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The Impact of Domestic and Global Risk Factors on Turkish Stock Market: Evidence from the NARDL Approach
Emerging Markets Finance and Trade ( IF 4.859 ) Pub Date : 2021-07-06 , DOI: 10.1080/1540496x.2021.1949282
Levent Erdoğan 1 , Reşat Ceylan 2 , Mutawakil Abdul-Rahman 3
Affiliation  

ABSTRACT

The study investigates the short-run and long-run asymmetric effects of the global economic policy uncertainty, real oil prices, and country-specific geopolitical risk on real stock returns in Turkey by using the nonlinear autoregressive distributed lag (NARDL) framework over the pre-COVID-19 period of 1997:01–2019:12 and full-sample period of 1997:01–2020:12. The empirical findings indicate the following results. Firstly, global economic policy uncertainty leads to depress real stock returns for both sample periods. Secondly, negative real oil price changes, in the long run, have relatively greater effects compare to positive changes on real stock returns, whereas positive oil price changes affect negatively in the short-run for the full-sample period. Thirdly, the country-specific geopolitical risk exerts positive effects on the real stock returns in the long run for both periods. The overall results suggest that the Turkish real stock returns react more to the bad news caused by the global factors than the domestic one.



中文翻译:

国内和全球风险因素对土耳其股市的影响:来自 NARDL 方法的证据

摘要

该研究通过使用非线性自回归分布滞后 (NARDL) 框架,调查全球经济政策不确定性、实际油价和特定国家的地缘政治风险对土耳其实际股票收益的短期和长期不对称影响。 -COVID-19 时期为 1997:01–2019:12 和全样本时期为 1997:01–2020:12。实证结果表明以下结果。首先,全球经济政策的不确定性导致两个样本期的实际股票收益下降。其次,从长期来看,相对于实际股票收益的正变化,负的实际油价变化对实际股票收益的影响相对更大,而在全样本期间,正的油价变化在短期内具有负影响。第三,从长远来看,特定国家的地缘政治风险对两个时期的实际股票收益产生积极影响。总体结果表明,土耳其实际股票回报对全球因素造成的坏消息的反应要大于国内因素。

更新日期:2021-07-06
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