Impact of COVID-19 Announcements and Government Restrictions on Country Stock Exchanges: Developed and Emerging Markets

Year 2024, Issue: 79, 38 - 54, 30.01.2024

Nevin Özer , Ali Özer , İstemi Çömlekçi

https://doi.org/10.51290/dpusbe.1333003

Abstract

This study investigates how the panic and risk perception created by countries' announcements of the number of cases and deaths, especially during the COVID-19 epidemic, are reflected in the stock markets. In addition, the impact of the measures taken by countries to reduce the rate of infection in the epidemic on the stock markets was investigated. For this purpose, 10 developed and developing countries in the MSCI index of country stock markets were determined. While death and case numbers were used as COVID-19 announcements, the stringency index calculated by the Oxford COVID-19 Government Response Tracker was used for government restrictions. Data sets were obtained from Refinitiv Datastream and ourworldindata databases. As a result of the analysis, a significant long-term relationship of 1% was detected between the variables used for both developed and developing countries. In addition, while a causal relationship was detected from government restrictions to stock markets in both developed and developing countries, no relationship could be determined from the number of cases. Finally, as a result of the panel data model analysis, only the negative and significant effect of government restrictions was detected on the stock markets of developing countries, while the negative and significant effect of both government restrictions and COVID-19 announcements was detected in developed countries.

Keywords

COVID-19, Government restrictions, Cointegration, Causality, Panel data analysis

COVID 19 Duyurularının ve Devlet Kısıtlamalarının Ülke Borsalarına Etkisi: Gelişmiş ve Gelişmekte Olan Piyasalar

Abstract

Bu çalışma, özellikle COVID-19 salgını sürecinde ülkelerin vaka ve ölüm sayısı duyurularının yatırımcıda oluşturduğu panik ve risk algısının borsalara nasıl yansıdığını araştırmaktadır. Ayrıca salgındaki bulaşma hızının düşürülmesi için ülkeler tarafından alınan tedbirlerin borsalar da oluşturduğu etki araştırılmıştır. Bu amaçla ülke borsaları MSCI endeksindeki gelişmiş ve gelişmekte olan 10’ar ülke belirlenmiştir. COVID-19 duyurusu olarak ölüm ve vaka sayıları kullanılırken, devlet kısıtlamaları için ise Oxford COVID-19 Devlet Müdahale İzleyicisi tarafından hesaplanan sıkılık endeksi kullanılmıştır. Veri setleri Refinitiv Datastream ve ourworldin data veri tabanlarından elde edilmiştir. Yapılan analiz sonuçlarında hem gelişmiş hem de gelişmekte olan ülkeler için kullanılan değişkenler arasında %1’de anlamlı uzun dönem bir ilişki tespit edilmiştir. Ayrıca hükümet kısıtlamalarından hem gelişmiş hem de gelişmekte olan ülke borsalarına doğru nedensellik ilişkisi tespit edilirken, vaka sayılarından bir ilişki tespit edilememiştir. Son olarak ise yapılan panel veri modeli analizi sonucunda gelişmekte olan ülke borsalarında sadece hükümet kısıtlamalarının negatif ve anlamlı etkisi tespit edilirken, gelişmiş ülkelerde hem hükümet kısıtlamalarının hem de COVID-19 duyurularının negatif ve anlamlı etkisi tespit edilmiştir.

Keywords

COVID-19, Hükümet kısıtlamaları, Eşbütünleşme, Nedensellik, Panel veri analizi

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