Author/Authors
tükenmez, nevser mine dokuz eylül üniversitesi - iktisadi ve idari bilimler fakültesi (iibf) - işletme bölümü, turkey , kutay, nilgün dokuz eylül üniversitesi - iktisadi ve idari bilimler fakültesi(iibf) - işletme bölümü, Turkey
Title Of Article
The Effect of Country Risk on Stock Returns: A Comparison between Turkish and Argentinean Stock Markets
شماره ركورد
43347
Abstract
The aim of this study is to analyze the effect of country risk on stock prices. The countries selected are Turkey and Argentina and the period of analysis is 1996:10 – 2013:12. Firstly, cointegration between the stock market indexes and the risk degrees which are gathered from ICRG (International Country Risk Guide) is calculated for both countries. The results for Turkey revealed a cointegration relationship between financial and political risk degrees and the Turkish stock market index, whereas for Argentina, cointegration relationship is observed between financial risk and the Argentinean stock market index in the long term. Through Granger Causality test conducted, dual causality relationship is identified for only financial risk and stock market index for both countries. Finally, with the regression analysis being conducted, it is observed that stock market index is negatively affected by economic, financial and political risk factors for Turkey and negatively affected by only the financial risk factor for Argentina.
From Page
631
NaturalLanguageKeyword
Country Risk , Stock Prices , Economical Risk , Financial Risk , Political Risk
JournalTitle
Journal Of Graduate School Of Social Sciences
To Page
645
JournalTitle
Journal Of Graduate School Of Social Sciences
Link To Document