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Journals / İktisat Politikası Araştırmaları Dergisi / 2022 / Cilt: 9 Sayı: 2

Examining the Relationship Between National Economic Policy Uncertainty and Stock Market Indices: An Empirical Analysis for Selected European Countries

Ulusal Ekonomik Politika Belirsizliği ile Borsa Endeksleri Arasındaki İlişkinin İncelenmesi: Seçilmiş Avrupa Ülkeleri için Ampirik Bir Analiz

Kübra Saka Ilgın(ERZİNCAN BİNALİ YILDIRIM ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ, FİNANS VE BANKACILIK BÖLÜMÜ)0000-0001-5797-9617
Pages
455–474
Publication Date
2022-07-29
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

In line with the findings obtained from the study; the national economic policy uncertainty indices in European countries can be said to be leading indicators for guiding investors in estimating stock market returns.

📌 3 Key Takeaways

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Objective & Hypothesis:The literature on economics and finance accepts uncertainty as an important factor affecting investor behavior.
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Key Findings & Data:A panel data-set was created using these countries’ national economic policy uncertainty indices for the December 2002-October 2021 period and benchmark stock market indices’ closing prices.
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Conclusion & Impact:In line with the findings obtained from the study; the national economic policy uncertainty indices in European countries can be said to be leading indicators for guiding investors in estimating stock market returns.
🔬Design:Lab & Field Experiment
📍Scope:2002 Verileri
⚙️Variables:Belirsizlik · Ekonomik Politika Belirsizliği · Borsa Endeksleri

Abstract

The literature on economics and finance accepts uncertainty as an important factor affecting investor behavior. As a reflection of what is expected from countries’ economies, economic policy uncertainty indices were developed based on the USA economy and then were diversified for different countries and formed based on the news. Economic policy uncertainty can be a guide for stock market investors in estimating stock returns, in line with the effects cash flows have on stock returns. The aim of this study is to investigate the relationship between economic policy uncertainty and stock market indices. The study investigates the relationship between the data Europe’s leading stock markets indices and these countries’ national economic policy uncertainty indices within the scope of panel data analyses using the panel autoregressive distributed lag model/pooled mean group estimator (ARDL/PMG). The five European countries examined in this direction are; Germany, Italy, England, France, and Spain. A panel data-set was created using these countries’ national economic policy uncertainty indices for the December 2002-October 2021 period and benchmark stock market indices’ closing prices. According to the research results, significant short-term and long-term negative relationships have been determined to exist between the indices of Europe’s leading stock markets and the respective economic policy uncertainty indices for the whole panel. The short-term correlation coefficients per country; show a significant negative relationship to exist between economic policy uncertainty and stock market index prices for all examined countries. In line with the findings obtained from the study; the national economic policy uncertainty indices in European countries can be said to be leading indicators for guiding investors in estimating stock market returns.

Özet

Ekonomi ve finans literatüründe belirsizlik, yatırımcı davranışlarını etkileyen önemli bir faktör olarak kabul edilmektedir. Amerikan ekonomisi temelli olarak geliştirilen ve daha sonra farklı ülkeler için de çeşitlendirilen, haberlere dayalı olarak oluşturulan ekonomik politika belirsizliği endeksleri, ülke ekonomileri ile ilgili beklentileri yansıtmaktadır. Ekonomik politika belirsizliği, nakit akışlarının hisse senedi getirileri üzerindeki etkisi doğrultusunda, borsa yatırımcıları için borsa getirilerinin tahmininde yol gösterici olabilmektedir. Çalışmanın amacı, ekonomik politika belirsizliği ile borsa endeksleri arasındaki ilişkinin araştırılmasıdır. Bu doğrultuda çalışmada, Avrupa’nın önde gelen borsalarının gösterge endeks verileri ile bu ülkelerin ulusal ekonomik politika belirsizlik endeksleri arasındaki ilişki, panel veri analizi kapsamında panel gecikmesi dağıtılmış otoregresif model/havuzlanmış ortalama grup tahmincisi (ARDL/PMG) kullanılarak araştırılmıştır. Bu doğrultuda incelenen beş Avrupa ülkesi; Almanya, İtalya, İngiltere, Fransa ve İspanya için 2002 Aralık- 2021 Ekim dönemine ait ulusal ekonomik politika belirsizlik endeksleri ile ülkelerin gösterge borsa endeks kapanış fiyatları kullanılarak panel veri seti oluşturulmuştur. Araştırma sonuçlarına göre, panelin bütününde Avrupa’nın önde gelen borsa endeksleri ile ekonomik politika belirsizlik endeksleri arasında kısa ve uzun dönemde anlamlı bir negatif ilişki olduğu tespit edilmiştir. Ülkelere göre kısa dönemli ilişki katsayıları da; incelenen tüm ülkelerde ekonomik politika belirsizliği ile borsa endeks fiyatları arasında anlamlı ve negatif ilişki olduğunu göstermiştir. Çalışmadan elde edilen bulgular doğrultusunda; Avrupa ülkelerinde ulusal ekonomik politika belirsizlik endekslerinin, borsa getirilerinin tahmininde yatırımcılara yol gösterici nitelikte öncü bir gösterge olduğu ifade edilebilir.

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Cite This Article

Ilgın, K. S. (2022). Examining the Relationship Between National Economic Policy Uncertainty and Stock Market Indices: An Empirical Analysis for Selected European Countries. İktisat Politikası Araştırmaları Dergisi, Cilt: 9 Sayı: 2, 455–474. https://doi.org/10.26650/JEPR1074582

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