Investigation of the Relationship between Economic and Political Uncertainty and General Economic Outlook: An Econometric Analysis on Athens Stock Exchange

OpenAlex İngilizce

In this study, the relationship between economic and political uncertainties in Greece and price movements of the Athens Stock Exchange and its volatility are examined through 19 econometric models calculated by using the Chowdhury (1993) volatility calculation method. Panel data analysis is conducted. Kapetanios (2005) structural break unit root test is performed, and it is observed that series are stationary at different levels. The bounds testing approach developed by Pesaran et al. (2001) is applied to detect cointegration between the series. To find out structural breaking dates that are critical and affect the performance of stock exchange, Bai-Perron (2003) multiple structural change method is performed by using dummy variables. In the long-term analysis, a negative relationship between the political and economic uncertainty indicators in Greece and the Athens Stock Exchange Index is determined. Uncertainties in tax policies (EPUT), economic uncertainties (EU) and uncertainties in banking policies (EPUB) are determined factors as having the most impact on the stock exchange. In the short-term analysis, it is observed that the uncertainties in question are also effective on the Athens Stock Exchange Index, but they did not have a significant effect on the price volatility of the stock exchange.