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The Relationship Between Disaggregated Country Risk Ratings and Stock Market Movements: An ARDL Approach
Date
2013-01-01
Author
Sarı, Ramazan
UZUNKAYA, MEHMET
Hammoudeh, Shawkat
Metadata
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This work is licensed under a
Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
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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.
Subject Keywords
General Economics, Econometrics and Finance
,
Finance
URI
https://hdl.handle.net/11511/42550
Journal
EMERGING MARKETS FINANCE AND TRADE
DOI
https://doi.org/10.2753/ree1540-496x490101
Collections
Department of Business Administration, Article