Akademik Veri Yönetim Sistemi
Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, cilt.23, sa.1, ss.253-283, 2024 (Hakemli Dergi)
In this study, the determinants of country risks of developed and developing economies are analyzed by revealing that country beta varies over time. For this purpose, firstly, the beta values of developed and developing economies between 2004 and 2023 were calculated with the help of the Heteroskedastic Market Model. Model calculations prove that beta values vary over time and countries. Secondly, the relationship of country beta with trade openness, financial openness, industrial production index, real effective exchange rate and inflation rate is investigated using the panel Fixed Effects OLS estimator. Estimation results show that the effect of the selected variables on country beta is significant. While the beta of the stock markets of developed economies is sensitive to changes in financial openness and industrial production index, the beta of the stock markets of developing countries is sensitive to changes in trade openness, real effective exchange rate and inflation rate.
Keywords: Country Risk, Macroeconomic Variables, Heteroskedastic Market Model
JEL Codes: G15, O57