The Impact of Covid-19 on International Stock Markets

Abstract

Stock markets are considered as an indicator of the economy, and social and economic problems also cause volatility in these markets. Covid-19, which emerged in China in late 2019 and turned from an epidemic to a pandemic, has affected social life, economy and financial system all over the world. The uncertainty, especially with the spread of the epidemic, caused excessive price declines and volatility in international stock markets. The purpose of this study is to examine the impact of Covid-19 on international stock markets and detect how Infectious Disease Equity Market Volatility Tracker (EMV-ID) index, the newly developed, which numerically shows the social impact of the pandemic, affects the volatility in international stock markets. In the study, it was considered 13 countries’ the stock market indices which they have the highest number of cases and deaths according to WHO data. In order to see the effect of Covid-19 more clearly, daily returns were examined between the date of the first case of each country and 30.09.2020 period. As a result of the EGARCH (1,1) model, it is concluded that different markets give different reactions, but the EMV-ID index has an increasing effect on volatility in most of the markets included in the analysis.

Keywords

• Covid-19
• EMV-ID
• Stock Market
• Volatility

Covid-19'un Uluslararası Pay Piyasalarına Etkisi

Abstract

Pay piyasaları, ekonominin bir göstergesi olarak sayılmakta, bunun yanında sosyal ve ekonomik sorunlar da bu piyasalarda volatiliteye neden olmaktadır. 2019’un sonlarında Çin’de ortaya çıkan ve epidemiden pandemiye dönüşen Covid-19, tüm dünyada sosyal hayatı, ekonomiyi ve finansal sistemi etkilemiştir. Özellikle salgının yayılmasıyla beraber yaşanan belirsizlik, uluslararası pay piyasalarında aşırı fiyat düşüşlerine ve volatiliteye neden olmuştur. Bu çalışmanın amacı, Covid-19’un uluslararası pay piyasalarına etkisini incelemek, yeni geliştirilen ve pandeminin toplumsal etkisini sayısal olarak gösteren “Salgın Hastalıklar Piyasa Volatilitesi Takipçisi” (Infectious Infectious Disease Equity Market Volatility Tracker – EMV-ID) endeksinin bu piyasalardaki volatiliteyi nasıl etkilediğini tespit etmektir. Çalışmada, WHO verilerine göre en fazla vaka ve ölüm sayısının olduğu 13 ülkenin pay piyasası endeksleri ele alınmıştır. Covid-19’un etkisinin daha net bir şekilde görülmesi için her ülkede ilk vakanın görüldüğü tarih ile 30.09.2020 arası dönemdeki günlük getiriler incelenmiştir. Yapılan EGARCH(1,1) modelinin sonucunda farklı piyasaların farklı tepkiler verdiği, ancak EMV-ID endeksinin analizde yer alan piyasaların birçoğunda volatiliteyi artırıcı etkiye sahip olduğu sonucuna ulaşılmıştır.

Keywords

• EMV-ID
• Pay Piyasası
• Covid-19
• Volatilite

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