International Conference on Eurasian Economies

International Conference on Eurasian Economies

2-4 September 2020 – Baku - AZERBAIJAN

Paper properties

Paper ID : 2395
Status : Paper published
Language : Turkish
Topic : Finance and Financial Crises
Presenter: Prof. Dr. Ömer Selçuk Emsen
Presentation Location : Online
Session : 3A Mikroekonomi ve Finans

Transmission Effects between Uncertainty and Stocks: From S&P to BIST100
Belirsizlik ve Borsalar Arasında Bulaşma Etkileri: S&P’den BİST100’e

Abstract

The economic political uncertainty (EPU) index developed by Berg et al. (2013) and the global economic political uncertainty (GEPU) index developed by Davids et al. (2016) revealed the existence of their strong relations with macroeconomic indicators in the US economy in general. Parallel to this power exhibited by the index, the interest towards it has started to be evaluated in terms of other countries. In this context, while the existence of studies investigating the relations between the index and the Istanbul Stock Exchange index is noteworthy, it has been determined that some of these researches have relations, and some of them not. The existence of spillovers from strong exchanges to stock markets of developing countries is defined as spillover effects in the literature. From this point of view, it is worth examining the existence of the relationship in question with indirect effects rather than investigating direct relationships between the GEPU and BIST100. Therefore, this study aims to investigate the existence of spillover effects from GEPU to S&P, from S&P to the exchange rate and from the exchange rate to the BIST100 index, respectively. According to the results of VAR analysis using four variables, it has been found that there are spillover effects from GEPU to S&P, from S & P to exchange rate and from exchange rate to BIST100. Consequently, it is observed that the changes in GEPU index that reflect the developments in the US economy affect Turkey’s stock market indirectly through spillover linkages.

JEL codes: C22, F55, O31

Gerni, Mine, Sadeghzadeh Emsen, Hatıra , Yurttançıkmaz, Ziya Çağlar, Emsen, Ömer Selçuk (2020). "Transmission Effects between Uncertainty and Stocks: From S&P to BIST100" in Proceedings of International Conference of Eurasian Economies 2020, pp.85-92, Baku - AZERBAIJAN.

DOI: https://doi.org/10.36880/C12.02395

Full paper in PDF format.

Session 3A: Mikroekonomi ve Finans

Eurasian Economists Association Beykent University Odlar Yurdu University Kyrgyzstan-Turkey Manas University Doğuş University