy uncertainty and stock returns in China and India: Evidence from a bootstrap rolling window approach. Emerging Markets Finance and Trade, 52(3), 674–689.
  • Ongan, S. ve Göçer, I. (2017). Testing the causalities between economic policy uncertainty and the US stock indices: Applications of linear and nonlinear approaches. Annals of Financial Economics, 12(04), 1750016.
  • Pesaran, M. H. (2004). General diagnostic tests for cross section dependence in panels.
  • Pesaran, M. H. (2006). Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica, 74(4), 967–1012.
  • Pesaran, M. H., Ullah, A. ve Yamagata, T. (2008). A bias-adjusted LM test of error cross-section independence. The Econometrics Journal, 11(1), 105–127.
  • Phan, D. H. B., Sharma, S. S. ve Tran, V. T. (2018). Can economic policy uncertainty predict stock returns? Global evidence. Journal of International Financial Markets, Institutions and Money, 55, 134–150.
  • Sum, V. (2013). The ASEAN stock market performance and economic policy uncertainty in the United States. Economic Papers: A journal of applied economics and policy, 32(4), 512–521.
  • Tsai, I.-C. (2017). The source of global stock market risk: A viewpoint of economic policy uncertainty. Economic Modelling, 60, 122–131.
  • Westerlund, J. ve Edgerton, D. L. (2007). A panel bootstrap cointegration test. Economics letters, 97(3), 185–190.
  • Wu, T.-P., Liu, S.-B. ve Hsueh, S.-J. (2016). The causal relationship between economic policy uncertainty and stock market: A panel data analysis. International Economic Journal, 30(1), 109–122.
  • Zalla, R. (2017). Economic policy uncertainty in Ireland. Atlantic Economic Journal, 45(2), 269–271.

EKONOMİ POLİTİKASI BELİRSİZLİĞİ İLE G7 ÜLKE BORSALARI İLİŞKİ BELİRSİZLİĞİ ÜLKE BORSALARI ARASINDAKİ İLİŞKİ

Yıl 2020, , 353 - 372, 23.10.2020

Eray Gemici

https://doi.org/10.29029/busbed.732124
Cited By: 9

Öz

Savaş, finansal krizler ve siyasi seçimler gibi durumlarda ortaya çıkan belirsizlik kavramı, ekonomik birimlerin alacağı kararlar üzerinde oldukça etkili olmaktadır. Belirsizliğin olduğu bir ortam, yatırımcıların ekonomiye olan güvenini olumsuz etkilemektedir. Belirsizliğin yarattığı olumsuz etkilerin gözlemlenebildiği alanlardan birisi de ülke borsalarıdır. Bu çalışma, G7 gelişmiş ülke piyasalarında ekonomi politikası belirsizliği endeksi ile borsa arasındaki ilişkiyi araştırmaktadır. Bu amaçla, 1997'den 2019'a kadar olan aylık dönem, gözlemlenen piyasalar arasındaki olası yatay kesit bağımlılığını dikkate alan ikinci nesil panel veri metodolojileri ile incelenmiştir. Ekonomi politikası belirsizliğinin G7 ülke borsa endeksleri üzerindeki uzun dönem etkisinin tahmin edilmesinde, ülkeler arasında gözlemlenen yatay kesit bağımlılığını dikkate alan ortak ilişkili etkiler (CCE) tahmincisi kullanılmıştır. Ekonomi politikası belirsizliği endeksi ile G7 ülke borsa endeksleri arasındaki nedensellik ilişkisi ise yatay kesit bağımlılığını ve heterojeniteyi dikkate alan panel nedensellik testi ile incelenmiştir. Sonuçlar, ekonomi politikası belirsizliğinin G7 ülke borsa endekslerini uzun vadede olumsuz etkilediğini göstermektedir. Ayrıca, panel nedensellik test sonuçları, ekonomi politikası belirsizliği ile G7 ülke borsaları arasında çift yönlü nedensellik olduğunu ortaya koymuştur.

