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Ekonomik Politika Belirsizliği İle Borsa Getirileri Arasındaki Nedensellik İlişkisi

Year 2019, Cilt: 23 Özel Sayı, 2239 - 2251, 31.12.2019

Abstract

Finansal piyasaların küresel
ekonomideki önemli ölçüde artan rolü göz önüne alındığında, hisse senedi
fiyatlarının ekonomik politika belirsizliğindeki (EPB) değişimlere nasıl tepki
verdiğiyle ilgili çeşitli ampirik çalışmalar bulunmaktadır. Bu çalışma EPB ve
borsa getirileri arasındaki ilişkiyi ölçmek için bootstrap panel Granger
nedensellik yaklaşımı kullanarak literature katkıda bulunmaktadır. Sonuçlar,
gelişmekte olan piyasalar bağlamında tetikleyici rolü borsaların belirlediğini,
gelişmiş piyasaların çoğunda ise EPB ile borsa getirileri arasında herhangi bir
nedensellik ilişkisi olmadığını ortaya koymuştur. 

References

  • Alexopoulos, M., and Cohen, J. (2015). “The power of print: Uncertainty shocks, markets, and the economy”. International Review of Economics & Finance, 40, 8-28.
  • Antonakakis, N., Chatziantoniou, I., and Filis, G. (2013). “Dynamic co-movements of stock market returns, implied volatility and policy uncertainty”. Economics Letters, 120(1), 87-92.
  • Arouri, M., Estay, C., Rault, C., and Roubaud, D. (2016). “Economic policy uncertainty and stock markets: Long-run evidence from the US”. Finance Research Letters, 18, 136-141.
  • Bachmann, R., Elstner, S., and Sims, E. R. (2013).” Uncertainty and economic activity: Evidence from business survey data”. American Economic Journal: Macroeconomics, 5(2), 217-249.
  • Baker, S., Bloom, N. and Davis, S. (2012). “Measuring economic policy uncertainty”. Working Paper Series, Stanford University.
  • Baum, C. F., Caglayan, M., Ozkan, N., and Talavera, O. (2006). “The impact of macroeconomic uncertainty on non-financial firms' demand for liquidity”. Review of Financial Economics, 15(4), 289-304.
  • Bernanke, B.S., (1983). “Irreversibility, uncertainty, and cyclical investment”. The Quarterly J. Econ. 98, 85–106.
  • Bloom, N. (2009). “The impact of uncertainty shocks”. Econometrica, 77(3), 623-685.
  • Breitung, J. (2005). “A parametric approach to the estimation of cointegration vectors in panel data”. Econometric Reviews 24(2), 151–173.
  • Breusch, T. S., and Pagan, A. R. (1980). “The Lagrange multiplier test and its application to model specifications in econometrics”. Reviews of Economics Studies 47, 239–253.
  • Chang, T., Chen, W. Y., Gupta, R., & Nguyen, D. K. (2015). “Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test”. Economic Systems, 39(2), 288-300.
  • Christou, C., Cunado, J., Gupta, R., and Hassapis, C. (2017). “Economic policy uncertainty and stock market returns in pacific-rim countries: Evidence based on a Bayesian Panel VAR Mode”l. Journal of Multinational Financial Management, https://doi.org/10.1016/j.mulfin.2017.03.001.
  • E. De Hoyos, R., and Sarafidis, V. (2006). “Testing for cross-sectional dependence in panel-data models”. Stata Journal, 6(4), 482-496.
  • Granger, C.W.J. (2003). “Some aspects of causal relationships”. Journal of Econometrics 112, 69–71.
  • Gulen, H., and Ion, M. (2016). “Policy uncertainty and corporate investmen”t. Review of Financial Studies, 29(3), 523-564.
  • Jones, P. M., and Olson, E. (2013). “The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model”. Economics Letters, 118(1), 33-37.
  • Kang, W., and Ratti, R. A. (2013). “Structural oil price shocks and policy uncertainty”. Economic Modelling, 35, 314-319.
  • Kar, M., Nazlioglu S. and Agir, H. (2011). “Financial development and economic growth nexus in the MENA countries: Bootstrap panel granger causality analysis”. Economic Modelling, 28, 685-693.
  • Karnizova, L., and Li, J. C. (2014).” Economic policy uncertainty, financial markets and probability of US recessions”. Economics Letters, 125(2), 261-265.
  • Ko, J. H., and Lee, C. M. (2015). “International economic policy uncertainty and stock prices: Wavelet approach”. Economics Letters, 134, 118-122.
  • Kónya, L. (2006). “Exports and growth: Granger causality analysis on OECD Countries with a panel data approach”. Economic Modelling 23, 978–992.
  • Liu, L., and Zhang, T. (2015). “Economic policy uncertainty and stock market volatility”. Finance Research Letters, 15, 99-105.
  • Mark, N.C., Ogaki, M. and Sul, D. (2005). “Dynamic seemingly unrelated cointegrating regression”. Review of Economic Studies 72, 797–820.
  • O’Connell, Paul G.J. (1998). “The overvaluation of purchasing power parity”. Journal of International Economics 44(1), 1-19.
  • Pástor, Ľ., anf Veronesi, P. (2013). “Political uncertainty and risk premia”. Journal of Financial Economics, 110(3), 520-545.
  • Pesaran, M.H. (2004). “General Diagnostic Tests for Cross Section Dependence in Panel”s. CESifo Working Paper 1229; IZA Discussion Paper 1240.[970].
  • Pesaran, M.H. (2006). “Estimation and inference in large heterogeneous panel with a multifactor error structure”. Econometrica 74(4), 967–1012.
  • Pesaran, M.H., Ullah, A. and Yamagata, T. (2008). “A bias-adjusted LM test of error cross-section independence”. Econometrics Journal 11, 105-127.
  • Pesaran, M.H. and Yamagata, T. (2008). “Testing slope homogeneity in large panels”. Journal of Econometrics 142, 50-93.
  • Sum, V. (2012). “The impulse response function of economic policy uncertainty and stock market returns: a look at the Eurozone”. Journal of International Finance Studies, 12(3), 100-105.
  • Swamy, P.A. (1970). “Efficient inference in a random coefficient regression model”. Econometrica 38, 311-323.
  • Wang, Y., Chen, C.R., and Huang, Y.S. (2014). “Economic policy uncertainty and corporate investment: Evidence from China”. Pacific-Basin Finance Journal, 26, 227-243.
  • Wolde-Rufael, Y. (2014). “Electricity consumption and economic growth in transition countries: A revisit using bootstrap panel Granger causality analysis”. Energy Economics 44, 325-330.
  • Zellner, A. (1962). “An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias”. Journal of the American Statistical Association 57, 348–368.

