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Finansal Piyasaların Kara Mart’ı: Covid-19 Pandemisinin Borsa İstanbul Üzerindeki Etkilerinin Lineer Olmayan ARDL Analizi Yardımıyla İncelenmesi

Year 2020, Issue: EK SAYI (2020), 215 - 244, 01.10.2020

Merter Akıncı Demet Eroğlu Sevinç Gönül Yüce

Abstract

Bu çalışmanın temel amacı, Covid-19 vakalarının finansal piyasalar üzerindeki etkisini Türkiye ekonomisi itibariyle 11/03/2020-22/09/2020 dönemi için parametrik olmayan ARDL NARDL analizi ile incelemektir. Analiz bulguları, kısa dönemde Covid-19 vaka sayı-larında meydana gelen artışların borsa fiyatlarını istatistiki bakımdan anlamlı olacak şekilde azalttığını, buna karşın Covid-19 vaka sayıla-rında meydana gelen azalışların ise borsa fiyatlarını istatistiki bakım-dan anlamsız olacak şekilde artırdığını ortaya koymuştur. Diğer taraf-tan uzun dönem analiz bulguları, Covid-19 vaka sayılarında meydana gelen artışların borsa fiyatlarını istatistiki bakımdan anlamlı olacak şekilde azalttığını, buna karşın Covid-19 vaka sayılarında meydana gelen azalışların ise borsa fiyatlarını istatistiki bakımdan anlamlı olacak şekilde artırdığını ortaya koymuştur. İlaveten analiz bulguları, hem kısa hem uzun dönemde Covid-19 pandemisinde görülen iyi-leşmelerde meydana değişimlerin borsa fiyatlarını aynı yönlü ve istatistiki bakımdan anlamlı olarak etkilediğini göstermiştir

Keywords

Finansal Piyasalar Covid-19 Lineer Olmayan ARDL Analizi.

References

  • Akıncı, M. and Yılmaz, Ö. (2012). Validity of the Triple Deficit Hypothesis in Turkey: Bounds Test Approach. ISE Re- view, 13(50), 1-27.
  • Al Awadhi, A., Alsaifi, K., Al-Awadhi, A. ve Alham- madi, S. (2020). “Death and Contagious Infectious Diseases: Impact of the COVID-19 Virus on Stock Market Returns”, Jour- nal of Behavioral and Experimental Finance, 27, 1-5.
  • Ashraf, B.N. (2020). “Economic Impact of Government Interventions during the COVID-19 Pandemic: International Evidence from Financial Markets”, Journal of Behavioral and Experimental Finance, 27, 1-9.
  • Baig, A.S., Butt, H.A., Haroon, O. ve Rizvi, S.A.R. (2020). “Deaths, Panic, Lockdowns and US Equity Markets: The Case of COVID-19 Pandemic”, Finance Research Letters, https://doi.org/10.1016/j.frl.2020.101701.
  • Baldwin, R. ve di Mauro, B.W. (2020). Mitigating the COVID Economic Crisis: Act Fast and Do Whatever It Takes, CEPR Press.
  • Chong, T.T.L, Lu, S. ve Wong, W.K. (2010). “Portfolio Management during Epidemics: The Case of SARS in China”, SSRN Electronic Journal, http://dx.doi.org/10.2139/ssrn.1673671.
  • Çetin, A.C. (2020). “Koronavirüs (Covid-19) Salgınının Türkiye’de Genel Ekonomik Faaliyetlere ve Hisse Senedi Borsa Endeksine Etkisi”, MAKÜ-Uyg. Bil. Derg., 4(2), 341-362.
  • Gümüş, A. ve Hacıevliyagil, N. (2020). “COVİD-19 Sal- gin Hastaliğinin Borsaya Etkisi: Turizm Ve Ulaştirma Endeksle- ri Üzerine Bir Uygulama”, Akademik Yaklaşımlar Dergisi /Journal of Academic Approaches, 11(1), 76-98.
  • Ichev, R. ve Marinc, M. (2018). “Stock Prices and Geog- raphic Proximity of İnformation: Evidence from the Ebola Outbreak, International Review of Financial Analysis, 56, 153- 166.
  • Kılıç, Y. (2020). The Effect of COVID-19 (Coronavirus) in Borsa Istanbul. Journal of Emerging Economies and Policy, 5(1), 66–77.
  • Liu, A.Y., Manzoor, A., Wang, C.Y., Zhang, L. ve Man- zoor, Z. (2020). “The COVID-19 Outbreak and Affected Count- ries Stock Markets Response”, Int. J. Environ. Res. Public Health 2020, 17, 2800; doi:10.3390/ijerph17082800.
  • Ma, C., Rogers, J. ve Zhou, S. (2020). “Modern Pande- mics: Recession and Recovery”, BOFIT Discussion Papers 16/2020, Bank of Finland, Institute for Economies in Transition.
  • Mazur, M., Dang, M. ve Vega, M. (2020). “COVID-19 and the March 2020 Stock Market Crash. Evidence from S&P1500”, Finance Research Letters, https://doi.org/10.1016/j.frl.2020.101690.
  • Mumcu Küçükçaylı, F. ve Yüce Akıncı, G. (2020). Is Co- vid-19 the New Black Swan of the Financial Markets? On the Linkage between Covid-19 and Stock Markets. Koich, A., Alper, A. E. and Eren, A. A. (Eds.), In Perpectives on Modern Eco- nomy (pp. 201-214), London: IJOPEC Publications.
  • Pesaran, H. H., Shin, Y. and Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289-326.
  • Shin Y., Yu, B. and Greenwood-Nimmo M. (2014). Mo- delling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework. In Sickles R. and Horrace W. (eds), Festschrift in Honor of Peter Schmidt (pp. 281-314), New York: Springer.
  • Siu, A. ve Wong, Y.C.R. (2004). “Economic Impact of SARS: The Case of Hong Kong”, Asian Economic Papers, MIT Press, 3(1), 62-83.
  • Şenol, Z. and Zeren, F. (2020). Coronavirus (Covıd-19) and Stock Markets: The Effects Of The Pandemic On The Global Economy. Eurasian Journal of Researches in Social and Econo- mics, 7(4), 1-16.
  • Taban, S. (2008). Türkiye’de Enflasyon-Ekonomik Bü- yüme İlişkisi: Sınır Testi Yaklaşımı. TİSK Akademi, 3(5), 144- 167.
  • Tayar, T., Gümüştekin, E., Dayan, K. ve Mandi, E. (2020). “Covid-19 Krizinin Türkiye’deki Sektörler Üzerine Etki- leri: Borsa İstanbul Sektör Endeksleri Araştırması”, Van Yüzün- cü Yıl Üniversitesi, Sosyal Bilimler Enstitüsü Dergisi, Salgın Hastalıklar Özel Sayısı, 293-320.
  • Topçu, M. ve Gülal, S. (2020). “The impact of COVID-19 on Emerging Stock Markets”, Finance Research Letters, 36, 1-4.
  • Zeren, F. ve Hızarcı, A.E. (2020). “The Impact of Covid- 19 Coronavirus on Stock Markets: Evidence from Selected Co- untries”, Muhasebe ve Finans İncelemeleri Dergisi, 3(1), 78-84.

