THE NUMBER OF CASES, EXCHANGE RATE AND THE EFFECT OF VIX INDEX ON EMERGİNG MARKETS DURİNG THE COVID-19 PANDEMİC PERİOD: AN ANALYSİS ON BIST 100 INDEX

Year 2022, Volume: 23 Issue: COVID-19 ÖZEL SAYISI, 221 - 242, 28.03.2022

Özgür Ömer Ersin Tuğçe Acar Özgür Kıyak

https://doi.org/10.31671/doujournal.1016083

Cited By: 3

Abstract

The study aims at the investigation of the pandemic and its effects on the way the exchange rates and global risk influences an emerging stock market. For this purpose, the effects of the active cases and the new cases are utilized in addition to the exchange rates and the VIX index on the BIST100 stock index in Turkey are investigated. By using a sample that covers daily series to starting from 11.3.2020, the day of declaration of the pandemic in Turkey, and that ends at 11.5.2021, the empirical findings obtained from GARCH, GJR, TGARCH, and nonlinear GARCH models suggest significant. According to the empirical findings, the negative and positive news shocks have important effects on the stock market in Turkey. The empirical findinds reveal that in addition to the negative impacts of the Covid-19 cases on the BIST100 daily returns in Turkey, the nominal Dolar/TL exchange rate increases have a strong negative effect on the stock market. Further, empirical findings also point at the negative effects of the inclines in the VIX index, considered as a proxy representing the international financial risk.

Keywords

COVID-19, International Financial Markets, Time Series Analysis

COVID-19 PANDEMİ DÖNEMİNDE VAKA SAYILARI, DÖVİZ KURU VE VIX ENDEKSİNİN GELİŞMEKTE OLAN PİYASALAR ÜZERİNDEKİ ETKİSİ: BİST 100 ENDEKSİ ÜZERİNE BİR ANALİZ

Abstract

Çalışmada, pandemi sürecinin ve özellikle vaka sayılarındaki değişimlerin döviz kurları ve küresel riskin yerel borsa getirilerine etki ediş sürecine yansımalarının incelenmesi amaçlanmıştır. Bu amaçla döviz kuru ve VIX endeksine ek olarak aktif vakalar ve yeni vakaların Türkiye'deki BİST100 hisse senedi endeksi üzerindeki etkileri araştırılmıştır. GARCH, GJR, TGARCH ve doğrusal olmayan GARCH modellerinden elde edilen ampirik bulgular, Türkiye'de pandeminin ilan edildiği 11.3.2020'den başlayarak ve 11.5.2021'de sona eren günlük serileri kapsayan bir örneklemin kullanılmasıyla anlamlı sonuçlar ortaya koymaktadır. Elde edilen ampirik bulgular doğrultusunda, negatif ve pozitif haber şoklarının Türkiye’de borsada ciddi etkilere sahip olduğuna işaret etmektedir. Elde edilen bulgular, BIST 100 getirileri üzerinde Covid-19 vaka sayılarındaki artışların negatif etkilerine ek olarak, özellikle nominal Dolar/TL artışlarının önemli negatif etkileri olduğunu ortaya koymakta, uluslararası finansal riskin bir göstergesi olarak alınan VIX’teki artışların da Türkiye’deki finansal getiriler üzerindeki negatif etkilerine işaret etmektedir.

Keywords

COVID-19, Uluslararası Finansal Piyasalar, Zaman Serileri Analizi

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