An Analysis of the Effects of Geopolitical Risks on Stock Returns and Exchange Rates Using a Nonparametric Method
Yıl: 2021 Cilt: 0 Sayı: 89 Sayfa Aralığı: 237 - 250 Metin Dili: İngilizce DOI: 10.25095/mufad.852174 İndeks Tarihi: 07-05-2021
An Analysis of the Effects of Geopolitical Risks on Stock Returns and Exchange Rates Using a Nonparametric Method
Öz: This study explores whether there is a causal effect of geopolitical risk on stock returns and exchange rate return and volatility using Nonparametric Causality-In-Quantiles Test approach. Analysis was conducted on several quantiles based on the monthly Geopolitical Risk Index, Stock Market Index and USD/National Currency data obtained from 18 developing countries for which Geopolitical Risk information was readily available. According to the results, geopolitical risks affect stock and exchange rate returns in approximately half of the countries included in this study, while such risks have a significant effect on stock market and exchange rate volatility of all the countries in the sample.
Anahtar Kelime: Jeopolitik Risklerin Parametrik Olmayan Bir Yöntem Kullanarak Borsa Getirileri ve Döviz Kurları Üzerindeki Etkilerinin Bir Analizi
Öz: Bu çalışma, Jeopolitik Riskin Parametrik Olmayan Nedensellik-Quantiles Test Etme yaklaşımı kullanılarak hisse senedi ve döviz kuru getirileri ve oynaklığı üzerine nedensel bir etkisinin olup olmadığını araştırmaktadır. Jeopolitik Risk bilgisinin ulaşılabilir olduğu 18 gelişmekte olan ülkeden elde edilen aylık Jeopolitik Risk Endeksi, Borsa Endeksi ve USD / ulusal para birimi verilerine dayanarak çeşitli analizler yapılmıştır. Elde edilen sonuçlara göre, jeopolitik risklerin, bu çalışmaya dâhil olan ülkelerin yaklaşık yarısında borsa ve kur getirilerini etkilediği, bu risklerin örneklemdeki tüm ülkelerde borsa ve kur dalgalanması üzerinde önemli bir etkisi olduğu tespit edilmiştir.
Anahtar Kelime: Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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| APA | şahin e, arslan h (2021). An Analysis of the Effects of Geopolitical Risks on Stock Returns and Exchange Rates Using a Nonparametric Method. , 237 - 250. 10.25095/mufad.852174 |
| Chicago | şahin eyyüp ensari,arslan halil An Analysis of the Effects of Geopolitical Risks on Stock Returns and Exchange Rates Using a Nonparametric Method. (2021): 237 - 250. 10.25095/mufad.852174 |
| MLA | şahin eyyüp ensari,arslan halil An Analysis of the Effects of Geopolitical Risks on Stock Returns and Exchange Rates Using a Nonparametric Method. , 2021, ss.237 - 250. 10.25095/mufad.852174 |
| AMA | şahin e,arslan h An Analysis of the Effects of Geopolitical Risks on Stock Returns and Exchange Rates Using a Nonparametric Method. . 2021; 237 - 250. 10.25095/mufad.852174 |
| Vancouver | şahin e,arslan h An Analysis of the Effects of Geopolitical Risks on Stock Returns and Exchange Rates Using a Nonparametric Method. . 2021; 237 - 250. 10.25095/mufad.852174 |
| IEEE | şahin e,arslan h "An Analysis of the Effects of Geopolitical Risks on Stock Returns and Exchange Rates Using a Nonparametric Method." , ss.237 - 250, 2021. 10.25095/mufad.852174 |
| ISNAD | şahin, eyyüp ensari - arslan, halil. "An Analysis of the Effects of Geopolitical Risks on Stock Returns and Exchange Rates Using a Nonparametric Method". (2021), 237-250. https://doi.org/10.25095/mufad.852174 |
| APA | şahin e, arslan h (2021). An Analysis of the Effects of Geopolitical Risks on Stock Returns and Exchange Rates Using a Nonparametric Method. Muhasebe ve Finansman Dergisi, 0(89), 237 - 250. 10.25095/mufad.852174 |
| Chicago | şahin eyyüp ensari,arslan halil An Analysis of the Effects of Geopolitical Risks on Stock Returns and Exchange Rates Using a Nonparametric Method. Muhasebe ve Finansman Dergisi 0, no.89 (2021): 237 - 250. 10.25095/mufad.852174 |
| MLA | şahin eyyüp ensari,arslan halil An Analysis of the Effects of Geopolitical Risks on Stock Returns and Exchange Rates Using a Nonparametric Method. Muhasebe ve Finansman Dergisi, vol.0, no.89, 2021, ss.237 - 250. 10.25095/mufad.852174 |
| AMA | şahin e,arslan h An Analysis of the Effects of Geopolitical Risks on Stock Returns and Exchange Rates Using a Nonparametric Method. Muhasebe ve Finansman Dergisi. 2021; 0(89): 237 - 250. 10.25095/mufad.852174 |
| Vancouver | şahin e,arslan h An Analysis of the Effects of Geopolitical Risks on Stock Returns and Exchange Rates Using a Nonparametric Method. Muhasebe ve Finansman Dergisi. 2021; 0(89): 237 - 250. 10.25095/mufad.852174 |
| IEEE | şahin e,arslan h "An Analysis of the Effects of Geopolitical Risks on Stock Returns and Exchange Rates Using a Nonparametric Method." Muhasebe ve Finansman Dergisi, 0, ss.237 - 250, 2021. 10.25095/mufad.852174 |
| ISNAD | şahin, eyyüp ensari - arslan, halil. "An Analysis of the Effects of Geopolitical Risks on Stock Returns and Exchange Rates Using a Nonparametric Method". Muhasebe ve Finansman Dergisi 89 (2021), 237-250. https://doi.org/10.25095/mufad.852174 |
