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NON-LINEAR IMPACTS OF GLOBAL AND COUNTRY-SPESIFIC GEOPOLITICAL RISKS ON STOCK MARKETS

Year 2022, Volume: 13 Issue: 26, 858 - 892, 27.12.2022

Selim Güngör , Elif Erer

https://doi.org/10.36543/kauiibfd.2022.035

Abstract

In this study, it is aimed to investigate the effects of country-specific and global geopolitical risks on stock markets in European Union countries for the period January-1998-February 2022. In this context, global and country-spesific news-based geopolitical risk indices and country stock indices are analyzed with Balcilar et al. (2016)’s non-parametric quantile causality test. The findings revealed that country-specific and global geopolitical risks have a significant effect on stock returns and volatility for Finland, Germany and France. These findings highlight the importance of a strong financial sector that can help the market return to a stable structure that allows local investors to diversify country-specific risks in their portfolios.

Keywords

Geopolitical Risk, Financial Markets, Non-Parametric Quantile Causality

References

  • Adel, S., Triki, M.B. ve Abderzag, F.T. (2021). Does Geopolitical Risk and Investors' Sentiment Matter for Turkish Stock Returns?. Journal of Economic Cooperation & Development, 42(1), 1-17.
  • Alqahtani, A., Hammoudeh, S. ve Selmi, R. (2021). Relationship between Different Sources of Geopolitical Risks and Stock Markets in the GCC Region: A Dynamic Correlation Analysis. Review of Behavioral Finance, 1-21.
  • Apergis, N., Bonato, M., Gupta, R. ve Kyei, C. (2018). Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach”, Defence and Peace Economics, 29(6), 684-696.
  • Balcilar, M. ve Ozdemir, Z.A. (2013). Asymmetric and Time-Varying Casuality between Inflation and Inflation Uncertainty in G-7 Countries. Scottish Journal of Political Economy, 60, 1-42.
  • Balcilar, M., Gupta, R., Kyei, C. ve Wohar, M. E. (2016). Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test. Open Economies Review, 27(2), 1-22.
  • Balcilar, M., Bekiros, S. ve Gupta. R. (2017). The Role of News-Based Uncertainty Indices in Predicting Oil Markets: A Hybrid Nonparametric Quantile Causality Method. Empirical Economics, 53(3), 1-11.
  • Balcilar, M., Bonato, M., Demirer, R., ve Gupta, R. (2018). Geopolitical Risks and Stock Market Dynamics of the BRICS. Economic Systems, 42(2), 295-306.
  • Bernanke, B.S. (1983). Irreversibility, Uncertainty, and Cyclical Investment. The Quarterly Journal of Economics, 98(1), 85–106.
  • Bhatia, V., Das, D., Tiwari, A. K. ve Shahbaz, M. (2018). Do Precious Metal Spot Prices İnfluence Each Other? Evidence from a Nonparametric Causality-in-Quantiles Approach. Resources Policy, 55, 244-252.
  • Bloom, N. (2009). The Impact of Uncertainty Shocks. Econometrica, 77(3), 623–685.
  • Brock, W.A., Scheinkman, J., Dechert, W.D. ve Lebaron, B. (1996). A Test for Independence Based on a Correlation Dimension. Econometric Reviews, 15(3), 197-235.
  • Caldara, D. ve Iacoviello, M. (2018). Measuring Geopolitical Risk”, Federal Reserve Board International Finance Discussion Paper No. 1222, doi: http://dx.doi.org/10.17016/ IFDP.2018.1222, 1-66.
  • Caldara ve Iacoviello (2022). Global and Country-Spesific Indexes, https://www.matteoiacoviello.com/gpr.htm, (Erişim Tarihi:17.02.2022).
  • Carney, M. (2016). Uncertainty, the economy and policy. Bank of England, https://www.bis.org/review/r160704c.pdf, (Erişim Tarihi: 16.02.2022).
  • Choi, S.Y. (2021). Evidence from A Multiple and Partial Wavelet Analysis on the Impact of Geopolitical Concerns on Stock Markets in North-East Asian Countries. Finance Research Letters, 102465, 1-7.
  • Dixit, A.K. ve Pindyck, R.S. (1994). Investment Under Uncertainty, New Jersey: Princeton University Press.
  • Doğan, E. ve Afşar, A. (2021). Politik ve Jeopolitik Riskler Hisse Senedi Piyasalarını Nasıl Etkiler: Yükselen Piyasa Ekonomilerinden Ampirik Kanıtlar. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 16(3), 688–704.
  • Elsayeda, A.H. ve Helmib, M.H. (2019). The Impact of Geopolitical Risk on Stock Market Return and Volatility in the MENA Countries, https://eventscal.lau.edu.lb/pdf/the-impact-of-geopolitical-risk.pdf, (Erişim Tarihi: 15.02.2022).
  • Fernández-Villaverde, J., Guerrón-Quintana, P., Kuester, K. ve Rubio-Ramírez, J. (2015). Fiscal Volatility Shocks and Economic Activity. American Economic Review, 105(11), 3352-3384.
  • Fossung, G.A., Vovas, V.C. ve Quoreshi, A.M.M. (2021). Impact of Geopolitical Risk on the Information Technology, Communication Services and Consumer Staples Sectors of the S&P 500 Index. Journal of Risk and Financial Management, 14(11), 552, 1-41.
  • Gkillas, K., Gupta, R. ve Wohar, M.E. (2018). Volatility Jumps: The Role of Geopolitical Risks. Finance Research Letters, 27, 247–258.
  • Gupta, R., Hammoudeh, S., Modise, M.P. ve Nguyen, D.K. (2014). Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict US Equity Premium?. Journal of International Financial Markets, Institutions and Money, 33, 367–378.
