The Impact of domestic and global risk factors on Turkish stock market: Evidence from the NARDL approach

Basit Öğe Kaydı
dc.contributor.authorErdoğan, Levent
dc.contributor.authorCeylan, Reşat
dc.contributor.authorAbdul-Rahman, Mutawakil
dc.contributor.otherYönetim Bilimleri Fakültesi, İktisat Bölümü
dc.date.accessioned2021-07-27T07:04:28Z
dc.date.available2021-07-27T07:04:28Z
dc.date.issued2021
dc.departmentİHÜ, Yönetim Bilimleri Fakültesi, İktisat Bölümü
dc.departmentİHÜ, Lisansüstü Eğitim Enstitüsü, İktisat Ana Bilim Dalı
dc.description.abstractThe 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.
dc.identifier.citationErdoğan, L., Ceylan, R. ve Abdul-Rahman, M. (2021). 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. https://doi.org/10.1080/1540496X.2021.1949282
dc.identifier.doi10.1080/1540496X.2021.1949282
dc.identifier.endpage1974
dc.identifier.issn1540-496X
dc.identifier.issn1558-0938
dc.identifier.issue7
dc.identifier.scopus2-s2.0-85109940509
dc.identifier.scopusqualityQ1
dc.identifier.startpage1961
dc.identifier.urihttps://doi.org/10.1080/1540496X.2021.1949282
dc.identifier.urihttps://hdl.handle.net/20.500.12154/1530
dc.identifier.volume58
dc.identifier.wosWOS:000670092400001
dc.identifier.wosqualityQ2
dc.indekslendigikaynakScopus
dc.indekslendigikaynakWeb of Science
dc.institutionauthorAbdul-Rahman, Mutawakil
dc.institutionauthorid[No ORCID Available]
dc.language.isoen
dc.publisherRoutledge
dc.relation.ihupublicationcategory115
dc.relation.ispartofEmerging Markets Finance and Trade
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Öğrenci
dc.relation.publicationcategoryÖğrenci
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectEconomic Policy Uncertainty
dc.subjectStock Returns
dc.subjectGeopolitical Risks
dc.subjectOil Prices
dc.subjectNon-Linear ARDL
dc.subjectTurkey
dc.titleThe Impact of domestic and global risk factors on Turkish stock market: Evidence from the NARDL approach
dc.typeArticle
dspace.entity.typePublication
relation.isOrgUnitOfPublication9d1809d1-3541-41aa-94ed-639736b7e16f
relation.isOrgUnitOfPublication.latestForDiscovery9d1809d1-3541-41aa-94ed-639736b7e16f

Dosyalar

Orijinal paket
Listeleniyor 1 - 1 / 1
Küçük Resim
İsim:
Mutawakil_a.pdf
Boyut:
1.05 MB
Biçim:
Adobe Portable Document Format
Açıklama:
Tam Metin / Full Text
İndir
Lisans paketi
Listeleniyor 1 - 1 / 1
[ N/A ]
İsim:
license.txt
Boyut:
1.52 KB
Biçim:
Item-specific license agreed upon to submission
Açıklama:
İndir

Koleksiyon

Lisansüstü Eğitim Enstitüsü Diğer Yayınlar Koleksiyonu
Scopus İndeksli Yayınlar Koleksiyonu
WoS İndeksli Yayınlar Koleksiyonu