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Volatility Jump: The Effect of COVID-19 on Turkey Stock Market

Year 2020, Volume: 19 Issue: COVID-19 Special Issue, 386 - 397, 31.10.2020
https://doi.org/10.21547/jss.766890

Abstract

This paper investigates the effect of Coronavirus (COVID-19) on Turkey stock market. For this purpose, montly realized volatilities of 23 primary sector indices traded on Borsa İstanbul are calculated for the period of June 2019 to July 2020. After analyzing realized volatility values, it is found that: (1) COVID-19 caused volatility jump for all sector indices in March 2020, when cases in Turkey appeared and increased rapidly; (2) While the most volatility jump occurred in stocks of sports companies due to COVID-19, the least volatility jump occurred in stocks of insurance firms; (3) After March 2020, realized volatility values back to normal for all sector indices and the effect of COVID-19 on Turkey stock market volatility has disappeared. This paper, showing the impact of COVID-19 on the Turkish stock market and the recent state of the markets, is believed to provides important implications for not only investors, portfolio managers, and policymakers, but also for academics in economics and finance, who are all looking to demonstrate economic and financial effects of COVID-19.

References

  • Alber, N. (2020). The effect of coronavirus spread on stock markets. The case of the worst 6 countries, http://ssrn.com/abstract=3578080.
  • Andersen, T. G. & Bollerslev, T. (1998). Answering the skeptics: Yes, standard volatility models do provide accurate forecasts. International Economic Review, 39, 885-905.
  • Apergis, N., Bonato, M., Gupta, R. & Kyei, C. (2018). Does geopolitical risks predict stock returns and volatility of leading defense companies? Evidence from a nonparametric approach. Defence and Peace Economics, 29(6), 684-696.
  • Ayittey, F. K., Ayittey, M. K., Chiwero, N. B., Kamasah, J. S. & Dzuvor, C. (2020). Economic impacts of Wuhan 2019‐nCoV on China and the World. Journal of Medical Wirology, 473-475.
  • Baker, S. R., Bloom, N., Davis, S. J., Kost, K. J., Sammon, M. C., Viratyosin, T. (2020). The unprecedented stock market impact of COVID-19. https://www.nber.org/papers/w26945.
  • Balcilar, M., Gupta, R. & Kyei, C. (2018). Predicting stock returns and volatility with investor sentiment indices: A reconsideration using a nonparametric causality-in-quantiles test. Bulletin of Economic Research, 70(1), 74-87.
  • Balcilar, M., Gupta, R., Wang, S. & Wohar, M. E. (2020). Oil price uncertainty and movements in the US government bond risk premia. North American Journal of Economics and Finance, 52, 101147.
  • Bouri, E., Demirer, R., Gupta, R. & Marfatia, H. A. (2019). Geopolitical risks and movements in Islamic bond and equity markets: A Note. Defence and Peace Economics, 30(3), 367-379.
  • Cinel, E. A. (2020). Covid-19’un küresel makroekonomik etkileri ve beklentiler. Politik Ekonomik Kuram, 4(1), 124-140.
  • Estrada, M. A. R., Park, D., Koutronas, E., Khan, A. & Tahir, M. (2020). The impact of infectious and contagious diseases and its impact on the economic performance: The case of Wuhan, China. https://ssrn.com/abstract=3527330.
  • Göker, İ. E. K., Eren, B. S. & Karaca, S. S. (2020). The impact of the COVID-19 (Coronavirus) on the Borsa Istanbul sector index returns: An event study. Gaziantep University Journal of Social Sciences, 2020 Special Issue, 14-41.
  • Gunay, S. (2020). A new form of financial contagion: Covid-19 and stock market responses, http://ssrn.com/abstract=3585069.
  • https://covid19.saglik.gov.tr, Date of Access: 8 July 2020
  • https://www.investing.com, Date of Access: 6 July 2020
  • https://www.worldometers.info/coronavirus/, Date of Access: 8 July 2020
  • Kılıç, Y. (2020). Borsa İstanbul’da COVID-19 (Koronavirüs) etkisi. Journal of Emerging Economies and Policy, 5(1), 66-77.
  • Luo, S. & Tsang, K. P. (2020). China and World output impact of the Hubei lockdown during the coronavirus outbreak. https://ssrn.com/abstract=3543760.
  • McKibbin, W. J. & Fernando, R. (2020). The global macroeconomic impacts of COVID-19: Seven scenarios. https://ssrn.com/abstract=3547729.
  • Poon, S-H. & Granger, C. W. J. (2003). Forecasting volatility in financial markets: A review. Journal of Economic Literature, 41(2), 478-539.
  • Sansa, N. A. (2020). The impact of Covid-19 on the financial markets. Evidence from China and USA, http://ssrn.com/abstract=3562530.
  • Sarı, S. S. & Kartal, T. (2020). COVID-19 salgınının altın fiyatları, petrol fiyatları ve VIX endeksi ile arasındaki ilişki. Erzincan Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 13(1), 93-109.
  • Soylu, Ö. B. (2020). Türkiye ekonomisinde COVID-19’un sektörel etkileri. Avrasya Sosyal ve Ekonomi Araştırmaları Dergisi, 7(5), 169-185.
  • Suleman, T., Gupta, R. & Balcilar, M. (2017). Does country risks predict stock returns and volatility? Evidence from a nonparametric approach. Research in International Business and Finance, 42, 1173-1195.
  • Şit, A. & Telek, C. (2020). Covid-19 pandemisinin altın ons fiyatı ve dolar endeksi üzerine etkileri. Gaziantep University Journal of Social Sciences, 2020 Special Issue, 1-13.
  • Yan, C. (2020). COVID-19 Outbreak and stock prices: Evidence from China, http://ssrn.com/abstract=3574374.
  • Zeren, F. & Hızarcı, A. E. (2020). The impact of Covid-19 coronavirus on stock markets. Evidence from selected countries. Muhasebe ve Finans İncelemeleri Dergisi, 3(1), 78-84.

