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- Title
EKONOMİ POLİTİKA BELİRSİZLİĞİ VE GETİRİ-VOLATİLİTE İLİŞKİSİ: GELİŞMİŞ ÜLKE BORSALARINDAN KANITLAR.
- Authors
KAYA, Serkan; KAYA, Murat; ÇELİK, İsmail
- Abstract
In this study, it is aimed to determine the effects of the US Economic Policy Uncertainty Index (EPU) on the returns and volatility of selected developed country stock markets between 01/11/2016 - 01/11/2021. For this purpose, the relationship between DOW(US), FTSE(ENG), DAX(GER), NIKKEI(JPN) and US EPU indices was analyzed using the GARCH model. According to the findings obtained from the GARCH (1,1) model, the Uncertainty Index in the mean equation was statistically significant, although it had low values in other indices except for the NIKKEI index. The Uncertainty Index, which is included in the variance equation, was statistically significant even though it was low in all variables. The fact that the Uncertainty Index is significant in both the mean and variance equations shows that the Uncertainty Index affects the stock index returns and volatility of the countries included in the analysis.
- Publication
Bulletin of Accounting & Finance Reviews / Muhasebe ve Finans İncelemeleri Dergisi, 2023, Vol 6, Issue 1, p15
- ISSN
2630-5836
- Publication type
Article
- DOI
10.32951/mufider.1205714