Do the Political Uncertainty and Geopolitical Risk Indexes in the G-7 Countries Relate to Stock Prices? Fourier Causality Test Evidence


Tutuncu A., Celik B., KAHVECİ Ş.

International Economic Journal, 2024 (ESCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Basım Tarihi: 2024
  • Doi Numarası: 10.1080/10168737.2024.2408483
  • Dergi Adı: International Economic Journal
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus, International Bibliography of Social Sciences, Periodicals Index Online, Business Source Elite, Business Source Premier, EconLit, PAIS International
  • Anahtar Kelimeler: C32, E22, economic policy uncertainty, Fourier causality, G15, geopolitical risks, Stock markets
  • İstanbul Gelişim Üniversitesi Adresli: Evet

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.