Investigation of the Relationship between Economic and Political Uncertainty and General Economic Outlook: An Econometric Analysis on Athens Stock Exchange

Year 2020, Volume: 10 Issue: 1, 73 - 104, 30.06.2020

Mustafa Özyeşil

https://doi.org/10.31679/adamakademi.686464

Abstract

In this study, the relationship between economic and political uncertainties in Greece and price movements of the Athens Stock Exchange and its volatility are examined through 19 econometric models calculated by using the Chowdhury (1993) volatility calculation method. Panel data analysis is conducted. Kapetanios (2005) structural break unit root test is performed, and it is observed that series are stationary at different levels. The bounds testing approach developed by Pesaran et al. (2001) is applied to detect cointegration between the series. To find out structural breaking dates that are critical and affect the performance of stock exchange, Bai-Perron (2003) multiple structural change method is performed by using dummy variables. In the long-term analysis, a negative relationship between the political and economic uncertainty indicators in Greece and the Athens Stock Exchange Index is determined. Uncertainties in tax policies (EPUT), economic uncertainties (EU) and uncertainties in banking policies (EPUB) are determined factors as having the most impact on the stock exchange. In the short-term analysis, it is observed that the uncertainties in question are also effective on the Athens Stock Exchange Index, but they did not have a significant effect on the price volatility of the stock exchange.

Keywords

Greek Economy, Athens Stock Exchange Index, Volatility in Athens Stock Exchange Index, Uncertainties in Economic Policies, Structural Break Analysis, Boundary Test, ARDL

Ekonomik ve Politik Belirsizlikler ile Genel Ekonomik Görünüm Arasındaki İlişkinin İncelenmesi: Atina Menkul Kıymetler Borsası Üzerine Ekonometrik Bir Analiz

Abstract

Bu çalışmada, Yunanistan'daki ekonomik ve politik belirsizlikler ile Atina Menkul Kıymetler Borsası'nın fiyat hareketleri ve oynaklığı arasındaki ilişki, Chowdhury (1993) oynaklık hesaplama yöntemi kullanılarak hesaplanan 19 ekonometrik model ile incelenmiştir. Çalışmada panel veri analizi yapılmıştır. Analizde ilk olarak Kapetanios (2005) yapısal kırılma ünitesi kök testi yapılmış ve serilerin farklı seviyelerde durağan olduğu görülmüştür. Seriler arasındaki eşbütünleşmeyi tespit etmek için Pesaran ve ark. (2001) tarafından geliştirilen Sınır Testi yöntemi uygulanmıştır. Atina Borsasının performansını etkileyen yapısal kırılma tarihlerini tespit etmek amacıyla kukla değişkenler kullanılarak Bai-Perron (2003) çoklu yapısal değişim yöntemi uygulanmıştır. Uzun vadeli analizde, Yunanistan'daki siyasi ve ekonomik belirsizlik göstergeleri ile Atina Menkul Kıymetler Borsası Endeksi arasında negatif bir ilişki belirlenmiştir. Vergi politikalarındaki belirsizlikler (EPUT), ekonomik belirsizlikler (EU) ve bankacılık politikalarındaki belirsizlikler (EPUB) borsa üzerinde en fazla etkiye sahip göstergeler olarak belirlenmiştir. Kısa vadeli analizde, söz konusu belirsizliklerin kısa vadede Atina Menkul Kıymetler Borsası Endeksi'nde de etkili olduğu, ancak borsaların fiyat oynaklığı üzerinde önemli bir etkiye sahip olmadıkları görülmektedir.

Keywords

Yunanistan Ekonomisi, Atina Borsa Endeksi, Atina Borsa Endeksindeki Oynaklık, Ekonomi Politikalarındaki Belirsizlikler, Yapısal Kırılmalı Analiz, Sınır Testi, ARDL

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