Political events and their impacton financial markets: A casestudy in Turkey
Başlık çevirisi mevcut değil.
- Tez No: 716442
- Danışmanlar: PROF. DR. HUANG QİXUAN
- Tez Türü: Yüksek Lisans
- Konular: Ekonomi, Siyasal Bilimler, Economics, Political Science
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 2019
- Dil: İngilizce
- Üniversite: Shanghai Jlao Tong University
- Enstitü: Yurtdışı Enstitü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 108
Özet
Özet yok.
Özet (Çeviri)
This study investigates and compares major political events impacts on financial markets in Turkey including the stock and exchange markets. Different type of events are investigated and their influence on the two markets are compared to define what type of political event move the markets. The study also compares the stock market with the exchange market and tries to identify whether they follow similar patterns for the same events, additionally, it identifies the better investment market for investors that are risk-averse. It particularly focuses on data from the Turkish market. Specifically, uses two different datasets: firstly, daily BIST100 index return over the period of 01/2007-12/2018 and secondly, daily USD/TRY exchange rates for over the same period. In the study, BIST 100 Index stock market and TRY/USD exchange rates volatilities are modeled by using ARMA-ARCH modeling process. The study took the benefit of logarithmic values of market returns to measure the fluctuations by making use of 3126 observations for the stock market and 3130 observations for the exchange market. Data set for the exchange market was obtained from the Central Bank of Turkey electronic data distribution system while the BIST 100 Index values were extracted from Yahoo Finance. Eviews 10 version is used to conduct the analyses. ARCH effect in the return of both markets was discovered present. This indicates the direct effect between news that enters the market and the level of volatility in the chosen markets. Therefore, both of the markets follow semi-strong form of market proposed by Fama. Moreover, volatility clustering and persistence is found in the financial return series. But, BIST100 Index is more volatile than the exchange market. Accordingly, exchange rates are better investment tools for risk-averse investors. However, speculators can get higher returns from the stock returns which are riskier. Furthermore, the asymmetry effects are investigated by using special ARCH tests. Accordingly, the most appropriate model for BIST100 and exchange rates return series are TARCH(1) and EGARCH(1,1), consecutively. Test results showed that, for both markets positive events have slightly more impact than negative ones, however, shocks last longer for the exchange rates and it lasts a short period of time for the stock market. Finally, 10 events are chosen after careful examination of the movements they generate in the market returns through volatility analysis and the effect they cause in GDP growths. Events study method is used to measure whether there is an extreme deviation from the average returns on the stock and exchange market before and after the events date. 15 days before and after the events is defined as the event window. Average-adjusted method is used to calculate the abnormal returns showing deviations from the average yield for both markets and for each event. Consequently, gezi park protests, attempted military coup and the sanctions are found to generate the highest plummet in the BIST100 index for the chosen period. As for the exchange rates, the trade sanctions that are imposed by Trump administration is concluded to have created a historical plunge in the Lira rates
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