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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/April
EPU. (2023, April). Economic Policy Uncertainty Index. Retrieved from Economic Policy Uncertainty: http://policyuncertainty.com/index.html
GPR. (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-Yuen_US
dc.contributor.author (Authors) 孔家康zh_TW
dc.contributor.author (Authors) Ozkan Kocabiyiken_US
dc.creator (作者) 孔家康zh_TW
dc.creator (作者) Kocabiyik, Ozkanen_US
dc.date (日期) 2023en_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) G0110933059en_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) 110933059zh_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 i
Abstract ii
TABLE OF CONTENTS iii
List of Figures and Tables v
1. Introduction 1
2. Literature Review 5
3. Data And Methodology 8
3.1. Data 8
3.1.1. Turkish Stock Market (BIST-100) 9
3.1.2. Global Economic Policy Uncertainty Index (GEPU) 10
3.1.3. Recent Geopolitical Risk Index (GPR) 12
3.1.4. Consumer Price Index (CPI) 14
3.1.5. Exchange rate (TRY/USD) 15
3.1.6. Interest Rate 17
3.2. Methodology 18
4. Empirical Results and Analysis 20
4.1. Descriptive Statistics 20
4.2. Unit Root Test 20
4.3. Regression Analysis 22
4.4. Coefficient of Determination (R2) 26
4.5. Normality Test 27
4.6. Multicollinearity Test 27
5. Conclusion 29
6. References 31
7. Appendices 34
7.1. Appendix A: Descriptive Statistics 34
7.2. Appendix B: Unit Root Tests 34
7.2.1. BIST_100 34
7.2.2. GEPU 36
7.2.3. GPR 37
7.2.4. GPRC_TUR 38
7.2.5. CPI 39
7.2.6. EX_RATE 40
7.2.7. INT_RATE 41
7.3. Appendix C: Regression Results 42
7.3.1. GEPU 42
7.3.2. GPR 42
7.3.3. GPRC_TUR 43
7.3.4. GEPU, GPR and GPRC_TUR 43
7.3.5. GEPU, GPR, GPRC_TUR, CPI, EX_RATE and INT_RATE 44
7.4. Appendix D: Normality Test 44
7.5. 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/#G0110933059en_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 returnsen_US
dc.subject (關鍵詞) Economic policy uncertaintyen_US
dc.subject (關鍵詞) Geopolitical risken_US
dc.subject (關鍵詞) Linear regressionen_US
dc.subject (關鍵詞) Turkiyeen_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 Turkiyeen_US
dc.type (資料類型) thesisen_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/April
EPU. (2023, April). Economic Policy Uncertainty Index. Retrieved from Economic Policy Uncertainty: http://policyuncertainty.com/index.html
GPR. (2023, April). Geopolitical Risk Index. Retrieved from Geopolitical Risk: https://www.matteoiacoviello.com/gpr.htm		zh_TW