THE NEXUS BETWEEN COVID-19 AND STOCK RETURNS: EVIDENCE FROM SELECTED MENA COUNTRIES

Year 2022, , 113 - 127, 30.06.2022

Mehtap Öner , Aslı Aybars

https://doi.org/10.31460/mbdd.1033349

Abstract

This study investigates the relationship between COVID-19 measured by growth in number of weekly confirmed new cases and stock returns of the major indices in selected Middle East and North Africa (MENA) countries. To test the influence of COVID-19 on stock returns, this study uses panel data methodology using weekly data between 19 March 2020 and 31 December 2020. Contrary to expectations, our findings fail to demonstrate a significant link between stock market index returns and COVID-19, which is proxied by the growth in weekly confirmed new cases. Additionally, regarding the control variables, whereas no relationship is documented between Chicago Board Options Exchange Volatility Index (VIX) and selected countries’ stock index returns, 5-year Sovereign Credit Default Swap (CDS) figures of the selected countries are found to be negatively and significantly related with the main variable of interest.

Keywords

COVID-19, MENA Countries, Panel Data, Stock Return

COVID-19 VE HİSSE GETİRİLERİ ARASINDAKİ İLİŞKİ: MENA ÜLKELERİ ÖRNEĞİ

Abstract

Bu çalışma ile seçili Orta Doğu ve Kuzey Afrika Ülkeleri’ne (MENA) ait ana hisse senedi endeks getirileri ile COVID-19 göstergesi olarak kullanılan haftalık vaka sayılarındaki artış arasında bir ilişki olup olmadığı araştırılmıştır. COVID-19’un borsa endeks getirileri üzerindeki etkisini test etmek için 19 Mart-31 Aralık 2020 tarihlerini kapsayan dönemde haftalık veri seti kullanılarak panel veri analizi uygulanmıştır. Beklenenin aksine, vakalardaki haftalık artış ile ölçülen COVID-19 ve hisse senedi Endeks getirisi arasında anlamlı bir ilişki bulunamamıştır. Kontrol değişkenlerine ait sonuçlar ise korku endeksi olarak bilinen volatilite endeksinin (VIX) hisse senedi getirisi üzerinde anlamlı bir etkisinin olmadığını, kredi temerrüt takası olarak bilinen CDS değerleri ile endeks getirisi arasında ise anlamlı ve negatif bir ilişki olduğunu göstermiştir.

Keywords

COVID-19, Orta Doğu ve Kuzey Afrika Ülkeleri (MENA), Panel Veri, Hisse Senedi Getirisi

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