Türkiye’de covid-19 pandemisinin geleneksel ve islami borsalar üzerindeki etkileri

Year 2020, Volume: 2020 Issue: 42, 89 - 110, 30.10.2020

Seyfettin Erdoğan , Ayfer Gedikli , Emrah İsmail Çevik

https://doi.org/10.28949/bilimname.799413

Cited By: 24

Abstract

Covid -19 pandemisinin makro ekonomik etkilerinin ortaya konması açısından reel sektörün yanısıra finansal piyasaların da takip edilmesi gerekmektedir. Pandeminin finansal piyasalar üzerindeki etkisi araştırılırken özellikle borsada meydana gelen değişikliklerin ortaya konması gerekmektedir. Söz konusu araştırmalar ülke gurubu için yapılabileceği gibi tek ülke için de gerçekleştirilebilir. Tek ülke verileri kullanılarak gerçekleştirilecek çalışmalar sorunun daha derinlemesine analiz edilmesine imkan sağlamaktadır. Pandeminin borsa üzerindeki etkisi araştırılırken geleneksel ve İslami endeksleri birlikte dikkate almak finansal piyasalara ilişkin politikaların belirlenmesinde daha gerçekçi verilerin elde edilmesini mümkün kılacaktır.
Bu çalışmanın amacı, Covid -19 pandemisine geleneksel ve İslami borsanın bulaşma ve ayrışma açısından gösterdiği tepkiyi incelemektir. Çalışmada 10 Şubat 2011 – 02 Eylül 2020 dönemine ilişkin günlük veriler kullanılmış ve DCC-GARCH yönteminden yararlanılmıştır. Elde edilen sonuçlara göre, Türkiye’de küresel Covid -19 pandemisi şoku karşısında İslami borsa, geleneksel borsadan daha istikrarlıdır. Bu sonuca göre Türkiye’de İslami finansal sistemin geliştirilmesine yönelik adımlar güçlendirilmelidir.

Keywords

Covid-19, Katılım Endeksi, Finansal Piyasalar, ISE 100 Endeksi

The effects of the covid-19 pandemic on conventional and islamic stock markets in Turkey

Abstract

In order to reveal the macroeconomic effects of the Covid-19 pandemic, financial markets should also be handled in addition to the real sector. Investigating the changes in the stock market may give clues to analyze the effects of the pandemic on financial markets. The researches in question can be carried out for a country group or a single country. Studies that are conducted for a single country allow researchers to analyze problems more precisely and put forward more specific and convenient policy suggestions. Furthermore, while investigating the effect of the pandemic on stock markets, handling conventional and Islamic stock markets together can provide more comparative and realistic data in determining the policies regarding financial markets.
The aim of the study is to examine the reaction of conventional and Islamic stock markets to the Covid-19 outbreak in Turkey. In the study, the DCC-GARCH method was applied by using the daily data from Feb 10, 2011 to Sep 02, 2020. The empirical results indicated that Islamic stock markets are more stable to the global Covid-19 outbreak shock than the conventional stock market in Turkey. Based on these findings it can be suggested that Turkey should take steps to support the development of the Islamic financial system to have a sounder financial system.

