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題名 經濟政策不確定性與地緣政治風險對股市市場收益的影響：以土耳其為例
Time-varying Impact of Economic Policy Uncertainty and Geopolitical Risk on Stock Market Returns: Evidence from Turkiye作者 孔家康
Kocabiyik, Ozkan貢獻者 郭維裕
Kuo, Wei-Yu
孔家康
Ozkan Kocabiyik關鍵詞 BIST-100股票指數回報率
經濟政策不確定性
地緣政治風險
線性回歸
土耳其
BIST-100 stock market returns
Economic policy uncertainty
Geopolitical risk
Linear regression
Turkiye日期 2023 上傳時間 2-Aug-2023 13:45:31 (UTC+8) 摘要 The research analyses the effect of global economic policy uncertainties and recent global and country-specific geopolitical risks on the monthly returns of BIST-100 stock index returns of Turkish stock market. The study takes into account local macroeconomic variables such as the consumer price index, exchange rate, and policy interest rate to find the true effect of predictive variables.Data was collected from January 2010 to March 2023 and linear regression method was used to do the time series analysis. The results of the models shows that there is no statistically significant correlation between global economic policy uncertainty, recent geopolitical risks and country-specific geopolitical risk, and BIST-100 stock market returns in Turkiye. There is only a notable positive relationship was observed between the exchange rate and BIST-100 stock market returns. The research indicates that the investors of Turkish stock market are not sensitive to global or local political risks and global economic uncertainties.Keywords: BIST-100 stock market returns, economic policy uncertainty, geopolitical risk, linear regression, Turkiye 參考文獻 Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The quarterly journal of economics, 131(4), 1593-1636.Caldara, D., & Iacoviello, M. (2022). Measuring geopolitical risk. American Economic Review, 112(4), 1194-1225.Cheng, C. H., & Chiu, C.-W. J. (2018). How important are global geopolitical risks to emerging countries? International economics, 156, 305-325.Demir, E., & Ersan, O. (2018). The impact of economic policy uncertainty on stock returns of Turkish tourism companies. Current Issues in Tourism, 21(8), 847-855.Erdogan, L., Ceylan, R., & Abdul-Rahman, M. (2022). The Impact of domestic and global risk factors on Turkish stock market: Evidence from the NARDL approach. Emerging Markets Finance and Trade, 58(7), 1961-1974.Feldstein, M. (1983). Inflation and the stock market. In Inflation, tax rules, and capital formation (pp. 186-198). University of Chicago Press.Hoque, M. E., & Zaidi, M. A. (2020). Global and country-specific geopolitical risk uncertainty and stock return of fragile emerging economies. Borsa Istanbul Review, 20(3), 197-213.Kandil, M., Berument, H., & Dincer, N. N. (2007). The effects of exchange rate fluctuations on economic activity in Turkey. Journal of Asian Economics, 18(3), 466-489.Ozturk, N., & Karagoz, K. (2012). Relationship between inflation and financial development: Evidence from Turkey. International Journal of Alanya Faculty of Business, 4(2), 81-87.Pradhan, R. P., Arvin, M. B., & Bahmani, S. (2015). Causal nexus between economic growth, inflation, and stock market development: The case of OECD countries. Global Finance Journal, 27, 98-111.Shirodkar, S. (2017). Co-Integration and Causal Relationship Among Crude Oil Prices, Exchange Rate and Stock Market Performance: An Evidence From India. International Refereed Research Journal, 8(3), 111.Sum, V. (2012). Economic policy uncertainty and stock market performance: evidence from the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine. Journal of Money, Investment and Banking, 25, 99-104.Tiryaki, H. N., & Tiryaki, A. (2019). Determinants of Turkish stock returns under the impact of economic policy uncertainty. Uluslararasi Iktisadi ve Idari Incelemeler Dergisi(22), 147-162.Tursoy, T. (2017). Causality between stock prices and exchange rates in Turkey: Empirical evidence from the ARDL bounds