Does Geopolitical Risk and Investors' Sentiment Matter for Turkish Stock Returns?

Does Geopolitical Risk and Investors' Sentiment Matter for Turkish Stock Returns?

The relationship among geopolitical risk, investor sentiment and stock returns is an important topic. This article investigates the effects of geopolitical risk and the Consumer Confidence Index for Turkish stocks returns over a period from the start of 2004 to the end of 2017. This study uses month...

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Veröffentlicht in:Journal of economic cooperation & development 2021-01, Vol.42 (1), p.1-16
Hauptverfasser: Saadli, Adel, Triki, Mohamed Bilel, Abderzag, Fouzi Tahar
Format: Artikel
Sprache:eng
Schlagworte:
Behavioral economics
Consumer attitudes
Consumer Confidence Index
Economic growth
Foreign investment
Geopolitics
Investor behavior
Investors
Macroeconomics
Political risk
Portfolio investments
Portfolio management
Rates of return
Securities markets
Stochastic models
Stock exchanges
Stocks
Variables
Volatility
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Zusammenfassung:The relationship among geopolitical risk, investor sentiment and stock returns is an important topic. This article investigates the effects of geopolitical risk and the Consumer Confidence Index for Turkish stocks returns over a period from the start of 2004 to the end of 2017. This study uses monthly data for stock returns (BIST100) and the GPR index, a constructed monthly geopolitical risk index (Caldara and Iacoviello, 2018). The empirical analysis is founded on the Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) method, specifically the DCC-GARCH and BEKK-GARCH models. The results show that geopolitical risk and investor sentiment have a negative effect, essentially on BIST100 returns and volatility.
ISSN:1308-7800