Covid-19 Çöküşü Sırasında Salgın ile ilgili Haberlerin Borsa Getirileri Üzerindeki Etkisi: Uluslararası Piyasalar Örneği

Abstract

Bu çalışma salgın haberlerinin uluslararası piyasaların getirileri üzerindeki etkisini kantil regresyon yöntemi kullanarak araştırmaktadır. Analiz için RavenPack veri platformu tarafından sağlanan medyatiklik endeksi, sahte haber endeksi, ülke duyarlılık endeksi, infodemi endeksi ve medya ilgi endeksi kullanılmıştır. Bu araştırmada 22 Ocak 2020’den 17 Nisan 2020’ye kadar günlük verilerle 80 ülkeden 2.996 gözlem kullanılmıştır. Analiz sonuçlarına göre Covid-19 ile ilgili haberlerin piyasa getirileri üzerindeki etkisinin kantiller arasında farklılık gösterdiğini, diğer bir deyişle haberler ve finansal piyasalar arasında asimetrik bir bağımlılık bulunmuştur. Medyada salgın ile haberlerin artmasıyla birlikte piyasa getirileri üzerindeki olumsuz etkisi düşük kantillerden yüksek kantillere doğru düşüş eğilimi göstermektedir. Covid-19’un neden olduğu finansal çöküşü hafifletmek için etkili iletişim kanallarının daha yoğun kullanılması gerekmektedir. Haberlerin finansal piyasalar üzerindeki etkisini yakalamak için, bu çalışma aynı zamanda ülkeleri Morgan Stanley Sınıflandırma İndeksine göre (MSCI, n.d.), gelişmiş, gelişmekte olan, sınır pazarları ve bağımsız pazarlar olarak ve coğrafi konumuna göre Avrupa, Kuzey ve Güney Amerika, Asya ve Ortadoğu ülkeleri olarak sınıflandırmıştır. Sonuçlar önceki bulgular ile tutarlılık göstermiş ve haberler ile finansal piyasalar arasındaki asimetrik bağımlılık sürmüştür.

Keywords

• Covid-19
• uluslararası finansal piyasalar medyatiklik endeksi
• ülke duyarlılık endeksi
• medya ilgi endeksi
• kantil regresyon

The Effect of Pandemic News on Stock Market Returns During the Covid-19 Crash: Evidence from International Markets

Abstract

This study investigates the effect of pandemic-related news on stock market returns in international markets using the quantile regression method. The media hype index, fake news index, country sentiment index, infodemic index, and media coverage index provided by the RavenPack data platform are used for the analysis. In this research, 2,996 observations from 80 countries, consisting of daily data from January 22, 2020, to April 17, 2020, were used. The results show that the impact of Covid-19-related news on market returns varies among the quantiles of the stock market; in other words, there is an asymmetric dependency between the news and financial markets. With the increase in coverage about the pandemic in the media, the negative impact on market returns exhibits a decreasing trend from low quantiles to high quantiles. More intense use of effective communication channels is required to alleviate the financial crash caused by Covid-19. To capture the effect of the news on financial markets, this analysis also categorized countries according to the Morgan Stanley Classification Index (MSCI, n.d.), such as by developed, emerging, standalone, and frontier markets and by geographical location, including Europe, Africa, North and South America, Asia, and the Middle East. The results are consistent with the previous findings and the dependency between the news and financial markets remains asymmetric. 

Keywords

• Covid-19
• financial markets media hype index
• country sentiment index
• media coverage index
• quantile regression

