Journal article
The Relationship Between Disaggregated Country Risk Ratings and Stock Market Movements: An ARDL Approach
Emerging markets finance & trade, v 49(1), pp 4-16
01 Jan 2013
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
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.
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Details
- Title
- The Relationship Between Disaggregated Country Risk Ratings and Stock Market Movements: An ARDL Approach
- Creators
- Ramazan Sari - Middle East Technical UniversityMehmet Uzunkaya - British Institute at AnkaraShawkat Hammoudeh - Drexel University
- Publication Details
- Emerging markets finance & trade, v 49(1), pp 4-16
- Publisher
- M E Sharpe Inc
- Number of pages
- 13
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000319525300002
- Scopus ID
- 2-s2.0-84879587033
- Other Identifier
- 991019167643604721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business
- Economics
- International Relations