dc.contributor.author | Demiralay, Sercan | |
dc.date.accessioned | 2019-09-28T20:08:44Z | |
dc.date.available | 2019-09-28T20:08:44Z | |
dc.date.issued | 2019 | en_US |
dc.identifier.issn | 1210-0455 | |
dc.identifier.issn | 2336-730X | |
dc.identifier.uri | https://hdl.handle.net/11363/1464 | |
dc.description.abstract | This 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.language.iso | eng | en_US |
dc.publisher | UNIV ECONOMICS-PRAGUE, OECONOMICA PUBL, NAM W CHIRCHILLA 4, PRAGUE 3, CZ-130 67, CZECH REPUBLIC | en_US |
dc.relation.isversionof | 10.18267/j.pep.680 | en_US |
dc.rights | info:eu-repo/semantics/openAccess | en_US |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 United States | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/us/ | * |
dc.subject | Global risk factors | en_US |
dc.subject | Emerging markets | en_US |
dc.subject | Quantile regression | en_US |
dc.subject | OIL PRICE SHOCKS | en_US |
dc.subject | SAFE HAVEN | en_US |
dc.subject | GOLD | en_US |
dc.subject | IMPACT | en_US |
dc.subject | UNCERTAINTY | en_US |
dc.subject | DEPENDENCE | en_US |
dc.subject | SPILLOVER | en_US |
dc.subject | BONDS | en_US |
dc.subject | HEDGE | en_US |
dc.title | Global Risk Factors and Stock Returns During Bull and Bear Market Conditions: Evidence From Emerging Economies in Europe | en_US |
dc.type | article | en_US |
dc.relation.ispartof | PRAGUE ECONOMIC PAPERS | en_US |
dc.department | İktisadi İdari ve Sosyal Bilimler Fakültesi | en_US |
dc.identifier.volume | 28 | en_US |
dc.identifier.issue | 4 | en_US |
dc.identifier.startpage | 402 | en_US |
dc.identifier.endpage | 415 | en_US |
dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |