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Do the Political Uncertainty and Geopolitical Risk Indexes in the G-7 Countries Relate to Stock Prices? Fourier Causality Test Evidence   
Yazarlar
Asiye Tutuncu
Kastamonu University, Turkey
Burcu Savas Celik
İstanbul Gelişim Üniversitesi, Turkey
Sukran Kahveci
İstanbul Gelişim Üniversitesi, Turkey
Özet
This study aims to examine the reciprocal effects of the Economic Policy Uncertainty (EPU) and the Geopolitical Risks (GPR) on the stock markets (SP) of the G-7 countries. The findings of the study will allow us to answer the following questions: Do risk and uncertainty conditions in other G-7 countries affect their stock markets as much as those in the country itself? Which affects G-7 stock markets more, EPU or GPR? In addition to previous research in the field, this study conducts a comparative analysis of the effects of the EPU and GPR on the SP of G-7 countries. Therefore, we used the linear VAR Granger, Fourier and Fourier Fractional Frequency Granger Causality tests. We found that the EPU indices of the United States, United Kingdom, and Germany had the greatest impact on the stock markets of their respective countries and other G-7 countries, and the conclusion that G-7 stock markets were influenced by economic uncertainties in other member countries was added to the literature. It has also been found that the G-7 stock markets have a broad influence on the EPU index.
Anahtar Kelimeler
C32 | E22 | economic policy uncertainty | Fourier causality | G15 | geopolitical risks | Stock markets
Makale Türü Özgün Makale
Makale Alt Türü ESCI dergilerinde yayımlanan tam makale
Dergi Adı International Economic Journal
Dergi ISSN 1016-8737
Makale Dili İngilizce
Basım Tarihi 01-2024
Sayı 1
Doi Numarası 10.1080/10168737.2024.2408483