  • Hasan, M., Naeem, M.A., Arif, M., Shahzad, S.J.H. ve Nor, S.M. (2020). Geopolitical Risk and Tourism Stocks of Emerging Economies. Sustainability, 12(9261),1-21.
  • Hoque, M.E. ve Zaidi, M.A.S. (2020). Global and Country-Specific Geopolitical Risk Uncertainty and Stock Return of Fragile Emerging Economies. Borsa Istanbul Review, 20(3), 197-213.
  • Jalloul, M., ve Miescu, M. (2021). Equity Market Connectedness across Regimes of Geopolitical Risks: Historical Evidence and Theory, https://eprints.lancs.ac.uk/id/eprint/153780/1/LancasterWP2021_001.pdf, (Erişim Tarihi: 15.02.2022).
  • Jeong, K., Härdle, W. K. ve Song, S. (2012). A Consistent Nonparametric Test for Causality in Quantile. Econometric Theory, 28(4), 861-887.
  • Jung, S., Lee, J. ve Lee, S. (2021). The Impact of Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics. IMF Working Papers, 2021(251), 1-23.
  • Kang, W. ve Ratti, R.A. (2013). Oil Shocks, Policy Uncertainty and Stock Market Return. Journal of International Financial Markets, Institutions and Money, 26, 305–318.
  • Kang, W. ve Ratti, R.A. (2015). Oil Shocks, Policy Uncertainty and Stock Returns in China. Economics of Transition, 23(4), 657–676.
  • Kannadhasan, M. ve Das, D. (2020). Do Asian Emerging Stock Markets React to International Economic Policy Uncertainty and Geopolitical Risk Alike? A Quantile Regression Approach. Finance Research Letters, 34, 1-7.
  • Kisman, Z. ve Restiyanita, S.M. (2015). The Validity of Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in Predicting the Return of Stocks in Indonesia Stock Exchange. American Journal of Economics, Finance and Management 1(3), 184–189.
  • Mensi, W., Hammoudeh, S., Yoon, S.M. ve Nguyen, D.K. (2016). Asymmetric Linkages between BRICS Stock Returns and Country Risk Ratings: Evidence from Dynamic Panel Threshold Models. Review of International Economics, 24(1), 1–19.
  • Myers, S.C. ve Majluf, N.S. (1984). Corporate Financing and Investment Decision When Firms Have Information That Investors Do Not Have. Journal of Financial Economics, 13(2), 187–221.
  • Ndako, U.B., Salisu, A.A. ve Ogunsiji, M.O. (2021). Geopolitical Risk and the Return Volatility of Islamic Stocks in Indonesia and Malaysia: A GARCH-MIDAS Approach. Asian Economics Letters, 2(3), 1-5.
  • Nishiyama, Y., Hitomi, K., Kawasaki, Y. ve Jeong, K. (2011). A Consistent Nonparametric Test for Nonlinear Causality-Specification in Time Series Regression. Journal of Econometrics, 165(1), 112-127.
  • Oad Rajput, S.K., Siyal, T.A. ve Bajaj, N.K. (2019). Islamic Stock Markets and Geopolitical Risk, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3484057, (Erişim Tarihi: 16.02.2022).
  • Polat, M., Alptürk, Y. ve Gürsoy, S. (2021). Impact of Geopolitical Risk on BIST Tourism Index and Tourist Arrivals in Turkey. Journal of Tourism Theory and Research, 7(2), 77-84.
  • Pwc (2018), Global Investor Survey, https://www.pwc.com/gx/en/ceo-survey/2018/deep-dives/pwc-global-investor-survey-2018.pdf, (Erişim Tarihi: 16.02.2022).
  • Sağlam Bezgin, M. (2019). Türkiye’nin Jeopolitik Riski’nin Borsa İstanbul Endeks Getirileri Üzerine Etkisinin İncelenmesi (ss.2564-2574)”, 18.Uluslararası İşletmecilik Kongresi Bildiriler Kitabı, Osmaniye Korkutata Üniversitesi İktisadi ve İdari Bilimler Fakültesi, 02-04 Mayıs 2019, Osmaniye, Türkiye.
  • Salisu, A.A., Lasisi, L. ve Tchankam, J.P. (2021). Historical Geopolitical Risk and the Behaviour of Stock Returns in Advanced Economies. The European Journal of Finance, 1-18.
  • Singh, V. ve Roca, E.D. (2022). China’s Geopolitical Risk and International Financial Markets: Evidence from Canada. Applied Economics, DOI: 10.1080/00036846.2021.2019185, 1-19.
  • Şahin, E.E., ve Arslan, H. (2021). An Analysis of the Effects of Geopolitical Risks on Stock Returns and Exchange Rates Using a Nonparametric Method. Muhasebe ve Finansman Dergisi, 89, 237-250.
  • Tülgen Çetin, D. (2019). Türkiye'de Jeopolitik Risk ve İslami Hisse Senedi Endeksi (Katılım 30) Arasındaki Nedensellik ve Eş-Bütünleşme İlişkisi: Ampirik Bir Analiz (s.48), Uluslararası İslam Ekonomisi, Finans ve Etik Kongresi Özet Bildiriler Kitabı, 27-28 Nisan, 2019, İstanbul, Türkiye.
  • Üçler, G. ve Özşahin, Ş. (2020). Jeopolitik Risk ve Borsa Endeksinin Nedensellik Analizi: Gelişmekte Olan Ülkeler Üzerine Bootstrap Panel Nedensellik Testi. Muhasebe ve Finansman Dergisi, 87, 167-180.
  • Yahoo Finance (2022), Index Data, https://finance.yahoo.com/, (Erişim Tarihi:17.02.2022).
  • Yang, M., Zhang, Q., Yi, A. ve Peng, P. (2021). Geopolitical Risk and Stock Market Volatility in Emerging Economies: Evidence from GARCH-MIDAS Model”, Discrete Dynamics in Nature and Society, 2021, https://doi.org/10.1155/2021/1159358, 1-17.
  • Zaremba, A., Cakici, N., Demir, E. ve Long, H. (2022). When Bad News is Good News: Geopolitical Risk and the Cross-Section of Emerging Market Stock Returns. Journal of Financial Stability, 58, 100964, 1-19.
  • Zhou, M. J., Huang, J. B. ve Chen, J.Y. (2020). The Effects of Geopolitical Risks on the Stock Dynamics of China's Rare Metals: A TVP-VAR Analysis. Resources Policy, 68, 101784, 1-11.