Anahtar Kelimeler

Ekonomi Politikası Belirsizliği G7 Ülke Borsaları Panel Eşbütünleşme Panel Nedensellik

Kaynakça

  • Akkuş, A. G. D. Ö. (2017). Ekonomik Politika Belirsizliği ve Politik İstikrarsızlığın Büyüme Üzerindeki Etkisi. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 17(3), 27–42.
  • Alqahtani, A. ve Martinez, M. (2020). US Economic Policy Uncertainty and GCC Stock Market. Asia-Pacific Financial Markets, 1–11.
  • Alqahtani, A. ve Taillard, M. (2019). The Impact of US Economic Policy Uncertainty Shock on GCC Stock Market Performance. Asian Journal of Law and Economics, 10(2).
  • Al-Thaqeb, S. A. ve Algharabali, B. G. (2019). Economic policy uncertainty: A literature review. The Journal of Economic Asymmetries, 20, e00133. doi:10.1016/j.jeca.2019.e00133
  • Arbatli, E. C., Davis, S. J., Ito, A. ve Miake, N. (2017). Policy uncertainty in Japan. National Bureau of Economic Research. Armelius, H., Hull, I. ve Köhler, H. S. (2017). The timing of uncertainty shocks in a small open economy. Economics Letters, 155, 31–34.
  • Arouri, M. ve Roubaud, D. (2016). On the determinants of stock market dynamics in emerging countries: The role of economic policy uncertainty in China and India. Economics Bulletin, 36(2), 760–770.
  • Baker, S., Bloom, N. ve Davis, S. J. (2012). Measuring Economic Policy Uncertainty. University of Chicago and Stanford University.
  • Baker, S. R., Bloom, N. ve Davis, S. J. (2016). Measuring economic policy uncertainty. The quarterly journal of economics, 131(4), 1593–1636.
  • Breusch, T. S. ve Pagan, A. R. (1980). The Lagrange multiplier test and its applications to model specification in econometrics. The review of economic studies, 47(1), 239–253.
  • Brogaard, J. ve Detzel, A. (2015). The asset-pricing implications of government economic policy uncertainty. Management Science, 61(1), 3–18.
  • Cerda, R., Silva, A. ve Valente, J. T. (2016). Economic policy uncertainty indices for Chile. Economic Policy Uncertainty working paper.
  • Chen, J., Jiang, F. ve Tong, G. (2017). Economic policy uncertainty in China and stock market expected returns. Accounting & Finance, 57(5), 1265–1286.
  • Chiang, T. C. (2019). Economic policy uncertainty, risk and stock returns: Evidence from G7 stock markets. Finance Research Letters, 29(C), 41–49.
  • Christou, C., Cunado, J., Gupta, R. ve Hassapis, C. (2017). Economic policy uncertainty and stock market returns in PacificRim countries: Evidence based on a Bayesian panel VAR model. Journal of Multinational Financial Management, 40, 92–102.
  • Dakhlaoui, I. ve Aloui, C. (2016). The interactive relationship between the US economic policy uncertainty and BRIC stock markets. International Economics, 146, 141–157.
  • Davis, S. J. (2016). An index of global economic policy uncertainty. National Bureau of Economic Research. Dumitrescu, E.-I. ve Hurlin, C. (2012). Testing for Granger non-causality in heterogeneous panels. Economic modelling, 29(4), 1450–1460.
  • Fang, L., Yu, H. ve Li, L. (2017). The effect of economic policy uncertainty on the long-term correlation between US stock and bond markets. Economic Modelling, 66, 139–145.
  • Ghirelli, C., Pérez, J. J. ve Urtasun, A. (2019). A new economic policy uncertainty index for Spain. Economics Letters, 182, 64–67.
  • Gil, M. ve Silva, D. (2018). Economic Policy Uncertainty Indices for Colombia.
  • Guo, P., Zhu, H. ve You, W. (2018). Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach. Finance Research Letters, 25, 251–258.
  • Hadri, K. ve Kurozumi, E. (2012). A simple panel stationarity test in the presence of serial correlation and a common factor. Economics Letters, 115(1), 31–34.
  • Hardouvelis, G. A., Karalas, G., Karanastasis, D. ve Samartzis, P. (2018). Economic policy uncertainty, political uncertainty and the greek economic crisis. Political Uncertainty and the Greek Economic Crisis (April 3, 2018).
  • Im, K.-S., Lee, J. ve Tieslau, M. (2005). Panel LM unit-root tests with level shifts. Oxford Bulletin of Economics and Statistics, 67(3), 393–419.
  • Jin, X., Chen, Z. ve Yang, X. (2019). Economic policy uncertainty and stock price crash risk. Accounting & Finance, 58(5), 1291–1318.
  • Ko, J.-H. ve Lee, C.-M. (2015). International economic policy uncertainty and stock prices: Wavelet approach. Economics Letters, 134, 118–122.
  • Kroese, L., Kok, S. ve Parlevliet, J. (2015). Beleidsonzekerheid in Nederland. Economisch Statistiche Berichten, 4715, 464–467.
  • Li, X., Balcilar, M., Gupta, R. ve Chang, T. (2016). The causal relationship between economic policy uncertainty and stock returns in China and India: Evidence from a bootstrap rolling window approach. Emerging Markets Finance and Trade, 52(3), 674–689.
  • Ongan, S. ve Göçer, I. (2017). Testing the causalities between economic policy uncertainty and the US stock indices: Applications of linear and nonlinear approaches. Annals of Financial Economics, 12(04), 1750016.
  • Pesaran, M. H. (2004). General diagnostic tests for cross section dependence in panels.
  • Pesaran, M. H. (2006). Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica, 74(4), 967–1012.
  • Pesaran, M. H., Ullah, A. ve Yamagata, T. (2008). A bias-adjusted LM test of error cross-section independence. The Econometrics Journal, 11(1), 105–127.
  • Phan, D. H. B., Sharma, S. S. ve Tran, V. T. (2018). Can economic policy uncertainty predict stock returns? Global evidence. Journal of International Financial Markets, Institutions and Money, 55, 134–150.
  • Sum, V. (2013). The ASEAN stock market performance and economic policy uncertainty in the United States. Economic Papers: A journal of applied economics and policy, 32(4), 512–521.
  • Tsai, I.-C. (2017). The source of global stock market risk: A viewpoint of economic policy uncertainty. Economic Modelling, 60, 122–131.
  • Westerlund, J. ve Edgerton, D. L. (2007). A panel bootstrap cointegration test. Economics letters, 97(3), 185–190.
  • Wu, T.-P., Liu, S.-B. ve Hsueh, S.-J. (2016). The causal relationship between economic policy uncertainty and stock market: A panel data analysis. International Economic Journal, 30(1), 109–122.
  • Zalla, R. (2017). Economic policy uncertainty in Ireland. Atlantic Economic Journal, 45(2), 269–271.
Toplam 37 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular İşletme
Bölüm Araştırma Makaleleri
Yazarlar