test and a combined cointegration approach. International Journal of Financial Studies, 5(1), 8.Yang, M., Zhang, Q., Yi, A., & Peng, P. (2021). Geopolitical risk and stock market volatility in emerging economies: Evidence from GARCH-MIDAS model. Discrete Dynamics in Nature and Society, 2021, 1-17.Adel, S., Triki, M. B., & Abderzag, F. T. (2021). Does Geopolitical Risk and Investors` Sentiment Matter for Turkish Stock Returns? Journal of Economic Cooperation & Development, 42(1).IMF. (2023, April). World Economic Outlook Database. Retrieved from International Monetary Fund: https://www.imf.org/en/Publications/WEO/weo-database/2023/AprilEPU. (2023, April). Economic Policy Uncertainty Index. Retrieved from Economic Policy Uncertainty: http://policyuncertainty.com/index.htmlGPR. (2023, April). Geopolitical Risk Index. Retrieved from Geopolitical Risk: https://www.matteoiacoviello.com/gpr.htm 描述 碩士
國立政治大學
國際經營管理英語碩士學位學程(IMBA)
110933059資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110933059 資料類型 thesis dc.contributor.advisor 郭維裕 zh_TW dc.contributor.advisor Kuo, Wei-Yu en_US dc.contributor.author (Authors) 孔家康 zh_TW dc.contributor.author (Authors) Ozkan Kocabiyik en_US dc.creator (作者) 孔家康 zh_TW dc.creator (作者) Kocabiyik, Ozkan en_US dc.date (日期) 2023 en_US dc.date.accessioned 2-Aug-2023 13:45:31 (UTC+8) - dc.date.available 2-Aug-2023 13:45:31 (UTC+8) - dc.date.issued (上傳時間) 2-Aug-2023 13:45:31 (UTC+8) - dc.identifier (Other Identifiers) G0110933059 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/146494 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營管理英語碩士學位學程(IMBA) zh_TW dc.description (描述) 110933059 zh_TW dc.description.abstract (摘要) The research analyses the effect of global economic policy uncertainties and recent global and country-specific geopolitical risks on the monthly returns of BIST-100 stock index returns of Turkish stock market. The study takes into account local macroeconomic variables such as the consumer price index, exchange rate, and policy interest rate to find the true effect of predictive variables.Data was collected from January 2010 to March 2023 and linear regression method was used to do the time series analysis. The results of the models shows that there is no statistically significant correlation between global economic policy uncertainty, recent geopolitical risks and country-specific geopolitical risk, and BIST-100 stock market returns in Turkiye. There is only a notable positive relationship was observed between the exchange rate and BIST-100 stock market returns. The research indicates that the investors of Turkish stock market are not sensitive to global or local political risks and global economic uncertainties.Keywords: BIST-100 stock market returns, economic policy uncertainty, geopolitical risk, linear regression, Turkiye en_US dc.description.tableofcontents Acknowledgments iAbstract iiTABLE OF CONTENTS iiiList of Figures and Tables v1. Introduction 12. Literature Review 53. Data And Methodology 83.1. Data 83.1.1. Turkish Stock Market (BIST-100) 93.1.2. Global Economic Policy Uncertainty Index (GEPU) 103.1.3. Recent Geopolitical Risk Index (GPR) 123.1.4. Consumer Price Index (CPI) 143.1.5. Exchange rate (TRY/USD) 153.1.6. Interest Rate 173.2. Methodology 184. Empirical Results and Analysis 204.1. Descriptive Statistics 204.2. Unit Root Test 204.3. Regression Analysis 224.4. Coefficient of Determination (R2) 264.5. Normality Test 274.6. Multicollinearity Test 275. Conclusion 296. References 317. Appendices 347.1. Appendix A: Descriptive Statistics 347.2. Appendix B: Unit Root Tests 347.2.1. BIST_100 347.2.2. GEPU 367.2.3. GPR 377.2.4. GPRC_TUR 387.2.5. CPI 397.2.6. EX_RATE 407.2.7. INT_RATE 417.3. Appendix C: Regression Results 427.3.1. GEPU 427.3.2. GPR 427.3.3. GPRC_TUR 437.3.4. GEPU, GPR and GPRC_TUR 437.3.5. GEPU, GPR, GPRC_TUR, CPI, EX_RATE and INT_RATE 447.4. Appendix D: Normality Test 