KÜRESEL VE ÜLKEYE ÖZGÜ JEOPOLİTİK RİSKLERİN HİSSE SENEDİ PİYASALARINA DOĞRUSAL OLMAYAN ETKİLERİ

Year 2022, Volume: 13 Issue: 26, 858 - 892, 27.12.2022

Selim Güngör , Elif Erer

https://doi.org/10.36543/kauiibfd.2022.035

Abstract

Bu çalışmada Ocak-1998-Şubat 2022 dönemi için Avrupa Birliği ülkelerinde küresel ve ülkeye özgü jeopolitik risklerin hisse senedi piyasaları üzerindeki etkilerinin araştırılması amaçlanmıştır. Bu kapsamda, küresel ve ülkeye özgü haber tabanlı jeopolitik risk endeksleri ve ülkelerin hisse senedi endeksleri Balcilar vd. (2016)’nin parametrik olmayan kantil nedensellik testiyle incelenmiştir. Elde edilen bulgular, Finlandiya, Almanya ve Fransa ülkeleri için ülkeye özgü ve küresel jeopolitik risklerin hisse senedi getiri ve volatilitesi üzerinde anlamlı bir etkiye sahip olduğunu ortaya koymuştur. Bu bulgular, piyasanın, yerel yatırımcıların portföylerinde ülkeye özgü riskleri çeşitlendirmelerine izin veren istikrarlı bir yapıya geri dönmesine yardımcı olabilecek güçlü bir finans sektörünün önemini vurgulamaktadır.

