The Causal Relationship between Economic Policy Uncertainty and Stock Market Returns

Merve KARACAER ULUSOY; Burak PİRGAİP

Article Details

The Causal Relationship between Economic Policy Uncertainty and Stock Market Returns

Authors:

Merve KARACAER ULUSOY | Burak PİRGAİP

Publisher:

Ataturk University

Main Topics:

Sociology and anthropology

Journal:

Journal of Graduate School of Social Sciences 2019 Vol.23 Issue 4, pp.2239-2251

Document Type:

Article

Publication Date:

12/2019

Document Language:

English

Document ID (Org No.):

2000897316

Frequency:

Monthly

eISSN:

2822-3160

Keywords:

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. 


.

 


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. 


.

Article Details

The Causal Relationship between Economic Policy Uncertainty and Stock Market Returns

Authors:

Merve KARACAER ULUSOY | Burak PİRGAİP

Publisher:

Ataturk University

Main Topics:

Sociology and anthropology

Journal:

Journal of Graduate School of Social Sciences 2019 Vol.23 Issue 4, pp.2239-2251

Document Type:

Article

Publication Date:

12/2019

Document Language:

English

Document ID (Org No.):

2000897316

Frequency:

Monthly

eISSN:

2822-3160

Ekonomik politika belirsizliği

borsa getirileri

Panel Granger nedensellik

gelişmekte olan piyasalar

gelişmiş piyasalar

Issues

Article Details

The Causal Relationship between Economic Policy Uncertainty and Stock Market Returns

Authors: Merve KARACAER ULUSOY | Burak PİRGAİP

Publisher: Ataturk University

Main Topics: Sociology and anthropology

Journal: Journal of Graduate School of Social Sciences 2019 Vol.23 Issue 4, pp.2239-2251

Document Type: Article

Publication Date: 12/2019

Document Language: English

Document ID (Org No.): 2000897316

Frequency: Monthly

eISSN: 2822-3160

Ekonomik politika belirsizliği

borsa getirileri

Panel Granger nedensellik

gelişmekte olan piyasalar

gelişmiş piyasalar

Issues

Authors:

Merve KARACAER ULUSOY | Burak PİRGAİP

Publisher:

Ataturk University

Main Topics:

Sociology and anthropology

Journal:

Journal of Graduate School of Social Sciences 2019 Vol.23 Issue 4, pp.2239-2251

Document Type:

Article

Publication Date:

12/2019

Document Language:

English

Document ID (Org No.):

2000897316

Frequency:

Monthly

eISSN:

2822-3160