Eray Gemici 0000-0001-5449-0568

Yayımlanma Tarihi 23 Ekim 2020
Yayımlandığı Sayı Yıl 2020

Kaynak Göster

APA Gemici, E. (2020). EKONOMİ POLİTİKASI BELİRSİZLİĞİ İLE G7 ÜLKE BORSALARI İLİŞKİ BELİRSİZLİĞİ ÜLKE BORSALARI ARASINDAKİ İLİŞKİ. Bingöl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi(20), 353-372. https://doi.org/10.29029/busbed.732124

Cited By

GEPU ENDEKSİNİN BORSA ENDEKSLERİ VOLATİLİTESİ ÜZERİNDEKİ ETKİSİ: MIST ÜLKELERİ ÜZERİNE BİR ÇALIŞMA
Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
https://doi.org/10.25287/ohuiibf.1435954
KÜRESEL EKONOMİ POLİTİKASI BELİRSİZLİĞİNİN FİNANSAL PİYASALAR ÜZERİNDEKİ ETKİSİ (YENİ SANAYİLEŞMİŞ ÜLKELER ÖRNEĞİ)
Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi
https://doi.org/10.14780/muiibd.1412703
Do the Political Uncertainty and Geopolitical Risk Indexes in the G-7 Countries Relate to Stock Prices? Fourier Causality Test Evidence
International Economic Journal
https://doi.org/10.1080/10168737.2024.2408483
Ekonomik Politika Belirsizliği Endeksi İle Borsa Endeksleri Arasındaki İlişkinin İncelenmesi: OECD Ülkeleri Örneği
Maliye Finans Yazıları
https://doi.org/10.33203/mfy.1386682
ABD Para Politikaları Belirsizliğinin Pay Senedi Getirileri Üzerine Etkisi: BİST100 Örneği
Maliye Finans Yazıları
https://doi.org/10.33203/mfy.1328940
Ekonomik Politika Belirsizliğinin Makro Ekonomik Göstergeler Üzerine Etkisi: Avrupa Birliği Ülkeleri Örneği
Karadeniz Sosyal Bilimler Dergisi
https://doi.org/10.38155/ksbd.1200131
The Relationship between the Stock Markets and Economic Policy Uncertainty: An Application on Some Developed and Developing Countries
Ekonomi, Politika & Finans Araştırmaları Dergisi
https://doi.org/10.30784/epfad.1160794
EKONOMİK POLİTİKA BELİRSİZLİĞİ VE BORSA İLİŞKİSİ: G7 VE BRIC ÜLKELERİ ÖRNEĞİ
Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
https://doi.org/10.18070/erciyesiibd.986321
Geçişkenlikte Kırılganlık mı Yoksa Belirsizlik mi Daha Baskındır? Türkiye ve Brezilya Borsaları Üzerine İncelemeler
Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi
Ziya Çağlar YURTTANÇIKMAZ
https://doi.org/10.53487/ataunisosbil.932918
Creative Commons Lisansı