Keywords

Jeopolitik risk finansal piyasalar parametrik olmayan kantil nedensellik

References

  • Adel, S., Triki, M.B. ve Abderzag, F.T. (2021). Does Geopolitical Risk and Investors' Sentiment Matter for Turkish Stock Returns?. Journal of Economic Cooperation & Development, 42(1), 1-17.
  • Alqahtani, A., Hammoudeh, S. ve Selmi, R. (2021). Relationship between Different Sources of Geopolitical Risks and Stock Markets in the GCC Region: A Dynamic Correlation Analysis. Review of Behavioral Finance, 1-21.
  • Apergis, N., Bonato, M., Gupta, R. ve Kyei, C. (2018). Does Geopolitical Risks Predict Stock Returns and Volatility of Leading Defense Companies? Evidence from a Nonparametric Approach”, Defence and Peace Economics, 29(6), 684-696.
  • Balcilar, M. ve Ozdemir, Z.A. (2013). Asymmetric and Time-Varying Casuality between Inflation and Inflation Uncertainty in G-7 Countries. Scottish Journal of Political Economy, 60, 1-42.
  • Balcilar, M., Gupta, R., Kyei, C. ve Wohar, M. E. (2016). Does Economic Policy Uncertainty Predict Exchange Rate Returns and Volatility? Evidence from a Nonparametric Causality-in-Quantiles Test. Open Economies Review, 27(2), 1-22.
  • Balcilar, M., Bekiros, S. ve Gupta. R. (2017). The Role of News-Based Uncertainty Indices in Predicting Oil Markets: A Hybrid Nonparametric Quantile Causality Method. Empirical Economics, 53(3), 1-11.
  • Balcilar, M., Bonato, M., Demirer, R., ve Gupta, R. (2018). Geopolitical Risks and Stock Market Dynamics of the BRICS. Economic Systems, 42(2), 295-306.
  • Bernanke, B.S. (1983). Irreversibility, Uncertainty, and Cyclical Investment. The Quarterly Journal of Economics, 98(1), 85–106.
  • Bhatia, V., Das, D., Tiwari, A. K. ve Shahbaz, M. (2018). Do Precious Metal Spot Prices İnfluence Each Other? Evidence from a Nonparametric Causality-in-Quantiles Approach. Resources Policy, 55, 244-252.
  • Bloom, N. (2009). The Impact of Uncertainty Shocks. Econometrica, 77(3), 623–685.
  • Brock, W.A., Scheinkman, J., Dechert, W.D. ve Lebaron, B. (1996). A Test for Independence Based on a Correlation Dimension. Econometric Reviews, 15(3), 197-235.
  • Caldara, D. ve Iacoviello, M. (2018). Measuring Geopolitical Risk”, Federal Reserve Board International Finance Discussion Paper No. 1222, doi: http://dx.doi.org/10.17016/ IFDP.2018.1222, 1-66.
  • Caldara ve Iacoviello (2022). Global and Country-Spesific Indexes, https://www.matteoiacoviello.com/gpr.htm, (Erişim Tarihi:17.02.2022).
  • Carney, M. (2016). Uncertainty, the economy and policy. Bank of England, https://www.bis.org/review/r160704c.pdf, (Erişim Tarihi: 16.02.2022).
  • Choi, S.Y. (2021). Evidence from A Multiple and Partial Wavelet Analysis on the Impact of Geopolitical Concerns on Stock Markets in North-East Asian Countries. Finance Research Letters, 102465, 1-7.
  • Dixit, A.K. ve Pindyck, R.S. (1994). Investment Under Uncertainty, New Jersey: Princeton University Press.
  • Doğan, E. ve Afşar, A. (2021). Politik ve Jeopolitik Riskler Hisse Senedi Piyasalarını Nasıl Etkiler: Yükselen Piyasa Ekonomilerinden Ampirik Kanıtlar. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 16(3), 688–704.
  • Elsayeda, A.H. ve Helmib, M.H. (2019). The Impact of Geopolitical Risk on Stock Market Return and Volatility in the MENA Countries, https://eventscal.lau.edu.lb/pdf/the-impact-of-geopolitical-risk.pdf, (Erişim Tarihi: 15.02.2022).