Keywords

Covid-19, Participation Index, ISE 100 Index, Financial Markets

References

• Aielli, G. P. (2013). Dynamic Conditional Correlation: On Properties and Estimation. Journal of Business & Economic Statistics, 31 (3), 282-299.
• Albulescu, C. T. (2020). COVID-19 and the United States financial markets’ volatility. Finance Research Letters, article in press, https://doi.org/10.1016/j.frl.2020.101699
• Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A., and Alhammadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 27, 100326. https://doi.org/10.1016/j.jbef.2020.100326.
• Al-Yahyaee, K. H., Rehman, M. U., Mensi, W., and Al-Jarrah, I. M. W. (2019). Can uncertainty indices predict Bitcoin prices? A revisited analysis using partial and multivariate wavelet approaches. The North American Journal of Economics and Finance, 49, 47–56.
• Apergis, N. and Apergis, E. (2020). The role of Covid-19 for Chinese stock returns: evidence from a GARCHX model. Asia-Pacific Journal of Accounting & Economics, https://doi.org/10.1080/16081625.2020.1816185
• Ashraf, B. N. (2020). Stock markets’ reaction to COVID-19: Cases or fatalities?. Research in International Business and Finance, 54, 101249. https://doi.org/10.1016/j.ribaf.2020.101249
• Ashraf, D., Rizwan, M. S., and Ahmad, G. (2020). Islamic Equity Investments and the COVID-19 Pandemic (May 27, 2020). Available at SSRN: https://ssrn.com/abstract=3611898 or http://dx.doi.org/10.2139/ssrn.3611898
• Baek, S., Mohanty, S. K., and Mina, G. (2020). COVID-19 and Stock Market Volatility: An Industry Level Analysis. Finance Research Letters, article in press, https://doi.org/10.1016/j.frl.2020.101748
• Bakas, D. and Triantafyllou, A. (2020). Commodity price volatility and the economic uncertainty of pandemics. Economics Letters, 193, 109283, https://doi.org/10.1016/j.econlet.2020.109283
• Bhuiyana, E. M. and Chowdhury, M. (2020). Macroeconomic variables and stock Market indices: Asymmetric dynamics in the US and Canada. The Quarterly Review of Economics and Finance, 77, 62 -74.
• Cappiello, L., Engle, R. F., and Sheppard, K. (2006). Asymmetric dynamics in the correlations of global equity and bond returns. Journal of Financial Econometrics, 4 (4), 537–572
• Chen, C. D., Chen, C. C., Tang, W. W., and Huang, B. Y. (2009). The positive and negative impacts of the SARS outbreak: A case of the Taiwan industries. Journal of Developing Areas, 43(1), 281 - 293.
• Chen, M. P., Lee, C. C., Lin, Y. H., and Chen, W. Y. (2018) Did the S.A.R.S. epidemic weaken the integration of Asian stock markets? Evidence from smooth timevarying cointegration analysis, Economic Research, 31 (1), 908-926.
• Chen, C., Liu, L., and Zhao, N. (2020). Fear Sentiment, Uncertainty, and Bitcoin Price Dynamics: The Case of COVID-19. Emerging Markets Finance and Trade, 56 (10), 2298-2309.
• Cheuathonghua, M., Padungsaksawasdi, C., and Boonchoo, P. (2019). Extreme spillovers of VIX fear index to international equity markets. Financ Mark Portf Manag, 33, 1–38.
• Engle, R. (2002). Dynamic Conditional Correlation. Journal of Business & Economic Statistics, 20, 339–350.
• Erdoğan, S., Gedikli, A., and Çevik, E. I. (2019). The impact of macroeconomic variables on participation 30 index in Turkey. Econometrics Letters, 6 (2), 25-34.
• Erdoğan, S., Gedikli, A., and Çevik, E. I. (2020). Volatility spillover effects between Islamic stock markets and exchange rates: Evidence from three emerging countries, Borsa Istanbul Review, https://doi.org/10.1016/j.bir.2020.04.003
• Ichev, R. and Marinč, M. (2018). Stock prices and geographic proximity of information: evidence from the Ebola outbreak. International Review of Financial Analysis, 56, 153 - 166.
• Jelilov, G., Iorember, P. T., Usman, O., and Yua, P. M. (2020). Testing the nexus between stock market returns and inflation in Nigeria: Does the effect of COVID‐19 pandemic matter?. Journal of Public Affairs, https://doi.org/10.1002/pa.2289
• Kenourgios, D., Naifar, N., and Dimitriou, D. (2016). Islamic financial markets and global crises: Contagion or decoupling? Economic Modelling, 57, 36–46.
• Korkmaz T. and Çevik, E. İ (2009). Volatility Spillover Effect from Volatility Implied Index to Emerging. Journal of BRSA Banking and Financial Markets, 3(2), 87 - 105.
• Leduc, S. and Liu, Z. (2020). The Uncertainty Channel of the Coronavirus. FRBSF Economic Letter, Federal Reserve Bank of San Francisco, 2020(07), pages 1-05, March.
• Okoriea, D. I. and Lin, B. (2020). Stock markets and the COVID-19 fractal contagion effects. Finance Research Letters, article in press, https://doi.org/10.1016/j.frl.2020.101640
• Parab, N. and Reddy, Y. V. (2020). The dynamics of macroeconomic variables in Indian stock market: A Bai–Perron approach. Macroeconomics and Finance in Emerging Market Economies, 13 (1), 89-113.
• Rahim, A. M. and Masih, M. (2016). Portfolio diversification benefits of Islamic investors with their major trading partners: Evidence from Malaysia based on MGARCH-DCC and wavelet approaches. Economic Modelling, 54, 425-438.
• Rizvi, S. A. R. and Arshad, S. (2014). An empirical study of Islamic equity as a better alternative during crisis using multivariate GARCH DCC. Islam. Econ. Stud., 22 (1), 159-184
• Salisu, A. A. and Akanni, L. O. (2020). Constructing a Global Fear Index for the COVID-19 Pandemic. Emerging Markets Finance and Trade, 56 (10), 2310-2331.
• Sarwar, G. (2012). Is VIX an investor fear gauge in BRIC equity markets? Journal of Multinational Financial Management, 22 (3), 55–65.
• Topcu, M. and Gulal, O. S. (2020). The impact of COVID-19 on emerging stock markets. Finance Research Letters, article in press, https://doi.org/10.1016/j.frl.2020.101691
• Waheed, R., Sarwar, S., Sarwar, S., and Khan, M. K. (2020). The impact of COVID‐19 on Karachi stock exchange: Quantile‐on‐quantile approach using secondary and predicted data. Journal of Public Affairs, https://doi.org/10.1002/pa.2290
• Whaley, R. E. (2000). The Investor Fear Gauge. The Journal of Portfolio Management, 26(3), 12–17.
• Yar, A. S. (2020). Impact of COVID-19 on Performance of Pakistan Stock Exchange. MPRA, Paper No. 101540.
• Yarovaya, L., Elsayed, A. H., and Hammoudeh, S. M. (2020). Searching for Safe Havens during the COVID-19 Pandemic: Determinants of Spillovers between Islamic and Conventional Financial Markets (June 11, 2020). Available at SSRN: https://ssrn.com/abstract=3634114 or http://dx.doi.org/10.2139/ssrn.3634114