Analysis of the Asymmetric Effects of Global Uncertainty Factors on BIST Stock Prices Evidence from NARDL Model

Mevlüt Camgöz
Additional contact information
Mevlüt Camgöz: Bursa Technical University

Journal of Finance Letters (Maliye ve Finans Yazıları), 2022, vol. 37, issue 118, 71-100

Abstract: The aim of this study is to examine the short and long-term asymmetric effects of global uncertainty factors on BIST stock prices, employing the NARDL (Nonlinear Autoregressive Distributed Lag) model. Implied volatility indices, which measure economic, geopolitical, energy, and financial risks, are used to represent global uncertainty factors. Empirical findings show that there is a long-term asymmetric cointegration relationship between all stocks and global uncertainty factors under investigation. In both long-term and short-term analyzes, uncertainty factors affect stock prices in different directions and extents asymmetrically. The findings will figure an important role in making asset allocation, diversification, risk management, and trading decisions for investors and portfolio managers.

Keywords: Uncertainty Factors; Implied Volatility Indices; Stock Market; NARDL Model (search for similar items in EconPapers)
JEL-codes: C58 F36 G10 (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
https://dergipark.org.tr/en/download/article-file/2374043 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:acc:malfin:v:37:y:2022:i:118:p:71-100

DOI: 10.33203/mfy.1103403

Access Statistics for this article

Journal of Finance Letters (Maliye ve Finans Yazıları) is currently edited by Süleyman Kale

More articles in Journal of Finance Letters (Maliye ve Finans Yazıları) from Maliye ve Finans Yazıları Yayıncılık Ltd. Şti.
Bibliographic data for series maintained by Süleyman Kale ().