THE EFFECT OF BUDGET DEFICITS ON STOCK MARKET RETURNS IN EMERGING MARKETS: A PANEL VAR ANALYSIS
Küçük Resim Yok
Tarih
2024
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
This study examines the impact of fiscal deficits on stock returns. The sample covers emerging markets for the period 2016Q1-2021Q4. The analysis results using panel vector autoregression (PVAR) and Granger causality tests indicate that fiscal deficits cause stock returns. These results are confirmed for countries with low and medium levels of financial development and for European countries. However, in countries with high levels of financial development such as the BRICS and ASEAN countries, no effect is observed. It is also found that this effect disappears during the COVID-19 pandemic. The results of the study question the strong form of the efficient market hypothesis (EMH). According to the EMH, stock prices should fully reflect all available information. However, the impact of fiscal deficits on stock returns in low- and middle-income countries and European countries suggests that market participants may not fully reflect this information, addressing the existence possibility of markets that are not efficient in the strong form.
Açıklama
Anahtar Kelimeler
Siyasi Bilimler, İşletme, Kamu Yönetimi, İktisat, COVID-19, Stock Returns, Emerging Markets, Budget Deficits
Kaynak
Ekonomi, Politika & Finans Araştırmaları Dergisi
WoS Q Değeri
Scopus Q Değeri
Cilt
9
Sayı
2
