Effect of Economic Policy Uncertainty on Stock Returns: Analysing the Moderating Role of Government Size

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dc.authoridGuzel, Arif Eser/0000-0001-5072-9527
dc.contributor.authorKaraomer, Yunus
dc.contributor.authorGuzel, Arif Eser
dc.date.accessioned2024-09-18T20:16:39Z
dc.date.available2024-09-18T20:16:39Z
dc.date.issued2024
dc.departmentHatay Mustafa Kemal Üniversitesien_US
dc.description.abstractThis study investigates whether the response of stock returns to economic policy uncertainty depends on the level of government size in the economy. Although there is a consensus in the literature that stock markets react negatively to policy -related uncertainties, the factors that determine the magnitude of this effect have been ignored. This study is the first to demonstrate that the magnitude of this effect depends on the size of the government in the economy. In the study, data for the period 1997Q1-2021Q4 pertaining to 18 countries are used. According to results of fixed -effects estimations with Driscoll-Kraay robust standard errors, economic policy uncertainty affects stock returns negatively. In addition, the coefficient of interaction term formed by the variables of policy uncertainty and government size is also negative and significant. These results indicate that the negative response of stock returns to policy uncertainty grows as government size increases. The sensitivity analysis results show that the findings are not sensitive to the estimations made by alternative approaches and are therefore robust. The findings of the study contain important implications for policymakers. Investors can also benefit from the results at the point of international asset allocation against future policy -related uncertainties.en_US
dc.identifier.doi10.18267/j.polek.1407
dc.identifier.endpage72en_US
dc.identifier.issn0032-3233
dc.identifier.issn2336-8225
dc.identifier.issue1en_US
dc.identifier.scopus2-s2.0-85186574181en_US
dc.identifier.scopusqualityQ4en_US
dc.identifier.startpage50en_US
dc.identifier.urihttps://doi.org/10.18267/j.polek.1407
dc.identifier.urihttps://hdl.handle.net/20.500.12483/9663
dc.identifier.volume72en_US
dc.identifier.wosWOS:001177678900001en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherVysoka Skola Ekonomickaen_US
dc.relation.ispartofPoliticka Ekonomieen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectEconomic policy uncertaintyen_US
dc.subjectstock returnsen_US
dc.subjectgovernment sizeen_US
dc.subjectmoderating effecten_US
dc.subjectDriscoll-Kraay robust standard errorsen_US
dc.titleEffect of Economic Policy Uncertainty on Stock Returns: Analysing the Moderating Role of Government Sizeen_US
dc.typeArticleen_US

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