447.5. Appendix E: Multicollinearity Test 45 zh_TW dc.format.extent 4754359 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110933059 en_US dc.subject (關鍵詞) BIST-100股票指數回報率 zh_TW dc.subject (關鍵詞) 經濟政策不確定性 zh_TW dc.subject (關鍵詞) 地緣政治風險 zh_TW dc.subject (關鍵詞) 線性回歸 zh_TW dc.subject (關鍵詞) 土耳其 zh_TW dc.subject (關鍵詞) BIST-100 stock market returns en_US dc.subject (關鍵詞) Economic policy uncertainty en_US dc.subject (關鍵詞) Geopolitical risk en_US dc.subject (關鍵詞) Linear regression en_US dc.subject (關鍵詞) Turkiye en_US dc.title (題名) 經濟政策不確定性與地緣政治風險對股市市場收益的影響：以土耳其為例 zh_TW dc.title (題名) Time-varying Impact of Economic Policy Uncertainty and Geopolitical Risk on Stock Market Returns: Evidence from Turkiye en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The quarterly journal of economics, 131(4), 1593-1636.Caldara, D., & Iacoviello, M. (2022). Measuring geopolitical risk. American Economic Review, 112(4), 1194-1225.Cheng, C. H., & Chiu, C.-W. J. (2018). How important are global geopolitical risks to emerging countries? International economics, 156, 305-325.Demir, E., & Ersan, O. (2018). The impact of economic policy uncertainty on stock returns of Turkish tourism companies. Current Issues in Tourism, 21(8), 847-855.Erdogan, L., Ceylan, R., & Abdul-Rahman, M. (2022). The Impact of domestic and global risk factors on Turkish stock market: Evidence from the NARDL approach. Emerging Markets Finance and Trade, 58(7), 1961-1974.Feldstein, M. (1983). Inflation and the stock market. In Inflation, tax rules, and capital formation (pp. 186-198). University of Chicago Press.Hoque, M. E., & Zaidi, M. A. (2020). Global and country-specific geopolitical risk uncertainty and stock return of fragile emerging economies. Borsa Istanbul Review, 20(3), 197-213.Kandil, M., Berument, H., & Dincer, N. N. (2007). The effects of exchange rate fluctuations on economic activity in Turkey. Journal of Asian Economics, 18(3), 466-489.Ozturk, N., & Karagoz, K. (2012). Relationship between inflation and financial development: Evidence from Turkey. International Journal of Alanya Faculty of Business, 4(2), 81-87.Pradhan, R. P., Arvin, M. B., & Bahmani, S. (2015). Causal nexus between economic growth, inflation, and stock market development: The case of OECD countries. Global Finance Journal, 27, 98-111.Shirodkar, S. (2017). Co-Integration and Causal Relationship Among Crude Oil Prices, Exchange Rate and Stock Market Performance: An Evidence From India. International Refereed Research Journal, 8(3), 111.Sum, V. (2012). Economic policy uncertainty and stock market performance: evidence from the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine. Journal of Money, Investment and Banking, 25, 99-104.Tiryaki, H. N., & Tiryaki, A. (2019). Determinants of Turkish stock returns under the impact of economic policy uncertainty. Uluslararasi Iktisadi ve Idari Incelemeler Dergisi(22), 147-162.Tursoy, T. (2017). Causality between stock prices and exchange rates in Turkey: Empirical evidence from the ARDL bounds test and a combined cointegration approach. International Journal of Financial Studies, 5(1), 8.Yang, M., Zhang, Q., Yi, A., & Peng, P. (2021). Geopolitical risk and stock market volatility in emerging economies: Evidence from GARCH-MIDAS model. Discrete Dynamics in Nature and Society, 2021, 1-17.Adel, S., Triki, M. B., & Abderzag, F. T. (2021). Does Geopolitical Risk and Investors` Sentiment Matter for Turkish Stock Returns? Journal of Economic Cooperation & Development, 42(1).IMF. (2023, April). World Economic Outlook Database. Retrieved from International Monetary Fund: https://www.imf.org/en/Publications/WEO/weo-database/2023/AprilEPU. (2023, April). Economic Policy Uncertainty Index. Retrieved from Economic Policy Uncertainty: http://policyuncertainty.com/index.htmlGPR. (2023, April). Geopolitical Risk Index. Retrieved from Geopolitical Risk: https://www.matteoiacoviello.com/gpr.htm zh_TW
