The Relationship Between Disaggregated Country Risk Ratings and Stock Market Movements: An ARDL Approach

SARI R., UZUNKAYA M., Hammoudeh S.

EMERGING MARKETS FINANCE AND TRADE, cilt.49, sa.1, ss.4-16, 2013 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 49 Sayı: 1
  • Basım Tarihi: 2013
  • Doi Numarası: 10.2753/ree1540-496x490101
  • Dergi Adı: EMERGING MARKETS FINANCE AND TRADE
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.4-16
  • Anahtar Kelimeler: ARDL, economic risk, financial risk, political risk, risk ratings, stock market, POLITICAL RISK
  • Orta Doğu Teknik Üniversitesi Adresli: Evet

Özet

We examine the relationships between disaggregated country risk ratings and stock market movements in Turkey, using the autoregressive distributed lag approach. The long- and short-run relationships between stock market movements and political risk, financial risk, and economic risk components of country risk ratings are investigated. The presence of a long-run relationship between Turkey's risk ratings and stock market movements is confirmed. In the long run, Turkey's three economic, financial, and political risk rating components are the forcing variables of stock market movements. However, in the short run only the reduced political and financial risk rating components have positive and significant impact on market movements. Policy implications are also discussed.