Oil Prices, Economic Policy Uncertainty and Stock Market Returns in Oil Importing Countries: The Impact of Covid-19 Pandemic

Koçoğlu, Şahnaz; Cihangir, Çiğdem Kurt

doi:10.17065/huniibf.933167

Cited by 3 publications

(3 citation statements)

References 66 publications

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“…The efficiency of the financial system is measured as the stock market turnover ratio. The use of multi-proxies to measure the financial system is motivated by the literature, and studies assert that defining a single appropriate variable for financial system development is a daunting task faced by empirical studies (Türsoy and Faisal, 2018;Koçoğlu and C hang r, 2021;Kuranchie-Pong and Forson, 2022). In addition, the measuring construct for financial system stability is stock price volatility (Antwi et al, 2021), while the dependent variable, economic growth, is measured by GDP per capita annual growth, as used by Barradas (2020).…”

Section: Methodsmentioning

confidence: 99%

“…The study employed the Granger causality framework as the estimation technique for its analysis (Granger, 1969). The adoption of the method is based on its usage in the empirical literature (Türsoy and Faisal, 2018;Koçoğlu and C hang r, 2021;Kuranchie-Pong and Forson, 2022). Again, the decision to employ granger causality is premised on the relationship the study intended to test.…”

Section: Methodsmentioning

confidence: 99%

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Assessment of financial system and economic growth: An empirical evidence from Ghanas stock market

Samuel¹

2023

J. Econ. Int. Finance

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The importance of a country's financial system to its economic well-being cannot be underestimated. This paper seeks to investigate whether causation exists between Ghana's financial system and economic growth. Ghana's financial system was measured using the efficiency, depth, and stability of the stock market, while economic growth was measured as the Gross Domestic Growth (GDP) per capita growth. The measurement variables were purposively sampled from 2008 to 2020, spanning thirteen years of time series data. The granger causality approach was employed to test the financial system's and economic growth's causation. In analysis the data, the study employed the Augmented Fuller Dickey (ADF) and Phillip Perron (PP) to test the stationarity of the series, the Jerque Bera Variable to test the normality of the data and the VAR and Johansen cointegration to test the order of integration among the variables. The statistical test revealed that the variables were not cointegrated at level; there was a unit root in the series. There was no long or short run relationship among the variables. Furthermore, the regressors' depth, efficiency, and stability of the stock market as proxies for the financial system of Ghana do not cause economic growth. It is recommended that regulatory bodies should pursue policies that would improve the effectiveness, efficiency, depth, and stability of other aspects of the country's financial system and focus less on the stock market due to the discovered relationship between the stock market and economic growth.

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Section: Methodsmentioning

confidence: 99%

Section: Methodsmentioning

confidence: 99%

Assessment of financial system and economic growth: An empirical evidence from Ghanas stock market

Samuel¹

2023

J. Econ. Int. Finance

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“…Academics created the EPU index based on newspaper coverage of policy-related economic uncertainty. Since then, a considerable amount of literature has used the EPU variable to explain the asset risk-return connection and has found that investors desire higher returns because of the risk premium associated with economic policy uncertainty [15]. This study aims to predict stock prices in a group of countries in the developed world while including uncertainty in economic policy and classify countries according to this information.…”

Section: Introductionmentioning

confidence: 99%

MLP and RBF Algorithms in Finance: Predicting and Classifying Stock Prices amidst Economic Policy Uncertainty