References

1. Ahundjanov, B. B., Akhundjanov, S. B., & Okhunjanov, B. B. (2020). Information search and financial markets under Covid-19. Entropy, 22(7), 1–18. https://doi.org/10.3390/e22070791
2. Akhtaruzzaman, M., Boubaker, S., & Sensoy, A. (2020). Financial contagion during COVID–19 crisis. Finance Research Letters. https://doi.org/10.1016/j.frl.2020.101604
3. Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A., & 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, 1–5. https://doi.org/10.1016/j.jbef.2020.100326
4. Albulescu, C. T. (2020). Covid-19 and the United States financial markets’ volatility. Finance Research Letters, (July). https://doi.org/10.1016/j.frl.2020.101699
5. Ali, M., Alam, N., & Rizvi, S. A. R. (2020). Coronavirus (Covid-19) - An epidemic or pandemic for financial markets. Journal of Behavioral and Experimental Finance, 27, 1–6. https://doi.org/10.1016/j.jbef.2020.100341
6. Ambros, M., Frenkel, M., Huynh, T.L.D., & Kilinc, M. (2020). Covid-19 pandemic news and stock market reaction during the onset of the crisis: Evidence from high-frequency data. Applied Economics Letters, 1-4. https://doi.org/10.1080/13504851.2020.1851643
7. Ashraf, B. N. (2020a). Economic impact of government interventions during the Covid-19 pandemic: International evidence from financial markets. Journal of Behavioral and Experimental Finance, 27, 100371. https://doi.org/10.1016/j.jbef.2020.100371
8. Ashraf, B. N. (2020b). Stock markets’ reaction to Covid-19: Cases or fatalities? Research in International Business and Finance, 54, 1–7. https://doi.org/10.1016/j.ribaf.2020.101249

9. Ashraf, B. N. (2020c). Stock markets’ reaction to Covid-19: Moderating role of national culture. Finance Research Letters, 1–20. https://doi.org/10.1016/j.frl.2020.101857
10. Bahrini, R., & Filfilan, A. (2020). Impact of novel coronavirus on stock market returns: Evidence form GCC countries. Quantitative Finance and Economics, 4(4), 640–653. https://doi.org/10.1191/146342301682157692
11. Baig, A. S., Butt, H. A., Haroon, O., & Rizvi, S. A. R. (2020). Deaths, panic, lockdowns and US equity markets: The case of Covid-19 pandemic. Finance Research Letters, (July). https://doi.org/10.1016/j.frl.2020.101701
12. Baker, S. R., Bloom, N., Davis, S. J., Kost, K. K., Sammon, M. C., & Viratyosin, T. (2020). The Unprecedented Stock Market Impact of Covid-19. NBER Working Paper. No. 26945.
13. Barış-Tüzemen, Ö., Tüzemen, S., & Çelik, A. K. (2020). Does an N-shaped association exist between pollution and ICT in Turkey? ARDL and quantile regression approaches. Environmental Science and Pollution Research, 27(17), 20786–20799. https://doi.org/10.1007/s11356-020-08513-w
14. Blitz, D., Huisman, R., Swinkels, L., & van Vliet, P. (2020). Media attention and the volatility effect. Finance Research Letters, 36, 1–6. https://doi.org/10.1016/j.frl.2019.101317
15. Broadstock, D. C., & Zhang, D. (2019). Social-media and intraday stock returns: The pricing power of sentiment. Finance Research Letters, 30, 116–123. https://doi.org/10.1016/j.frl.2019.03.030
16. Cepoi, C. O. (2020). Asymmetric dependence between stock market returns and news during Covid-19 financial turmoil. Finance Research Letters, 36, 1–5. https://doi.org/10.1016/j.frl.2020.101658
17. Chang, C. L., McAleer, M., & Wang, Y. A. (2020). Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing Covid-19. Renewable and Sustainable Energy Reviews, 134, 1–15. https://doi.org/10.1016/j.rser.2020.110349
18. Chellaswamy, K. P., Natchimuthu, N., & Faniband, M. (2020). Stock market sensitivity to macroeconomic factors: Evidence from China and India. Asian Economic and Financial Review, 10(2), 146–159. https://doi.org/10.18488/journal.aefr.2020.102.146.159
19. Chen, M.-H., Demir, E., García-Gómez, C. D., & Zaremba, A. (2020). The impact of policy responses to Covid-19 on U.S. travel and leisure companies. Annals of Tourism Research Empirical Insights, 1, 1–8. https://doi.org/10.1016/j.annale.2020.100003
20. Chiah, M., & Zhong, A. (2020). Trading from home: The impact of Covid-19 on trading volume around the world. Finance Research Letters, 37. https://doi.org/10.1016/j.frl.2020.101784
21. Conlon, T., & McGee, R. (2020). Safe haven or risky hazard? Bitcoin during the Covid-19 bear market. Finance Research Letters, 35(May). https://doi.org/10.1016/j.frl.2020.101607
22. Contessi, S., & Pierangelo, D. P. (2020). The international spread of Covid-19 stock market collapses. Finance Research Letters, 101894.
23. Corbet, S., Goodell, J. W., & Günay, S. (2020). Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during Covid-19. Energy Economics, 92, 1–24. https://doi.org/10.1016/j.eneco.2020.104978
24. Corbet, S., Hou, Y., Hu, Y., Lucey, B., & Oxley, L. (2020). Aye Corona! The contagion effects of being named Corona during the Covid-19 pandemic. Finance Research Letters, 1–9. https://doi.org/10.1016/j.frl.2020.101591
25. Corbet, S., Larkin, C., & Lucey, B. (2020). The contagion effects of the Covid-19 pandemic: Evidence from gold and cryptocurrencies. Finance Research Letters, 35. https://doi.org/10.1016/j.frl.2020.101554
26. Demir, E., Bilgin, M. H., Karabulut, G., & Doker, A. C. (2020). The relationship between cryptocurrencies and Covid-19 pandemic. Eurasian Economic Review, 10(3), 349–360. https://doi.org/10.1007/s40822-020-001541
27. Devpura, N., & Narayan, P. K. (2020). Hourly oil price volatility: The role of Covid-19. Energy Research Letters, 1, 1–5. https://doi.org/10.46557/001c.13683
28. du Plooy, S. (2019). On the financial interpretation of risk contributions: An analysis using quantile simulation. Investment Analysts Journal, 48(3), 188–204. https://doi.org/10.1080/10293523.2019.1643126
29. Dzielinski, M. (2011). News Sensitivity and the Cross-Section of Stock Returns. NCRR Finrisk Working, Paper No. 719.
