The abstract of the article is as follows.
Do the Political Uncertainty and Geopolitical Risk Indexes inthe G-7 Countries Relate to Stock Prices? Fourier CausalityTest Evidence
Asiye Tütüncü
Burcu Savaş Çelik
Şükran Kahveci
ABSTRACT
This study aims to examine the reciprocal effects of the Economic Pol-icy Uncertainty (EPU) and the Geopolitical Risks (GPR) on the stockmarkets (SP) of the G-7 countries. The findings of the study will allowus to answer the following questions: Do risk and uncertainty con-ditions in other G-7 countries affect their stock markets as much asthose in the country itself? Which affects G-7 stock markets more, EPUor GPR? In addition to previous research in the field, this study con-ducts a comparative analysis of the effects of the EPU and GPR onthe SP of G-7 countries. Therefore, we used the linear VAR Granger,Fourier and Fourier Fractional Frequency Granger Causality tests. Wefound that the EPU indices of the United States, United Kingdom,and Germany had the greatest impact on the stock markets of theirrespective countries and other G-7 countries, and the conclusionthat G-7 stock markets were influenced by economic uncertainties inother member countries was added to the literature. It has also beenfound that the G-7 stock markets have a broad influence on the EPUindex.
KEYWORDS: Stock markets; economicpolicy uncertainty;geopolitical risks; Fouriercausality
The abstract of the article is as follows.
