Jeopolitik Risk ve Borsa Endeksinin Nedensellik Analizi: Gelişmekte Olan Ülkeler Üzerine Bootstrap Panel Nedensellik
Jeopolitik risk, ekonomik belirsizlik ve siyasi belirsizlik, ekonomide yol açtıkları olumsuz etkilerden dolayı “belirsizliküçlüsü” olarak anılmaktadır. Jeopolitik risk unsuru sadece yerel terör saldırılarının değil, aynı zamanda savaş riskleri, askeritehditler ve Orta Doğu gerginlikleri gibi tüm küresel belirsizlikleri kapsamaktadır. Jeopolitik riskler yatırım kararlarınınbelirleyicilerinden biri olması nedeniyle tüm finansal piyasaları etkilemektedir. Yüksek jeopolitik riskin borsa endeksinde düşüş,yabancı sermayenin ülkeden çıkışı, ekonomik faaliyet hacminde daralma şeklinde sıralanacak makro ve mikro ölçekli pek çokolumsuz etkisinden bahsedilmektedir. Jeopolitik riskin etkilerini ampirik olarak test etmeye yönelik çalışmaların sayısı ise oldukçasınırlıdır. Bu durumun en temel nedeni, jeopolitik riskin ölçümüne yönelik tutarlı bir göstergenin olmayışından kaynaklanmaktadır.Caldara ve Iacoviello (2016), ABD, İngiltere ve Kanada’da basılan 11 gazetenin arşivlerini tarayarak ülkeler arası savaş, teröristatak ve askeri gerilimleri konu eden haberlerin sayımını yapmışlar ve 1985 yılı Ocak ayından başlamak üzere jeopolitik riskölçütünü (Geopolitical Risk-GPR) geliştirmişlerdir. Bu çalışma Aralık 1987-Ağustos 2018 döneminde 9 gelişmekte olan ülkedeCaldara ve Iacoviello (2016) jeopolitik risk ölçütü ve borsa endeksi arasında nedensellik ilişkisinin varlığını araştırmaktadır. Buamaçla her bir ülke için bootstrap ve Wald istatistiğinin hesaplandığı SUR sistemine dayalı bir yöntem olan Kónya (2006) panelnedensellik testi uygulanmıştır. Elde edilen ampirik bulgular Arjantin, Brezilya, Meksika ve Tayland’da jeopolitik riskten borsaendeksine doğru tek yönlü nedensellik olduğunu göstermiştir
Causality Analysis of Geopolitical Risks and Stock Market Indices: A Bootstrap Panel Causality Test on Developing Countries
Geopolitical risk, economic uncertainty and political uncertainty are referred to as the “triangle of uncertainty” due to the negative effects they have caused in the economy. The geopolitical element of risk includes not only local terror attacks, but also all global uncertainties such as war risks, military threats and Middle Eastern tensions. Geopolitical risks affect all financial markets as they are one of the determinants of investment decisions. High geopolitical risk has many macro-and micro-scale negative impacts on the stock market indices, the outflow of foreign capital and the reduction in the volume of economic activity. However, the number of studies to empirically investigate the effects of the geopolitical risk is quite limited. The main reason for this situation is the lack of a consistent indicator for the measurement of geopolitical risks. Caldara and Iacoviello (2016) have scanned the archives of 11 newspapers published in the US, UK and Canada, counting news on war between countries, terrorist attacks and military tensions, and developed Geopolitical Risks (GPR) criteria starting from January 1985. This paper investigates the possibility of causality between Caldara and Iacoviello (2016) geopolitical risks (GPR) and stock index in 9 developing countries in the period of December 1987-August 2018. To this aim, Kónya (2006) panel causality test based on SUR system is applied in which country bootstrap critical values and Wald statistics are obtained. The results indicate one-way causality from geopolitical risks (GRP) to stock market indices in Argentina, Brazil, Mexico, and Thailand
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- ISSN: 2146-3042
- Yayın Aralığı: Yılda 4 Sayı
- Başlangıç: 2005
- Yayıncı: Muhasebe ve Finansman Öğretim Üyeleri Derneği (MUFAD)