30. Espinosa-Méndez, C., & Arias, J. (2020). Covid-19 effect on herding behaviour in European capital markets. Finance Research Letters. https://doi.org/10.1016/j.frl.2020.101787
31. Fang, L., & Peress, J. (2009). Media coverage and the cross-section of stock returns. International Review of Finance, 59(5), 2023–2052. https://doi.org/10.1111/irfi.12191
32. Fu, M., & Shen, H. (2020). Covid-19 and corporate performance in the energy industry. Energy Research Letters, 1(1), 1–5. https://doi.org/10.46557/001c.12967
33. García, D. (2013). Sentiment during recessions. Journal of Finance, 68(3), 1267–1300. https://doi.org/10.1111/jofi.12027
34. Ghosh, S. (2020). Asymmetric impact of Covid-19 induced uncertainty on inbound Chinese tourists in Australia: Insights from nonlinear ARDL model. Quantitative Finance and Economics, 4(2), 343–364. https://doi.org/10.3934/qfe.2020016
35. Groß-Klußmann, A., & Hautsch, N. (2011). When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions. Journal of Empirical Finance, 18(2), 321–340. https://doi.org/10.1016/j.jempfin.2010.11.009
36. Gu, X., Ying, S., Zhang, W., & Tao, Y. (2020). How do firms respond to Covid-19? First evidence from Suzhou, China. Emerging Markets Finance and Trade, 56(10), 2181–2197. https://doi.org/10.1080/1540496X.2020.1789455
37. Guizani, M. (2017). The financial determinants of corporate cash holdings in an oil rich country: Evidence from Kingdom of Saudi Arabia. Borsa Istanbul Review, 17(3), 133–143. https://doi.org/10.1016/j.bir.2017.05.003
38. Hanna, A. J., Turner, J. D., & Walker, C. B. (2020). News media and investor sentiment during bull and bear markets. European Journal of Finance. https://doi.org/10.1080/1351847X.2020.1743734
39. Harjoto, M. A., Rossi, F., Lee, R., & Sergi, B. S. (2020). How do equity markets react to Covid-19? Evidence from emerging and developed countries. Journal of Economics and Business, 1–15. Retrieved from https://linkinghub.elsevier.com/retrieve/pii/S0148619520304100
40. Haroon, O., & Rizvi, S. A. R. (2020). Covid-19: Media coverage and financial markets behavior—A sectoral inquiry. Journal of Behavioral and Experimental Finance, 27, 1–5. https://doi.org/10.1016/j.jbef.2020.100343
41. Huang, W., & Zheng, Y. (2020). Covid-19: Structural changes in the relationship between investor sentiment and crude oil futures price. Energy Research Letters, 1, 2–5. https://doi.org/10.46557/001c.13685
42. Investing (n.d.). Historical data of indices. Retrieved from https://www.investing.com/
43. Jeris, S. S., & Nath, R. D. (2020). Covid-19, oil price and UK economic policy uncertainty: Evidence from the ARDL approach. Quantitative Finance and Economics, 4(3), 503–514. https://doi.org/10.3934/qfe.2020023
44. Kaczmarek, T., Perez, K., Demir, E., & Zaremba, A. (2021). How to survive a pandemic: The corporate resiliency of travel and leisure companies to the Covid-19 outbreak. Tourism Management, 84, 1–11.
45. Karabulut, G., Bilgin, M.H., Demir, E., & Doker, A. C. (2020). How pandemics affect tourism: International evidence. Annals of Tourism Research, 84. https://doi.org/10.1016/j.annals.2020.102991
46. Kartal, M. T., Kiliç-Depren, S., & Depren, Ö. (2020). How main stock exchange indices react to Covid-19 pandemic: Daily evidence from East Asian Countries. Global Economic Review, 1–18. https://doi.org/10.1080/1226508X.2020.1869055
47. Koenker, R., & Basset, G. (1978). Regression quantiles. Econometrica, 46(1), 33–50.
48. Krieger, K., Mauck, N., & Pruitt, S. W. (2020). The impact of the Covid-19 pandemic on dividends. Finance Research Letters, 101910. https://doi.org/10.1016/j.frl.2020.101910
49. Mazur, M., Dang, M., & Vega, M. (2020). Covid-19 and the March 2020 stock market crash. Evidence from S&P1500. Finance Research Letters, (March), 1–8. https://doi.org/10.1016/j.frl.2020.101690
50. Mazur, M., Dang, M., & Vo, T. T. A. (2020). Dividend policy and the Covid-19 crisis. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3723790
51. Mirza, N., Naqvi, B., Rahat, B., & Rizvi, S. K. A. (2020). Price reaction, volatility timing and funds’ performance during Covid-19. Finance Research Letters, 36. https://doi.org/10.1016/j.frl.2020.101657
52. MSCI-Morgan Stanley Country Index (n.d.). MSCI annual market classification. Retrieved from https://www.msci.com/market-classification
