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Heterogeneous impacts of geopolitical risk factors on stock markets in the Middle East: A quantile regression analysis across four emerging economies

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Bu çalışma, Orta Doğu ve Kuzey Afrika (MENA) ülkelerinin borsa endeksleri ile VIX, WTI ham petrol ve doğal gaz fiyatları gibi temel değişkenler arasındaki dinamik bağlantılılığı incelemektedir. MENA bölgesindeki 11 borsanın günlük veri setinin kullanıldığı çalışmada, Zamanla Değişen Parametre Vektör Otoregresif (TVP-VAR) modeli, değişkenler arasındaki dinamik bağlantılılığı analiz etmek için metodolojik çerçeve olarak uygulanmıştır. Çalışmamızın sonuçları, küresel ekonomik olayların bağlantılılık üzerinde farklı etkiler yarattığını göstermektedir. Bu olgu, özellikle COVID-19 salgını ve Rusya-Ukrayna savaşı gibi önemli olaylar sırasında fark edilmektedir. Ayrıca MENA hisse senedi piyasalarının dinamikleri enerji talebindeki değişikliklerden ve fiyat şoklarından etkilenmektedir. Daha da önemlisi, bu etkiler ülke düzeyinde önemli ölçüde farklılık göstermektedir. Bu dönemde Ürdün ve Tunus'ta doğal gaz kaynaklı volatilitede artış yaşanırken, Umman'da düşüş yaşanmıştır. Rusya-Ukrayna savaşı, başta doğalgaz olmak üzere Kuveyt, Bahreyn, Fas ve BAE açısından oynaklığı artırmıştır. Bu olayların etkisi aynı zamanda petrole bağlı dalgalanmalara da uzanarak Mısır, Ürdün, Kuveyt ve Fas gibi ülkeleri etkilemiştir. Özellikle Umman ve Kuveyt Menkul Kıymetler Borsası (KSE), pandemi sırasında oynaklığın net alıcısı olmaktan çıkıp oynaklığın net yayıcısı haline gelmişlerdir.
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Quantile regression, as introduced by Koenker and Bassett (1978), may be viewed as an extension of classical least squares estimation of conditional mean models to the estimation of an ensemble of models for several conditional quantile functions. The central special case is the median regression estimator which minimizes a sum of absolute errors. Other conditional quantile functions are estimated by minimizing an asymmetrically weighted sum of absolute errors. Quantile regression methods are illustrated with applications to models for CEO pay, food expenditure, and infant birthweight.
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Heteroskedasticity biases tests for contagion based on correlation coefficients. When contagion is defined as a significant increase in market comovement after a shock to one country, previous work suggests contagion occurred during recent crises. This paper shows that correlation coefficients are conditional on market volatility. Under certain assumptions, it is possible to adjust for this bias. Using this adjustment, there was virtually no increase in unconditional correlation coefficients (i.e., no contagion) during the 1997 Asian crisis, 1994 Mexican devaluation, and 1987 U.S. market crash. There is a high level of market comovement in all periods, however, which we call interdependence. Copyright The American Finance Association 2002.
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