Incertidumbre de política económica, geopolítica y volatilidad financiera: efectos sobre los mercados bursátiles

Abstract

The aim of this doctoral thesis is threefold. First, it aims to explore the nature and extent of the effects of uncertainty on stock markets. Second, it seeks to determine whether there are differences in the impact of three different types of uncertainty (economic policy, geopolitical and financial market volatility). Third, it is tested whether the influence of uncertainty varies depending on the context of different national stock markets. In particular, we study the influence of uncertainty on the stock market indices of a representative sample of countries at the global level, with special emphasis on the case of the IBEX 35. This relationship is addressed using three econometric approaches: cointegration analysis (autoregressive distributed lagged model, ARDL), panel data (fixed and random effects models) and variable conditional volatility (GARCH model). On the basis of the results obtained, we conclude that economic policy uncertainty and market volatility would play a prominent role as determinants of Spanish stock prices, while geopolitical risks become relevant when the analysis is extended to a sample of economies with diverse characteristics.