The Causal Relationship between Economic Policy Uncertainty and Stock Market Returns

Year 2019, Cilt: 23 Özel Sayı, 2239 - 2251, 31.12.2019

Abstract

Given the substantially increased
role of financial markets in the global economy, there is a various empirical
evidence regarding how stock prices respond to changes in economic policy
uncertainty (EPU). This study contributes to the literature by employing a
bootstrap panel Granger causality approach on the relationship between EPU and
stock market returns. The results, provide insight into the fact that it may
indeed be the stock market that plays the triggering role in the context of
emerging markets and for majority of developed markets there is no causal
relationship between EPU and stock market returns. 

References

  • Alexopoulos, M., and Cohen, J. (2015). “The power of print: Uncertainty shocks, markets, and the economy”. International Review of Economics & Finance, 40, 8-28.
  • Antonakakis, N., Chatziantoniou, I., and Filis, G. (2013). “Dynamic co-movements of stock market returns, implied volatility and policy uncertainty”. Economics Letters, 120(1), 87-92.
  • Arouri, M., Estay, C., Rault, C., and Roubaud, D. (2016). “Economic policy uncertainty and stock markets: Long-run evidence from the US”. Finance Research Letters, 18, 136-141.
  • Bachmann, R., Elstner, S., and Sims, E. R. (2013).” Uncertainty and economic activity: Evidence from business survey data”. American Economic Journal: Macroeconomics, 5(2), 217-249.
  • Baker, S., Bloom, N. and Davis, S. (2012). “Measuring economic policy uncertainty”. Working Paper Series, Stanford University.
  • Baum, C. F., Caglayan, M., Ozkan, N., and Talavera, O. (2006). “The impact of macroeconomic uncertainty on non-financial firms' demand for liquidity”. Review of Financial Economics, 15(4), 289-304.
  • Bernanke, B.S., (1983). “Irreversibility, uncertainty, and cyclical investment”. The Quarterly J. Econ. 98, 85–106.
  • Bloom, N. (2009). “The impact of uncertainty shocks”. Econometrica, 77(3), 623-685.
  • Breitung, J. (2005). “A parametric approach to the estimation of cointegration vectors in panel data”. Econometric Reviews 24(2), 151–173.
  • Breusch, T. S., and Pagan, A. R. (1980). “The Lagrange multiplier test and its application to model specifications in econometrics”. Reviews of Economics Studies 47, 239–253.
  • Chang, T., Chen, W. Y., Gupta, R., & Nguyen, D. K. (2015). “Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test”. Economic Systems, 39(2), 288-300.
  • Christou, C., Cunado, J., Gupta, R., and Hassapis, C. (2017). “Economic policy uncertainty and stock market returns in pacific-rim countries: Evidence based on a Bayesian Panel VAR Mode”l. Journal of Multinational Financial Management, https://doi.org/10.1016/j.mulfin.2017.03.001.
  • E. De Hoyos, R., and Sarafidis, V. (2006). “Testing for cross-sectional dependence in panel-data models”. Stata Journal, 6(4), 482-496.
  • Granger, C.W.J. (2003). “Some aspects of causal relationships”. Journal of Econometrics 112, 69–71.
  • Gulen, H., and Ion, M. (2016). “Policy uncertainty and corporate investmen”t. Review of Financial Studies, 29(3), 523-564.
  • Jones, P. M., and Olson, E. (2013). “The time-varying correlation between uncertainty, output, and inflation: Evidence from a DCC-GARCH model”. Economics Letters, 118(1), 33-37.