Black March of the Financial Markets: Investigation of the Effects of Covid-19 Pandemic on Borsa İstanbul with the Help of Non-Linear ARDL Analysis

Year 2020, Issue: EK SAYI (2020), 215 - 244, 01.10.2020

Merter Akıncı Demet Eroğlu Sevinç Gönül Yüce

Abstract

The main motivation of this paper is to investigate the effects of Co-vid-19 cases on financial markets using non-linear ARDL analysis in the period from 03/11/2020 to 09/22/2020 in Turkish economy. The analysis findings reveal that the increases in the number of Covid-19 cases in the short term decreases the stock market prices in a statisti-cally significant way, whereas the decreases in the number of Covid-19 cases increases the stock market prices in a statistically insignifi-cant way. On the other hand, long-term analysis findings reveal that the increases in the number of Covid-19 cases decreases the stock market prices in a statistically significant way, whereas the decreases in the number of Covid-19 cases increases the stock market prices in a statistically significant way. In addition, the analysis findings show that the changes in the recovers from Covid-19 pandemic in both the short and long term affect the stock market prices in the same direc-tion and statistically significant way

Keywords

Financial Markets Covid-19 Non-Linear ARDL Analysis

References

  • Akıncı, M. and Yılmaz, Ö. (2012). Validity of the Triple Deficit Hypothesis in Turkey: Bounds Test Approach. ISE Re- view, 13(50), 1-27.
  • Al Awadhi, A., Alsaifi, K., Al-Awadhi, A. ve Alham- madi, S. (2020). “Death and Contagious Infectious Diseases: Impact of the COVID-19 Virus on Stock Market Returns”, Jour- nal of Behavioral and Experimental Finance, 27, 1-5.
  • Ashraf, B.N. (2020). “Economic Impact of Government Interventions during the COVID-19 Pandemic: International Evidence from Financial Markets”, Journal of Behavioral and Experimental Finance, 27, 1-9.
  • Baig, A.S., Butt, H.A., Haroon, O. ve Rizvi, S.A.R. (2020). “Deaths, Panic, Lockdowns and US Equity Markets: The Case of COVID-19 Pandemic”, Finance Research Letters, https://doi.org/10.1016/j.frl.2020.101701.
  • Baldwin, R. ve di Mauro, B.W. (2020). Mitigating the COVID Economic Crisis: Act Fast and Do Whatever It Takes, CEPR Press.
  • Chong, T.T.L, Lu, S. ve Wong, W.K. (2010). “Portfolio Management during Epidemics: The Case of SARS in China”, SSRN Electronic Journal, http://dx.doi.org/10.2139/ssrn.1673671.
  • Çetin, A.C. (2020). “Koronavirüs (Covid-19) Salgınının Türkiye’de Genel Ekonomik Faaliyetlere ve Hisse Senedi Borsa Endeksine Etkisi”, MAKÜ-Uyg. Bil. Derg., 4(2), 341-362.
  • Gümüş, A. ve Hacıevliyagil, N. (2020). “COVİD-19 Sal- gin Hastaliğinin Borsaya Etkisi: Turizm Ve Ulaştirma Endeksle- ri Üzerine Bir Uygulama”, Akademik Yaklaşımlar Dergisi /Journal of Academic Approaches, 11(1), 76-98.
  • Ichev, R. ve Marinc, M. (2018). “Stock Prices and Geog- raphic Proximity of İnformation: Evidence from the Ebola Outbreak, International Review of Financial Analysis, 56, 153- 166.
