Effects of Geopolitical Risk on Emerging Markets
Chapter from the book:
Kandemir,
T.
&
Buğan,
M.
F.
(eds.)
2022.
Financial and Economic Issues in Emerging Markets.
Synopsis
In this study, the relations between the stock market indices of BRICS (Brazil, Russia, India, China, South Africa) countries and Turkey and the geopolitical risk index between the period 1995:10-2019:4 were examined using panel data methods. First of all, it was seen that there is a strong cross-sectional dependency among the countries included in the panel. This shows that a shock that occurred in one of the countries in the panel affected other countries as well. Then, according to the results of the second generation panel unit root test used in the case of cross-sectional dependence, it was seen that the series examined were not stationary in their level values. The said non-stationaryness was also examined with panel break tests and it was determined that the non-stationaryness was not caused by structural breaks. The cointegration test and cointegration coefficient estimator, which allow cross-section dependence, were used to examine the long-term relationship between the series. Finally, the causality relationship between the series was examined with the Panel causality test, which takes into account cross-sectional dependence and heterogeneity.
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Copyright (c) 2022 Tuğrul Kandemir- Mehmet Fatih Buğan; Yunus Yılmaz- Yıldız Yıldız- İbrahim Yenigün- Şükriye Gül Reis- Muhammed Hadin Öner- İbrahim Arslan- Tuğçe Metin- Yusuf Bozgeyik- Muhammed Fatih Yürük- Nazan Güngör Karyağdı- Ahmet Şit- Hasan Dinçer- Serhat Yüksel- Duygu Yavuz- Fatih Günay- Cengiz Toraman- Elif Ulucenk- Hüseyin Burgazoğlu- Mervan Selçuk- Salih Ülev- Adnan Söylemez- Hakkı M. Ay- Hüseyin Özdemir- Eray Gemici- Yunus Kılıç- Bülent Yıldız- Şemsettin Çiğdem- Cebrail Telek