Global Risk Factors and Stock Returns During Bull and Bear Market Conditions: Evidence From Emerging Economies in Europe

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dc.contributor.authorDemiralay, Sercan
dc.date.accessioned2019-09-28T20:08:44Z
dc.date.available2019-09-28T20:08:44Z
dc.date.issued2019en_US
dc.departmentİktisadi İdari ve Sosyal Bilimler Fakültesien_US
dc.description.abstractThis paper explores the dependence of emerging European stock markets (Bulgaria, Croatia, Czech Republic, Hungary, Poland, Romania, Russia, Turkey and Ukraine) on global risk factors (changes in gold prices, US implied volatility index and oil prices) based on daily data from 6 January 2004 to 31 December 2013. We employ a quantile regression model to analyse how the global factors affect stock returns under different market circumstances, such as bearish (lower quantiles), normal (intermediate quantile) and bullish (higher quantiles) times. Empirical results reveal that the response of stock markets is heterogeneous; larger equity markets, such as Poland, Russia and Turkey, are highly sensitive to the global factors while Bulgaria is the least sensitive. Overall, the dependence on gold and oil prices is positive while the dependence on US stock market uncertainty is negative. Additionally, in most of the cases, the dependence intensifies during bear market conditions, in which stock prices fall.en_US
dc.identifier.doi10.18267/j.pep.680en_US
dc.identifier.endpage415en_US
dc.identifier.issn1210-0455
dc.identifier.issn2336-730X
dc.identifier.issue4en_US
dc.identifier.scopus2-s2.0-85073371166en_US
dc.identifier.scopusqualityQ4en_US
dc.identifier.startpage402en_US
dc.identifier.urihttps://hdl.handle.net/11363/1464
dc.identifier.urihttps://doi.org/
dc.identifier.volume28en_US
dc.identifier.wosWOS:000485087000002en_US
dc.identifier.wosqualityQ4en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherUNIV ECONOMICS-PRAGUE, OECONOMICA PUBL, NAM W CHIRCHILLA 4, PRAGUE 3, CZ-130 67, CZECH REPUBLICen_US
dc.relation.ispartofPRAGUE ECONOMIC PAPERSen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 United States*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/us/*
dc.subjectGlobal risk factorsen_US
dc.subjectEmerging marketsen_US
dc.subjectQuantile regressionen_US
dc.subjectOIL PRICE SHOCKSen_US
dc.subjectSAFE HAVENen_US
dc.subjectGOLDen_US
dc.subjectIMPACTen_US
dc.subjectUNCERTAINTYen_US
dc.subjectDEPENDENCEen_US
dc.subjectSPILLOVERen_US
dc.subjectBONDSen_US
dc.subjectHEDGEen_US
dc.titleGlobal Risk Factors and Stock Returns During Bull and Bear Market Conditions: Evidence From Emerging Economies in Europeen_US
dc.typeArticleen_US

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