The Impact of the Covid-19 Crisis on Financial Markets: The Case of Turkey

Abstract

The main purpose of this study, the example of Turkey Covid-19 is analyzing the effects of the financial market crisis. In this way, it has been tried to contribute to the literature on the effects of Covid-19 on the markets. Daily data for the period 16.03.2020-21.08.2020 were taken into account in the analyzes. In analyzing the relationships between variables, besides ADF Unit Root Test, Zivot-Andrews Unit Root Test with structural break and Toda-Yamamoto Causality Test were used. According to the ADF unit root test results, all variables were found to be stationary at the first level. According to the Zivot-Andrews test, although the degree of stability of the GOLD series is 2, when the correlogram of the series is examined, it is determined that the first difference is stationary. Bivariate VAR models, one of which is the CASE (VAKA) variable and the other the financial variable, were created to determine the causality relationships between Covid-19 daily case numbers (VAKA) and other financial indicators. Schwarz Information Criterion (SIC) was used to determine lag lengths related to Toda-Yamamoto causality tests. According to the Toda-Yamamoto causality test results, a statistically significant causality was determined from the number of cases to the Euro and USD (Dollar) exchange rate.

Keywords

• Covid-19 Krizi
• Finansal Piyasalar
• Toda-Yamamoto nedensellik testi

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