  • Fernández-Villaverde, J., Guerrón-Quintana, P., Kuester, K. ve Rubio-Ramírez, J. (2015). Fiscal Volatility Shocks and Economic Activity. American Economic Review, 105(11), 3352-3384.
  • Fossung, G.A., Vovas, V.C. ve Quoreshi, A.M.M. (2021). Impact of Geopolitical Risk on the Information Technology, Communication Services and Consumer Staples Sectors of the S&P 500 Index. Journal of Risk and Financial Management, 14(11), 552, 1-41.
  • Gkillas, K., Gupta, R. ve Wohar, M.E. (2018). Volatility Jumps: The Role of Geopolitical Risks. Finance Research Letters, 27, 247–258.
  • Gupta, R., Hammoudeh, S., Modise, M.P. ve Nguyen, D.K. (2014). Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict US Equity Premium?. Journal of International Financial Markets, Institutions and Money, 33, 367–378.
  • Hasan, M., Naeem, M.A., Arif, M., Shahzad, S.J.H. ve Nor, S.M. (2020). Geopolitical Risk and Tourism Stocks of Emerging Economies. Sustainability, 12(9261),1-21.
  • Hoque, M.E. ve Zaidi, M.A.S. (2020). Global and Country-Specific Geopolitical Risk Uncertainty and Stock Return of Fragile Emerging Economies. Borsa Istanbul Review, 20(3), 197-213.
  • Jalloul, M., ve Miescu, M. (2021). Equity Market Connectedness across Regimes of Geopolitical Risks: Historical Evidence and Theory, https://eprints.lancs.ac.uk/id/eprint/153780/1/LancasterWP2021_001.pdf, (Erişim Tarihi: 15.02.2022).
  • Jeong, K., Härdle, W. K. ve Song, S. (2012). A Consistent Nonparametric Test for Causality in Quantile. Econometric Theory, 28(4), 861-887.
  • Jung, S., Lee, J. ve Lee, S. (2021). The Impact of Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics. IMF Working Papers, 2021(251), 1-23.
  • Kang, W. ve Ratti, R.A. (2013). Oil Shocks, Policy Uncertainty and Stock Market Return. Journal of International Financial Markets, Institutions and Money, 26, 305–318.
  • Kang, W. ve Ratti, R.A. (2015). Oil Shocks, Policy Uncertainty and Stock Returns in China. Economics of Transition, 23(4), 657–676.
  • Kannadhasan, M. ve Das, D. (2020). Do Asian Emerging Stock Markets React to International Economic Policy Uncertainty and Geopolitical Risk Alike? A Quantile Regression Approach. Finance Research Letters, 34, 1-7.
  • Kisman, Z. ve Restiyanita, S.M. (2015). The Validity of Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) in Predicting the Return of Stocks in Indonesia Stock Exchange. American Journal of Economics, Finance and Management 1(3), 184–189.
  • Mensi, W., Hammoudeh, S., Yoon, S.M. ve Nguyen, D.K. (2016). Asymmetric Linkages between BRICS Stock Returns and Country Risk Ratings: Evidence from Dynamic Panel Threshold Models. Review of International Economics, 24(1), 1–19.
  • Myers, S.C. ve Majluf, N.S. (1984). Corporate Financing and Investment Decision When Firms Have Information That Investors Do Not Have. Journal of Financial Economics, 13(2), 187–221.
  • Ndako, U.B., Salisu, A.A. ve Ogunsiji, M.O. (2021). Geopolitical Risk and the Return Volatility of Islamic Stocks in Indonesia and Malaysia: A GARCH-MIDAS Approach. Asian Economics Letters, 2(3), 1-5.
  • Nishiyama, Y., Hitomi, K., Kawasaki, Y. ve Jeong, K. (2011). A Consistent Nonparametric Test for Nonlinear Causality-Specification in Time Series Regression. Journal of Econometrics, 165(1), 112-127.
