The causal relation between geopolitic risk index and the trader index: The Middle East example
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Abstract (EN)
In this study, 8 Middle Eastern countries, including Turkey (United Arab Emirates, Palestine, Jordan, Lebanon, Oman, Egypt, Qatar and Turkey), the casuality relationship between geopolitical risk indices and volatility is analyzed by using stock market data taken from İnvesting. Com website between 2004 to 2018. In this study, monthly volatility was calculated using daily returns of each country and one-way correlation analysis with GPR corresponding to the relevant month was performed using Toda-Yomamato causality analysis method. As a result of the research, it was found out that the stock market volatilities of Qatar, Palestine and Jordan have a causal relationship with GPR. Keywords; Volatility, Geopolitical Risk and Toda-Yomamato Causality Test
Author
Alev Erkan
Institution
How to Cite
Alev Erkan (Master Thesis). The causal relation between geopolitic risk index and the trader index: The Middle East example, 2019, Gaziantep University.
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