  • Kılıç, Y. (2020). The Effect of COVID-19 (Coronavirus) in Borsa Istanbul. Journal of Emerging Economies and Policy, 5(1), 66–77.
  • Liu, A.Y., Manzoor, A., Wang, C.Y., Zhang, L. ve Man- zoor, Z. (2020). “The COVID-19 Outbreak and Affected Count- ries Stock Markets Response”, Int. J. Environ. Res. Public Health 2020, 17, 2800; doi:10.3390/ijerph17082800.
  • Ma, C., Rogers, J. ve Zhou, S. (2020). “Modern Pande- mics: Recession and Recovery”, BOFIT Discussion Papers 16/2020, Bank of Finland, Institute for Economies in Transition.
  • Mazur, M., Dang, M. ve Vega, M. (2020). “COVID-19 and the March 2020 Stock Market Crash. Evidence from S&P1500”, Finance Research Letters, https://doi.org/10.1016/j.frl.2020.101690.
  • Mumcu Küçükçaylı, F. ve Yüce Akıncı, G. (2020). Is Co- vid-19 the New Black Swan of the Financial Markets? On the Linkage between Covid-19 and Stock Markets. Koich, A., Alper, A. E. and Eren, A. A. (Eds.), In Perpectives on Modern Eco- nomy (pp. 201-214), London: IJOPEC Publications.
  • Pesaran, H. H., Shin, Y. and Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289-326.
  • Shin Y., Yu, B. and Greenwood-Nimmo M. (2014). Mo- delling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework. In Sickles R. and Horrace W. (eds), Festschrift in Honor of Peter Schmidt (pp. 281-314), New York: Springer.
  • Siu, A. ve Wong, Y.C.R. (2004). “Economic Impact of SARS: The Case of Hong Kong”, Asian Economic Papers, MIT Press, 3(1), 62-83.
  • Şenol, Z. and Zeren, F. (2020). Coronavirus (Covıd-19) and Stock Markets: The Effects Of The Pandemic On The Global Economy. Eurasian Journal of Researches in Social and Econo- mics, 7(4), 1-16.
  • Taban, S. (2008). Türkiye’de Enflasyon-Ekonomik Bü- yüme İlişkisi: Sınır Testi Yaklaşımı. TİSK Akademi, 3(5), 144- 167.
  • Tayar, T., Gümüştekin, E., Dayan, K. ve Mandi, E. (2020). “Covid-19 Krizinin Türkiye’deki Sektörler Üzerine Etki- leri: Borsa İstanbul Sektör Endeksleri Araştırması”, Van Yüzün- cü Yıl Üniversitesi, Sosyal Bilimler Enstitüsü Dergisi, Salgın Hastalıklar Özel Sayısı, 293-320.
  • Topçu, M. ve Gülal, S. (2020). “The impact of COVID-19 on Emerging Stock Markets”, Finance Research Letters, 36, 1-4.
  • Zeren, F. ve Hızarcı, A.E. (2020). “The Impact of Covid- 19 Coronavirus on Stock Markets: Evidence from Selected Co- untries”, Muhasebe ve Finans İncelemeleri Dergisi, 3(1), 78-84.
There are 22 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Merter Akıncı This is me

Demet Eroğlu Sevinç This is me

Gönül Yüce This is me

Publication Date October 1, 2020
Published in Issue Year 2020 Issue: EK SAYI (2020)

Cite

APA Akıncı, M., Eroğlu Sevinç, D., & Yüce, G. (2020). Finansal Piyasaların Kara Mart’ı: Covid-19 Pandemisinin Borsa İstanbul Üzerindeki Etkilerinin Lineer Olmayan ARDL Analizi Yardımıyla İncelenmesi. Iğdır Üniversitesi Sosyal Bilimler Dergisi(EK SAYI (2020), 215-244.
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