THE EFFECT OF BUDGET DEFICITS ON STOCK MARKET RETURNS IN EMERGING MARKETS: A PANEL VAR ANALYSIS

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dc.contributor.authorÇelik, Mehmet Sinan
dc.date.accessioned2024-11-07T13:17:04Z
dc.date.available2024-11-07T13:17:04Z
dc.date.issued2024
dc.departmentNiğde Ömer Halisdemir Üniversitesi
dc.description.abstractThis 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.
dc.identifier.doi10.30784/epfad.1446948
dc.identifier.endpage345
dc.identifier.issn2587-151X
dc.identifier.issue2
dc.identifier.startpage336
dc.identifier.trdizinid1246695
dc.identifier.urihttps://doi.org/10.30784/epfad.1446948
dc.identifier.urihttps://search.trdizin.gov.tr/tr/yayin/detay/1246695
dc.identifier.urihttps://hdl.handle.net/11480/12774
dc.identifier.volume9
dc.indekslendigikaynakTR-Dizin
dc.language.isoen
dc.relation.ispartofEkonomi, Politika & Finans Araştırmaları Dergisi
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_20241107
dc.subjectSiyasi Bilimler
dc.subjectİşletme
dc.subjectKamu Yönetimi
dc.subjectİktisat
dc.subjectCOVID-19
dc.subjectStock Returns
dc.subjectEmerging Markets
dc.subjectBudget Deficits
dc.titleTHE EFFECT OF BUDGET DEFICITS ON STOCK MARKET RETURNS IN EMERGING MARKETS: A PANEL VAR ANALYSIS
dc.typeArticle

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