The Effect of US Monetary Policy Uncertainty on Stock Returns: Bist100 Example

Hakan Yıldırım, Saffet Akdağ and İ. Gökçe Kaya
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Hakan Yıldırım: Istanbul Gelisim University
Saffet Akdağ: Tarsus University
İ. Gökçe Kaya: Istanbul Gelisim University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2023, vol. 38, issue 120, 231-246

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.

Keywords: Stock Market Index; Us Monetary Policy Uncertainty Index; Granger Causality Test (search for similar items in EconPapers)
JEL-codes: E44 E52 G10 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:38:y:2023:i:120:p:231-246

DOI: 10.33203/mfy.1328940

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