  • Oad Rajput, S.K., Siyal, T.A. ve Bajaj, N.K. (2019). Islamic Stock Markets and Geopolitical Risk, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3484057, (Erişim Tarihi: 16.02.2022).
  • Polat, M., Alptürk, Y. ve Gürsoy, S. (2021). Impact of Geopolitical Risk on BIST Tourism Index and Tourist Arrivals in Turkey. Journal of Tourism Theory and Research, 7(2), 77-84.
  • Pwc (2018), Global Investor Survey, https://www.pwc.com/gx/en/ceo-survey/2018/deep-dives/pwc-global-investor-survey-2018.pdf, (Erişim Tarihi: 16.02.2022).
  • Sağlam Bezgin, M. (2019). Türkiye’nin Jeopolitik Riski’nin Borsa İstanbul Endeks Getirileri Üzerine Etkisinin İncelenmesi (ss.2564-2574)”, 18.Uluslararası İşletmecilik Kongresi Bildiriler Kitabı, Osmaniye Korkutata Üniversitesi İktisadi ve İdari Bilimler Fakültesi, 02-04 Mayıs 2019, Osmaniye, Türkiye.
  • Salisu, A.A., Lasisi, L. ve Tchankam, J.P. (2021). Historical Geopolitical Risk and the Behaviour of Stock Returns in Advanced Economies. The European Journal of Finance, 1-18.
  • Singh, V. ve Roca, E.D. (2022). China’s Geopolitical Risk and International Financial Markets: Evidence from Canada. Applied Economics, DOI: 10.1080/00036846.2021.2019185, 1-19.
  • Şahin, E.E., ve Arslan, H. (2021). An Analysis of the Effects of Geopolitical Risks on Stock Returns and Exchange Rates Using a Nonparametric Method. Muhasebe ve Finansman Dergisi, 89, 237-250.
  • Tülgen Çetin, D. (2019). Türkiye'de Jeopolitik Risk ve İslami Hisse Senedi Endeksi (Katılım 30) Arasındaki Nedensellik ve Eş-Bütünleşme İlişkisi: Ampirik Bir Analiz (s.48), Uluslararası İslam Ekonomisi, Finans ve Etik Kongresi Özet Bildiriler Kitabı, 27-28 Nisan, 2019, İstanbul, Türkiye.
  • Üçler, G. ve Özşahin, Ş. (2020). Jeopolitik Risk ve Borsa Endeksinin Nedensellik Analizi: Gelişmekte Olan Ülkeler Üzerine Bootstrap Panel Nedensellik Testi. Muhasebe ve Finansman Dergisi, 87, 167-180.
  • Yahoo Finance (2022), Index Data, https://finance.yahoo.com/, (Erişim Tarihi:17.02.2022).
  • Yang, M., Zhang, Q., Yi, A. ve Peng, P. (2021). Geopolitical Risk and Stock Market Volatility in Emerging Economies: Evidence from GARCH-MIDAS Model”, Discrete Dynamics in Nature and Society, 2021, https://doi.org/10.1155/2021/1159358, 1-17.
  • Zaremba, A., Cakici, N., Demir, E. ve Long, H. (2022). When Bad News is Good News: Geopolitical Risk and the Cross-Section of Emerging Market Stock Returns. Journal of Financial Stability, 58, 100964, 1-19.
  • Zhou, M. J., Huang, J. B. ve Chen, J.Y. (2020). The Effects of Geopolitical Risks on the Stock Dynamics of China's Rare Metals: A TVP-VAR Analysis. Resources Policy, 68, 101784, 1-11.
There are 48 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Selim Güngör 0000-0002-2997-1113

Elif Erer 0000-0002-2238-4602

Publication Date December 27, 2022
Acceptance Date November 22, 2022
Published in Issue Year 2022 Volume: 13 Issue: 26

Cite

APA Güngör, S., & Erer, E. (2022). KÜRESEL VE ÜLKEYE ÖZGÜ JEOPOLİTİK RİSKLERİN HİSSE SENEDİ PİYASALARINA DOĞRUSAL OLMAYAN ETKİLERİ. Kafkas Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 13(26), 858-892. https://doi.org/10.36543/kauiibfd.2022.035
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