Oynaklık Sıçraması: COVID-19’un Türkiye Hisse Senedi Piyasası Üzerindeki Etkisi

Year 2020, Volume: 19 Issue: COVID-19 Special Issue, 386 - 397, 31.10.2020
https://doi.org/10.21547/jss.766890

Abstract

Bu çalışma Koronavirüs (COVID-19)’ün Türkiye hisse senedi piyasası üzerindeki etkisini incelemektedir. Bu amaç için, Borsa İstanbul’da işlem gören 23 birincil sektör endeksinin Haziran 2019 ile Temmuz 2020 arasındaki aylık gerçekleşen oynaklıkları hesaplanmıştır. Gerçekleşen oynaklık değerleri analiz edildikten sonra (1) COVID-19’un Türkiye'deki vakaların ortaya çıktığı ve hızla arttığı Mart 2020'de tüm sektör endekslerinde volatilite sıçramasına neden olduğu; (2) En fazla oynaklık sıçramasının spor şirketlerinin hisselerinde görüldüğü, en az oynaklık sıçramasının ise sigorta firmalarının senetlerinde görüldüğü; (3) Mart 2020’den sonra bütün sektör endekslerinin gerçekleşen oynaklık değerlerinin normale döndüğü ve COVID-19’un Türkiye hisse senedi piyasası oynaklığına etkisinin kaybolduğu bulunmuştur. COVID-19’un Türkiye hisse senedi piyasasına etkisini ve piyasanın güncel durumunu gösteren bu çalışmanın, sadece yatırımcılar, portföy yöneticileri ve politika yapıcılar için değil aynı zamanda COVID-19'un ekonomik ve finansal etkilerini göstermek isteyen ekonomi ve finans alanındaki akademisyenler için de önemli çıkarımlar sağlayacağına inanılmaktadır.