  • Kang, W., and Ratti, R. A. (2013). “Structural oil price shocks and policy uncertainty”. Economic Modelling, 35, 314-319.
  • Kar, M., Nazlioglu S. and Agir, H. (2011). “Financial development and economic growth nexus in the MENA countries: Bootstrap panel granger causality analysis”. Economic Modelling, 28, 685-693.
  • Karnizova, L., and Li, J. C. (2014).” Economic policy uncertainty, financial markets and probability of US recessions”. Economics Letters, 125(2), 261-265.
  • Ko, J. H., and Lee, C. M. (2015). “International economic policy uncertainty and stock prices: Wavelet approach”. Economics Letters, 134, 118-122.
  • Kónya, L. (2006). “Exports and growth: Granger causality analysis on OECD Countries with a panel data approach”. Economic Modelling 23, 978–992.
  • Liu, L., and Zhang, T. (2015). “Economic policy uncertainty and stock market volatility”. Finance Research Letters, 15, 99-105.
  • Mark, N.C., Ogaki, M. and Sul, D. (2005). “Dynamic seemingly unrelated cointegrating regression”. Review of Economic Studies 72, 797–820.
  • O’Connell, Paul G.J. (1998). “The overvaluation of purchasing power parity”. Journal of International Economics 44(1), 1-19.
  • Pástor, Ľ., anf Veronesi, P. (2013). “Political uncertainty and risk premia”. Journal of Financial Economics, 110(3), 520-545.
  • Pesaran, M.H. (2004). “General Diagnostic Tests for Cross Section Dependence in Panel”s. CESifo Working Paper 1229; IZA Discussion Paper 1240.[970].
  • Pesaran, M.H. (2006). “Estimation and inference in large heterogeneous panel with a multifactor error structure”. Econometrica 74(4), 967–1012.
  • Pesaran, M.H., Ullah, A. and Yamagata, T. (2008). “A bias-adjusted LM test of error cross-section independence”. Econometrics Journal 11, 105-127.
  • Pesaran, M.H. and Yamagata, T. (2008). “Testing slope homogeneity in large panels”. Journal of Econometrics 142, 50-93.
  • Sum, V. (2012). “The impulse response function of economic policy uncertainty and stock market returns: a look at the Eurozone”. Journal of International Finance Studies, 12(3), 100-105.
  • Swamy, P.A. (1970). “Efficient inference in a random coefficient regression model”. Econometrica 38, 311-323.
  • Wang, Y., Chen, C.R., and Huang, Y.S. (2014). “Economic policy uncertainty and corporate investment: Evidence from China”. Pacific-Basin Finance Journal, 26, 227-243.
  • Wolde-Rufael, Y. (2014). “Electricity consumption and economic growth in transition countries: A revisit using bootstrap panel Granger causality analysis”. Energy Economics 44, 325-330.
  • Zellner, A. (1962). “An efficient method of estimating seemingly unrelated regressions and tests for aggregation bias”. Journal of the American Statistical Association 57, 348–368.
There are 34 citations in total.

Details

Primary Language English
Journal Section Makaleler
Authors

Merve Karacaer Ulusoy 0000-0002-3108-8987

Burak Pirgaip 0000-0001-8870-8502

Publication Date December 31, 2019
Published in Issue Year 2019 Cilt: 23 Özel Sayı

Cite

APA Karacaer Ulusoy, M., & Pirgaip, B. (2019). The Causal Relationship between Economic Policy Uncertainty and Stock Market Returns. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 23(4), 2239-2251.

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