THE CAUSAL RELATIONSHIP BETWEEN GLOBAL ECONOMIC POLICY UNCERTAINTY (GEPU) AND STOCK MARKETS: EVIDENCE FROM MIKTA COUNTRIES

Arif Çilek (), Onur Şeyranlıoğlu (), Samet Gürsoy () and Melek Nur Osanmaz ()
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Arif Çilek: Bulancak Kadir Karabaş School of Applied Sciences
Onur Şeyranlıoğlu: Giresun University, Faculty of Economics and Administrative Sciences
Samet Gürsoy: Burdur Mehmet Akif Ersoy University, Bucak Zeliha Tolunay School of Applied Business and Technology
Melek Nur Osanmaz: Gaziantep University, Faculty of Economics and Administrative Sciences

BH Ekonomski forum, 2024, vol. 2, issue 20

Abstract: The purpose of this study is to investigate the causality relationship among the GEPU (Global Economic Political Uncertainty) index and the stock market index of the MIKTA countries. Accordingly, Hatemi-J (2012) asymmetric causality test was applied to investigate the existence of a relationship between the stock markets of the MIKTA countries and the GEPU index. In the study using monthly data, the period between 1999 and 2022, which is the widest data range for all variables, was taken into consideration. First of all, Lee-Strazicich unit root test was used to test the stationarity of the variables and it was observed that the variables were stationary at different levels. Then, the GEPU index is taken as the dependent variable and models are constructed as paired tests for each MIKTA country stock market. (Walmex) for Mexico, (Jakarta45) for Indonesia, (Kospi200) for South Korea, (BIST100) for Türkiye, and (ASX) for Australia are taken as the representative indices of MIKTA country stock markets. The results of the study show that there is a statistically significant causality effect of the GEPU index on stock markets. In general, a negative change in the GEPU index is found to be more dominant on stock markets compared to a positive change. On a country basis, it is found that an increase in the GEPU index causes a decrease in the Mexican, South Korean and Turkish stock markets. In addition, the lack of causality effect in the Australian stock market is interpreted as the fact that this stock market moves more independently from this index.

Keywords: Global Economic Policy Uncertainty (GEPU); Stock Market Indices; MIKTA Countries; Hatemi-J (2012) Causality Test (search for similar items in EconPapers)
Date: 2024-12-31
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Persistent link: https://EconPapers.repec.org/RePEc:etl:journl:86

DOI: 10.62900/BHEF242002003

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