Ekonomik Politika Belirsizliği İle Borsa Getirileri Arasındaki Nedensellik İlişkisi

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.

Anahtar Kelimeler:

Ekonomik politika belirsizliği, borsa getirileri, , Panel Granger nedensellik, gelişmekte olan piyasalar, gelişmiş piyasalar

The Causal Relationship between Economic Policy Uncertainty and Stock Market Returns

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.

Keywords:

Economic policy uncertainty, stock market returns, Panel Granger causality, emerging markets, developed markets,

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