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The Effect Of Us Monetary Policy Uncertainty On Stock Returns: Bist100 Example

Author

Listed:
  • Hakan Yıldırım

    (Istanbul Gelisim University)

  • Saffet Akdağ

    (Tarsus University)

  • İ. Gökçe Kaya

    (Istanbul Gelisim University)

Abstract

The study in question was Husted et al. (2017) aims to test the effect of the us monetary policy uncertainty index, developed by using the scaled frequency numbers of articles discussing monetary policy uncertainty in us national newspapers, on the Bist100 index, one of turkey’s leading stock market indexes. In the study using monthly data between January 1990 and April 2023, the causality test developed in the Granger (1969) study and the frequency causality test developed in the Breitung and Candelon (2006) study were applied. According to Granger causality test results, while indicating the existence of a statistically significant causality from MPU index to Bist100 index, it was determined that causality is permanent according to frequency causality test results.

Suggested Citation

  • Hakan Yıldırım & Saffet Akdağ & İ. Gökçe Kaya, 2023. "The Effect Of Us Monetary Policy Uncertainty On Stock Returns: Bist100 Example," Journal of Finance Letters (Maliye ve Finans Yazıları), Maliye ve Finans Yazıları Yayıncılık Ltd. Şti., vol. 38(120), pages 231-246, October.
    • Handle: RePEc:acc:malfin:v:38:y:2023:i:120:p:231-246
    DOI: https://doi.org/10.33203/mfy.1328940
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    More about this item

    Keywords

    Stock Market Index; Us Monetary Policy Uncertainty Index; Granger Causality Test;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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