Ali,

Alakkari,

Abotaleb

et al. 2024

Mesopotamian Journal of Big Data

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In the realm of stock market prediction and classification, the use of machine learning algorithms has gained significant attention. In this study, we explore the application of Multilayer Perceptron (MLP) and Radial Basis Function (RBF) algorithms in predicting and classifying stock prices, specifically amidst economic policy uncertainty. Stock market fluctuations are greatly influenced by economic policies implemented by governments and central banks. These policies can create uncertainty and volatility, which in turn makes accurate predictions and classifications of stock prices more challenging. By leveraging MLP and RBF algorithms, we aim to develop models that can effectively navigate these uncertainties and provide valuable insights to investors and financial analysts. The MLP algorithm, based on artificial neural networks, is able to learn complex patterns and relationships within financial data. The RBF algorithm, on the other hand, utilizes radial basis functions to capture non-linear relationships and identify hidden patterns within the data. By combining these algorithms, we aim to enhance the accuracy of stock price prediction and classification models. The results showed that both MLB and RBF predicted stock prices well for a group of countries using an index reflecting the impact of news on economic policy and expectations, where the MLB algorithm proved its ability to predict chain data. Countries were also classified according to stock price data and uncertainty in economic policy, allowing us to determine the best country to invest in according to the data. The uncertainty surrounding economic policy is what makes stock price forecasting so crucial. Investors must consider the degree of economic policy uncertainty and how it affects asset prices when deciding how to allocate their assets.

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Küresel Ekonomi̇ Poli̇ti̇kasi Beli̇rsi̇zli̇ği̇ni̇n Fi̇nansal Pi̇yasalar Üzeri̇ndeki̇ Etki̇si̇ (Yeni̇ Sanayi̇leşmi̇ş Ülkeler Örneği̇)

Kadooğlu Aydın,

Münyas

2024

Marmara Üniversitesi İktisadi Ve İdari Bilimler Dergisi

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Ekonomik politika belirsizliği ve politik riskin bir çok makroekonomik değişken üzerinde etkileri söz konusudur. Bu değişkenlerin en önemlilerinden biri doğrudan yabancı yatırımlardır. Yabancı yatırımcılar, politika belirsizliğinin yüksek olduğu ekonomilere yatırım yapmaktan kaçınarak, yatırımlarını siyasi istikrarın olduğu ve ekonomide belirsizliğin olmadığı ekonomilere yönlendirmek istemektedirler. Bu çalışma, ekonomi politikası belirsizliğinin finansal piyasalar üzerindeki etkisini derinlemesine incelemiş ve kompleks ilişkileri aydınlatmıştır. Bulgular, ekonomi politikası belirsizliğinin borsa endeksi, tahvil faiz oranları, politika faiz oranları ve döviz kurları arasında uzun vadede kointegre ilişkilerinin mevcudiyetine işaret etmektedir. Ekonomi politikası belirsizliğindeki artışlar, borsa endeksini ve faiz oranlarını negatif bir şekilde etkileyerek düşüşe sebep olmaktadır, aksine döviz kurlarını ise artıran bir etkisi bulunmaktadır. Ekonomi politikası belirsizliğinin tüm bu finansal göstergeler arasından en çok politika faiz oranları üzerinde olumsuz yönde etkili olduğu da araştırmanın bir diğer bulgusu olarak yer almaktadır. Ayrıca, çalışmada ekonomi politikası belirsizliği ile diğer finansal göstergeler arasındaki nedensel ilişkilere de ilgi gösterilmiştir. Bu bağlamda, ekonomi politikası belirsizliği ve borsa endeksi ile ülkelerin döviz kurları arasında karşılıklı nedensel ilişkilerin gözlendiği saptanmıştır; ekonomi politikası belirsizliği ile politika faizi ve tahvil faizi arasında tek yönlü bir nedensel ilişki olduğu kaydedilmiştir. Bu sonuçlar, finansal modellemelerin daha hassas bir şekilde yapılandırılmasına katkı sağlamakta ve ekonomi politikası belirsizliğinin finansal piyasalar üzerindeki etkilerinin daha ayrıntılı bir şekilde anlaşılmasına yardımcı olmaktadır

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Oil Prices, Economic Policy Uncertainty and Stock Market Returns in Oil Importing Countries: The Impact of Covid-19 Pandemic

Cited by 3 publications

References 66 publications

Assessment of financial system and economic growth: An empirical evidence from Ghanas stock market

Assessment of financial system and economic growth: An empirical evidence from Ghanas stock market

MLP and RBF Algorithms in Finance: Predicting and Classifying Stock Prices amidst Economic Policy Uncertainty

Küresel Ekonomi̇ Poli̇ti̇kasi Beli̇rsi̇zli̇ği̇ni̇n Fi̇nansal Pi̇yasalar Üzeri̇ndeki̇ Etki̇si̇ (Yeni̇ Sanayi̇leşmi̇ş Ülkeler Örneği̇)

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