53. Nicola, M., Alsafi, Z., Sohrabi, C., Kerwan, A., Al-Jabir, A., Iosifidis, C., ... Agha, R. (2020). The socio-economic implications of the coronavirus pandemic (Covid-19): A review. International Journal of Surgery, 78, 185–193. https://doi.org/10.1016/j.ijsu.2020.04.018
54. Nguyen, H. M., Vuong, T.H.G., Nguyen, T. H., Wu, Y., & Wong, W. (2020). Sustainability of both pecking order and trade-off theories in Chinese manufacturing firms. Sustainability, 12, 1-25.
55. Okorie, D. I., & Lin, B. (2020). Stock markets and the Covid-19 fractal contagion effects. Finance Research Letters, (June). https://doi.org/10.1016/j.frl.2020.101640
56. Pirgaip, B. (2021). Pan(dem)ic reactions in Turkish stock market: Evidence from share repurchases. Eurasian Economic Review.https://doi.org/10.1007/s40822-021-00173-6
57. Qian, X., Qui, S., & Zhang, G. (2021). The impact of COVID-19 on housing price: Evidence from China. Finance Research Letters, 1-7. https//doi.org/10.1016/j.frl.2021.101944
58. Rababah, A., Al-Haddad, L., Sial, M. S., Chunmei, Z., & Cherian, J. (2020). Analyzing the effects of Covid-19 pandemic on the financial performance of Chinese listed companies. Journal of Public Affairs, 20(4), 1–6. https://doi.org/10.1002/pa.2440
59. Salisu, A. A., Ebuh, G. U., & Usman, N. (2020). Revisiting oil-stock nexus during Covid-19 pandemic: Some preliminary results. International Review of Economics and Finance, 69, 280–294. https://doi.org/10.1016/j.iref.2020.06.023
60. Salisu, A. A., & Vo, X. V. (2020). Predicting stock returns in the presence of Covid-19 pandemic: The role of health news. International Review of Financial Analysis, 71(June), 1–10. https://doi.org/10.1016/j.irfa.2020.101546
61. Sergi, B. S., Harjoto, M. A., Rossi, F., & Lee, R. (2021). Do stock markets love misery? Evidence from the COVID -19. Finance Research Letters.
62. Shi, Y., & Ho, K. Y. (2020). News sentiment and states of stock return volatility: Evidence from long memory and discrete choice models. Finance Research Letters, 1–8. https://doi.org/10.36334/modsim.2013.f8.shi
63. Smales, L. A. (2014a). News sentiment and the investor fear gauge. Finance Research Letters, 11, 122–130. https://doi.org/10.1016/j.frl.2013.07.003
64. Smales, L. A. (2014b). Non-scheduled news arrival and high-frequency stock market dynamics. Evidence from the Australian Securities Exchange. Research in International Business and Finance, 32, 122–138. https://doi.org/10.1016/j.ribaf.2014.03.006
65. Tetlock, P. (2007). Giving content to investor sentiment: The role of media in the stock market. Journal of Finance, 62(3), 1139–1168.
66. Thorbecke, W. (2020). The impact of the Covid-19 pandemic on the U.S. economy: Evidence from the stock market. Journal of Risk and Financial Management, 13(10), 1–32. https://doi.org/10.3390/jrfm13100233
67. Topcu, M., & Gulal, O. S. (2020). The impact of Covid-19 on emerging stock markets. Finance Research Letters, 36(July), 1–4. https://doi.org/10.1080/01694243.2020.1863629
68. Trinidad & Tobago Stock Excange (n.d.). Trinidad & Tobago index data. Retrieved from https://www.stockex.co.tt.
69. Wagner, A. F. (2020). What the stock market tells us about the post-Covid-19 world. Nature Human Behaviour, 4(5), 440–440. https://doi.org/10.1038/s41562-020-0869-y
70. Yarovaya, L., Mirza, N., Abaidi, J., & Hasnaoui, A. (2021). Human capital efficiency and equity funds’ performance during the Covid-19 pandemic. International Review of Economics and Finance, 71, 584–591. https://doi.org/10.1016/j.iref.2020.09.017
71. Yilmazkuday, H. (2020). Coronavirus Disease 2019 and the Global Economy. SSRN Electronic Journal. https://doi.org/10.5853/jos.2020.01760
72. Zaremba, A., Aharon, D. Y., Demir, E., Kizys, R., & Zawadka, D. (2021). Covid-19, government policy responses, and stock market liquidity around the world. Research in International Business and Finance, 56, 1–9. https://doi.org/10.2139/ssrn.3631177
73. Zaremba, A., Kizys, R., Aharon, D. Y., & Demir, E. (2020). Infected markets: Novel coronavirus, government interventions, and stock return volatility around the globe. Finance Research Letters, 35. https://doi.org/10.1016/j.frl.2020.101597
74. Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of Covid-19. Finance Research Letters, 36(March). https://doi.org/10.1016/j.frl.2020.101528