政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/146494

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/146494

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政大典藏 > College of Commerce > International MBA > Theses > Item 140.119/146494

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/146494

Title:	經濟政策不確定性與地緣政治風險對股市市場收益的影響：以土耳其為例 Time-varying Impact of Economic Policy Uncertainty and Geopolitical Risk on Stock Market Returns: Evidence from Turkiye
Authors:	孔家康 Kocabiyik, Ozkan
Contributors:	郭維裕 Kuo, Wei-Yu 孔家康 Ozkan Kocabiyik
Keywords:	BIST-100股票指數回報率經濟政策不確定性地緣政治風險線性回歸土耳其 BIST-100 stock market returns Economic policy uncertainty Geopolitical risk Linear regression Turkiye
Date:	2023
Issue Date:	2023-08-02 13:45:31 (UTC+8)
Abstract:	The research analyses the effect of global economic policy uncertainties and recent global and country-specific geopolitical risks on the monthly returns of BIST-100 stock index returns of Turkish stock market. The study takes into account local macroeconomic variables such as the consumer price index, exchange rate, and policy interest rate to find the true effect of predictive variables. Data was collected from January 2010 to March 2023 and linear regression method was used to do the time series analysis. The results of the models shows that there is no statistically significant correlation between global economic policy uncertainty, recent geopolitical risks and country-specific geopolitical risk, and BIST-100 stock market returns in Turkiye. There is only a notable positive relationship was observed between the exchange rate and BIST-100 stock market returns. The research indicates that the investors of Turkish stock market are not sensitive to global or local political risks and global economic uncertainties. Keywords: BIST-100 stock market returns, economic policy uncertainty, geopolitical risk, linear regression, Turkiye
Reference:	Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The quarterly journal of economics, 131(4), 1593-1636. Caldara, D., & Iacoviello, M. (2022). Measuring geopolitical risk. American Economic Review, 112(4), 1194-1225. Cheng, C. H., & Chiu, C.-W. J. (2018). How important are global geopolitical risks to emerging countries? International economics, 156, 305-325. Demir, E., & Ersan, O. (2018). The impact of economic policy uncertainty on stock returns of Turkish tourism companies. Current Issues in Tourism, 21(8), 847-855. Erdogan, L., Ceylan, R., & Abdul-Rahman, M. (2022). The Impact of domestic and global risk factors on Turkish stock market: Evidence from the NARDL approach. Emerging Markets Finance and Trade, 58(7), 1961-1974. Feldstein, M. (1983). Inflation and the stock market. In Inflation, tax rules, and capital formation (pp. 186-198). University of Chicago Press. Hoque, M. E., & Zaidi, M. A. (2020). Global and country-specific geopolitical risk uncertainty and stock return of fragile emerging economies. Borsa Istanbul Review, 20(3), 197-213. Kandil, M., Berument, H., & Dincer, N. N. (2007). The effects of exchange rate fluctuations on economic activity in Turkey. Journal of Asian Economics, 18(3), 466-489. Ozturk, N., & Karagoz, K. (2012). Relationship between inflation and financial development: Evidence from Turkey. International Journal of Alanya Faculty of Business, 4(2), 81-87. Pradhan, R. P., Arvin, M. B., & Bahmani, S. (2015). Causal nexus between economic growth, inflation, and stock market development: The case of OECD countries. Global Finance Journal, 27, 98-111. Shirodkar, S. (2017). Co-Integration and Causal Relationship Among Crude Oil Prices, Exchange Rate and Stock Market Performance: An Evidence From India. International Refereed Research Journal, 8(3), 111. Sum, V. (2012). Economic policy uncertainty and stock market performance: evidence from the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine. Journal of Money, Investment and Banking, 25, 99-104. Tiryaki, H. N., & Tiryaki, A. (2019). Determinants of Turkish stock returns under the impact of economic policy uncertainty. Uluslararasi Iktisadi ve Idari Incelemeler Dergisi(22), 147-162. Tursoy, T. (2017). Causality between stock prices and exchange rates in Turkey: Empirical evidence from the ARDL bounds test and a combined cointegration approach. International Journal of Financial Studies, 5(1), 8. Yang, M., Zhang, Q., Yi, A., & Peng, P. (2021). Geopolitical risk and stock market volatility in emerging economies: Evidence from GARCH-MIDAS model. Discrete Dynamics in Nature and Society, 2021, 1-17. Adel, S., Triki, M. B., & Abderzag, F. T. (2021). Does Geopolitical Risk and Investors` Sentiment Matter for Turkish Stock Returns? Journal of Economic Cooperation & Development, 42(1). IMF. (2023, April). World Economic Outlook Database. Retrieved from International Monetary Fund: https://www.imf.org/en/Publications/WEO/weo-database/2023/April EPU. (2023, April). Economic Policy Uncertainty Index. Retrieved from Economic Policy Uncertainty: http://policyuncertainty.com/index.html GPR. (2023, April). Geopolitical Risk Index. Retrieved from Geopolitical Risk: https://www.matteoiacoviello.com/gpr.htm
Description:	碩士國立政治大學國際經營管理英語碩士學位學程(IMBA) 110933059
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0110933059
Data Type:	thesis
Appears in Collections:	[International MBA] Theses

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