Impact of Macro Indicators on Istanbul Stock Exchange During Covid-19 Pandemic

Year 2022, , 206 - 217, 14.03.2022

Volkan Kaymaz , Özlem Yılmaz

https://doi.org/10.24988/ije.933686

Abstract

This research analyses the effects of the macro indicators like credit default swap, exchange rate, oil prices and gold prices on the Istanbul Stock Exchange (BIST100 Index) during the Covid-19 period by applying vector autoregressive model. In the model, daily data of the indicators are considered. The analysis comprises of two periods: pre-Covid-19 period (first week of 2019 to last week of 2020) and the during Covid-19 period (first week of 2020 to the second week of 2021). The comparison of two periods determines whether Covid-19 influence the impact of macro indicators on Borsa Istanbul. The findings reveal that in the pre-Covid-19 period, the volatility in BIST100 is explained mainly by gold prices. Credit default swap, oil prices and exchange rate affected BIST100 negatively, while gold prices had a positive impact on the Index. In the Covid-19 period, the impact of credit default swap and oil prices on BIST100 increased. A negative relationship is observed between BIST100 Index and the gold prices. A positive relationship is found between BIST100 and the exchange rate. Furthermore, the exchange rate had a greater impact on BIST100 than the impact observed in the pre-Covid period.

Keywords

Credit default swap, exchange rate, oil prices, stock market, VAR analysis

Covid-19 Pandemi Döneminde Makro Göstergelerin Borsa İstanbul Üzerindeki Etkileri

Abstract

Bu araştırma, kredi risk primi, döviz kuru, petrol fiyatları ve altın fiyatlarından oluşan makro göstergelerin Covid-19 pandemi döneminde Borsa İstanbul (BIST100) üzerindeki etkilerini vektör otoregresif modeli uygulayarak analiz etmektedir. Modelde göstergelerin günlük verileri dikkate alınmıştır. Analiz: Covid-19 öncesi dönem (2019'un ilk haftasından 2020'nin son haftasına) ve Covid-19 dönemi (2020'nin ilk haftasından 2021'in ikinci haftasına) olmak üzere iki dönemden oluşmaktadır. İki dönemin karşılaştırılması makro göstergelerin Borsa İstanbul üzerindeki etkisinde Covid-19 pandemisinin etkili olup olmadığını ortaya koymaktadır. Bulgulara göre, Covid-19 öncesi dönemde BIST100'deki oynaklık ağırlıklı olarak altın fiyatları ile açıklanmaktadır. Kredi risk primi, petrol fiyatları ve döviz kuru BIST100'ü olumsuz etkilerken, altın fiyatlarının endeksi olumlu etkilediği ortaya konulmuştur. Covid-19 döneminde ise kredi risk primi ve petrol fiyatlarının BIST100 üzerindeki etkisi artmıştır. BIST100 Endeksi ile altın fiyatları arasında negatif ilişki saptanırken, BIST100 ile döviz kuru arasında ise pozitif bir ilişki bulunmuştur. Ayrıca döviz kurunun BIST100 üzerinde Covid-19 öncesi dönemde gözlemlenen etkiden daha büyük bir etkisi olduğu sonucuna varılmıştır.

Keywords

Kredi temerrüt takası, döviz kuru, petrol fiyatları, borsa, VAR analizi

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