SavedAdd your journal

Journals / Maliye ve Finans Yazıları / 2023 / Sayı: 120

The Effect of US Monetary Policy Uncertainty on Stock Returns: BIST100 Example

ABD Para Politikaları Belirsizliğinin Pay Senedi Getirileri Üzerine Etkisi: BİST100 Örneği

Hakan YILDIRIM
Saffet AKDAĞ
İ. Gökçe KAYA
Pages
231–246
Publication Date
2023-10-16
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

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

According to Granger causality test results, while indicating the existence of a statistically significant causality from MPU index to BIST100 index, it was determined that causality is permanent according to Frequency Causality Test results.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The study in question was Husted et al. (2017) aims to test the effect of the US Monetary Policy Uncertainty Index, developed by using the scaled frequency numbers of articles discussing monetary policy uncertainty in US national newspapers, on the BIST100 index, one of Turkey’s leading stock market indexes.
📊
Key Findings & Data:In the study using monthly data between January 1990 and April 2023, the causality test developed in the Granger (1969) study and the Frequency Causality test developed in the Breitung and Candelon (2006) study were applied.
💡
Conclusion & Impact:According to Granger causality test results, while indicating the existence of a statistically significant causality from MPU index to BIST100 index, it was determined that causality is permanent according to Frequency Causality Test results.
🔬Design:Research Article
📍Scope:2017 Verileri
⚙️Variables:Borsa Endeksi · ABD Para Politikaları Belirsizlik Endeksi · Granger Nedensellik Testi

Abstract

The study in question was Husted et al. (2017) aims to test the effect of the US Monetary Policy Uncertainty Index, developed by using the scaled frequency numbers of articles discussing monetary policy uncertainty in US national newspapers, on the BIST100 index, one of Turkey’s leading stock market indexes. In the study using monthly data between January 1990 and April 2023, the causality test developed in the Granger (1969) study and the Frequency Causality test developed in the Breitung and Candelon (2006) study were applied. According to Granger causality test results, while indicating the existence of a statistically significant causality from MPU index to BIST100 index, it was determined that causality is permanent according to Frequency Causality Test results.

Özet

Bu çalışmada, ABD para politikası belirsizliğinin Türkiye’de hisse senetlerinin getirilerine etkileri araştırılmıştır. Bu bağlamda Husted vd. (2017) çalışmasında geliştirilen ve ABD ulusal gazetelerinde para politikaları belirsizliğini tartışan makalelerin ölçeklendirilmiş frekans sayıları kullanılarak hesaplanan ABD Para Politikaları Belirsizlik Endeksi ile BİST100 endeksinin Ocak 1990 ile Nisan 2023 tarihleri arasındaki aylık verilerin kullanıldığı çalışmada Granger (1969) çalışmasında geliştirilen nedensellik testi ile Breitung ve Candelon (2006) çalışmasında geliştirilen Frekans Nedensellik testi uygulanmıştır. Granger nedensellik testi sonuçları MPU endeksinden BİST100 endeksine doğru istatistiksel olarak anlamlı bir nedenselliğin varlığına işaret ederken, frekans nedensellik testi sonuçlarına göre nedenselliğin kalıcı olduğu tespit edilmiştir.

🔖

Cite This Article

YILDIRIM, H., AKDAĞ, S., KAYA, İ. G. (2023). The Effect of US Monetary Policy Uncertainty on Stock Returns: BIST100 Example. Maliye ve Finans Yazıları, Sayı: 120, 231–246. https://ajindex.com/articles/972108

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (11)

  1. Aktaş, Z., Alp, H., Gürkaynak, R., Kesriyeli, M., & Orak, M. (2009). Türkiye'de para politikasının aktarımı: Para politikasının mali piyasalara etkisi. iktisat isletme ve Finans, 24(278), 9-24.
  2. Antonakakis, N., Chatziantoniou, I. ve Filis, G. (2013). Dynamic co-movements of stock market returns, implied volatility and policy uncertainty. Economics Letters, 120(1), 87-92.
  3. Arouri, M., Estay, C., Rault, C., & Roubaud, D. (2016). Economic policy uncertainty and stock markets: Long-run evidence from the US. Finance Research Letters, 18, 136-141.
  4. Asteriou, D., & Hall, S. G. (2011). Applied econometrics (2.baskı). UK: Macmillan International Higher Education. Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The quarterly journal of economics, 131(4), 1593-1636.
  5. Bernanke, Ben S., and Kenneth N. Kuttner. "What explains the stock market's reaction to Federal Reserve policy?." The Journal of finance 60, no. 3 (2005): 1221-1257.
  6. Bozoklu, S., & Yilanci, V. (2013). Energy consumption and economic growth for selected OECD countries: Further evidence from the Granger causality test in the frequency domain. Energy Policy, 63, 877-881.
  7. Breitung, J., & Candelon, B. (2006). Testing for short and long-run causality: A frequency domain approach. Journal of Econometrics, 132(2), 363–378.
  8. Brogaard J. ve Detzel A. (2012). The Asset Pricing Implications of Government Economic Policy Uncertainty. University of Washington mimeo. Chang, T., Chen, W. Y., Gupta, R. ve Nguyen, D. K. (2015). Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test. Economic Systems, 39(2), 288–300. doi:10.1016/j.ecosys.2014.10.005 Ciner, Ç. (2011), ''Eurocurrency Interest Rate Linkages: A Frequency Domain Analysis'', International Review of Economics and Finance, 20, 498-505.
  9. Çevik, S., Erduman, Y. (2020). Measuring Monetary Policy Uncertainty and Its Effects on the Economy: The Case of Turkey. Eastern European Economics, 58(5), 436–454, https://doi.org/10.1080/0012877 5.2020.1798161 Das, D., Kannadhasan, M., & Bhattacharyya, M. (2019). Do the emerging stock markets react to international economic policy uncertainty, geopolitical risk and financial stress alike?. The North American Journal of Economics and Finance, 48, 1-19.
  10. 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.
  11. Dickey, D. A.