References

  • Alber, N. (2020). The effect of coronavirus spread on stock markets. The case of the worst 6 countries, http://ssrn.com/abstract=3578080.
  • Andersen, T. G. & Bollerslev, T. (1998). Answering the skeptics: Yes, standard volatility models do provide accurate forecasts. International Economic Review, 39, 885-905.
  • Apergis, N., Bonato, M., Gupta, R. & Kyei, C. (2018). Does geopolitical risks predict stock returns and volatility of leading defense companies? Evidence from a nonparametric approach. Defence and Peace Economics, 29(6), 684-696.
  • Ayittey, F. K., Ayittey, M. K., Chiwero, N. B., Kamasah, J. S. & Dzuvor, C. (2020). Economic impacts of Wuhan 2019‐nCoV on China and the World. Journal of Medical Wirology, 473-475.
  • Baker, S. R., Bloom, N., Davis, S. J., Kost, K. J., Sammon, M. C., Viratyosin, T. (2020). The unprecedented stock market impact of COVID-19. https://www.nber.org/papers/w26945.
  • Balcilar, M., Gupta, R. & Kyei, C. (2018). Predicting stock returns and volatility with investor sentiment indices: A reconsideration using a nonparametric causality-in-quantiles test. Bulletin of Economic Research, 70(1), 74-87.
  • Balcilar, M., Gupta, R., Wang, S. & Wohar, M. E. (2020). Oil price uncertainty and movements in the US government bond risk premia. North American Journal of Economics and Finance, 52, 101147.
  • Bouri, E., Demirer, R., Gupta, R. & Marfatia, H. A. (2019). Geopolitical risks and movements in Islamic bond and equity markets: A Note. Defence and Peace Economics, 30(3), 367-379.
  • Cinel, E. A. (2020). Covid-19’un küresel makroekonomik etkileri ve beklentiler. Politik Ekonomik Kuram, 4(1), 124-140.
  • Estrada, M. A. R., Park, D., Koutronas, E., Khan, A. & Tahir, M. (2020). The impact of infectious and contagious diseases and its impact on the economic performance: The case of Wuhan, China. https://ssrn.com/abstract=3527330.
  • Göker, İ. E. K., Eren, B. S. & Karaca, S. S. (2020). The impact of the COVID-19 (Coronavirus) on the Borsa Istanbul sector index returns: An event study. Gaziantep University Journal of Social Sciences, 2020 Special Issue, 14-41.
  • Gunay, S. (2020). A new form of financial contagion: Covid-19 and stock market responses, http://ssrn.com/abstract=3585069.
  • https://covid19.saglik.gov.tr, Date of Access: 8 July 2020
  • https://www.investing.com, Date of Access: 6 July 2020
  • https://www.worldometers.info/coronavirus/, Date of Access: 8 July 2020
  • Kılıç, Y. (2020). Borsa İstanbul’da COVID-19 (Koronavirüs) etkisi. Journal of Emerging Economies and Policy, 5(1), 66-77.
  • Luo, S. & Tsang, K. P. (2020). China and World output impact of the Hubei lockdown during the coronavirus outbreak. https://ssrn.com/abstract=3543760.
  • McKibbin, W. J. & Fernando, R. (2020). The global macroeconomic impacts of COVID-19: Seven scenarios. https://ssrn.com/abstract=3547729.
  • Poon, S-H. & Granger, C. W. J. (2003). Forecasting volatility in financial markets: A review. Journal of Economic Literature, 41(2), 478-539.
  • Sansa, N. A. (2020). The impact of Covid-19 on the financial markets. Evidence from China and USA, http://ssrn.com/abstract=3562530.
  • Sarı, S. S. & Kartal, T. (2020). COVID-19 salgınının altın fiyatları, petrol fiyatları ve VIX endeksi ile arasındaki ilişki. Erzincan Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 13(1), 93-109.
  • Soylu, Ö. B. (2020). Türkiye ekonomisinde COVID-19’un sektörel etkileri. Avrasya Sosyal ve Ekonomi Araştırmaları Dergisi, 7(5), 169-185.
  • Suleman, T., Gupta, R. & Balcilar, M. (2017). Does country risks predict stock returns and volatility? Evidence from a nonparametric approach. Research in International Business and Finance, 42, 1173-1195.
  • Şit, A. & Telek, C. (2020). Covid-19 pandemisinin altın ons fiyatı ve dolar endeksi üzerine etkileri. Gaziantep University Journal of Social Sciences, 2020 Special Issue, 1-13.
  • Yan, C. (2020). COVID-19 Outbreak and stock prices: Evidence from China, http://ssrn.com/abstract=3574374.
  • Zeren, F. & Hızarcı, A. E. (2020). The impact of Covid-19 coronavirus on stock markets. Evidence from selected countries. Muhasebe ve Finans İncelemeleri Dergisi, 3(1), 78-84.
There are 26 citations in total.

Details

Primary Language English
Subjects Finance
Journal Section Business
Authors

Oktay Özkan 0000-0001-9419-8115

Publication Date October 31, 2020
Submission Date July 9, 2020
Acceptance Date October 6, 2020
Published in Issue Year 2020 Volume: 19 Issue: COVID-19 Special Issue

Cite

APA Özkan, O. (2020). Volatility Jump: The Effect of COVID-19 on Turkey Stock Market. Gaziantep Üniversitesi Sosyal Bilimler Dergisi, 19(COVID-19 Special Issue), 386-397. https://doi.org/10.21547/jss.766890

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