Covid -19'un Borsa İstanbul Üzerindeki Etkisi: Bir ARDL Sınır Testi Modeli

Filiz Yıldız Contuk

doi:10.25095/mufad.852088

Research Article

Covid -19'un Borsa İstanbul Üzerindeki Etkisi: Bir ARDL Sınır Testi Modeli

Year 2021, Issue: 89, 101 - 112, 11.01.2021

Filiz Yıldız Contuk

https://doi.org/10.25095/mufad.852088

Cited By: 21

Abstract

Bir bütün olarak değerlendirildiğinde koronavirüsün (COVID-19) hem sağlık hem de ekonomi üzerindeki şok etkisinin, uzun vadede ne tür sonuçlar doğuracağı tam olarak bilinmemektedir. 2008 küresel ekonomik krizi ile karşılaştırıldığında ekonomiye etkilerinin daha fazla olduğu görülmektedir. Bu amaçla çalışmada, koronavirüs salgınının finansal piyasalar üzerindeki etkisi Dağıtılmış Gecikmeli Otoregresif Sınır Testi (ARDL- Autoregressive Distributed Lag Bound Test) yöntemi kullanılarak analiz edilmiştir. Bağımsız değişken olarak günlük doğrulanmış COVID-19 pozitif vaka sayıları ve bağımlı değişken olarak Borsa İstanbul (BIST) toplam işlem hacmi verileri kullanılmıştır. Türkiye’de ilk pozitif vakanın görüldüğü 11 Mart 2020 tarihi, analiz dönemi başlangıcı olarak belirlenmiştir. Alınan sıkı tedbirlerin ardından normalleşme adımlarının atıldığı 16 Haziran 2020 tarihine kadar olan süreç, analize dahil edilmiştir. Çalışma sonucunda, COVID-19'un borsa işlem hacmi üzerinde kısa vadede negatif yönde ve anlamlı bir etkisi olduğu, uzun vadede ise pozitif yönde ve anlamlı bir etkisi olduğu belirlenmiştir.

Keywords

COVİD-19, Borsa İstanbul, ARDL Sınır Testi

References

Ahmed, Sheharyar (2020), “Impact of Covid-19 on Performance of Pakistan Stock Exchange”, Preprints, 2020070083 (Doi: 10.20944/Preprints 20 2007. 0083.V1), pp. 1-12.
Akel, Veli - Gazel, Sümeyra (2014) “Döviz Kurları ile Bıst Sanayi Endeksi Arasındaki Eşbütünleşme İlişkisi: Bir Ardl Sınır Testi Yaklaşımı”, Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Sayı: 44, ss. 23-41
Ashraf, Badar Nadeem (2020), “Stock Markets’ Reaction to Covid-19: Cases or Fatalities?”, Research in International Business and Finance, 54, pp. 1-7.
Bahmani-Oskooee, Mohsen - Wing Ng, Raymond Chi (2002), “Long-Run Demand for Money in Hong Kong: An Application of the Ardl Model”, International Journal of Business and Economics, 1(2), pp. 147–155.
Brown, Robert L – Durbin, James – Evans, Jonathan M. (1975), “Tech-Niques for Testing the Constancy of Regression Relationships over Time”, Journal of The Royal Statistical Society, 37(2), pp. 149-192.
Chaouachi, Maroua. - Chaouachi, Slim (2020), “Current Covid-19 Impact on Saudi Stock Market: Evidence from an Ardl Model”, International Journal of Accounting, Finance, Auditing, Management and Economics, 1(1), pp.1-13.
Engle, Robert F. - Granger, C.W.J. (1987), “Co-İntegration and Error Correction: Representation, Estimation, and Testing”, Econometrica: Journal of The Econometric Society, Vol 55, No 2, pp. 251-276.
Ergen, Eren - Yavuz, Ersin (2017), “Büyüme ile Harcama Arasındaki İlişkinin Ardl Eş-Bütünleşme ve Granger Nedensellik Testleri ile Analizi: Türkiye Üzerine Kanıtlar”, Uluslararası Yönetim İktisat ve İşletme Dergisi, Icmeb17 Özel Sayısı, ss.84-92.
He, Qing - Liu, Junyi - Wang, Sizhu - Yu, Jishuang (2020), “The Impact of Covid-19 on Stock Markets”, Economic and Political Studies, 8(3), pp. 275-288, Doi: 10.1080/20954816.2020.1757570
Johansen, Soren (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12(2-3), pp. 231-254.
Johansen, Soren - Juselius, Katarina (1990), “Some Structural Hypotheses in A Multivariate Cointegration Analysis of the Purchasing Power Parity and The Uncovered İnterest Parity for Uk”, Discussion Papers, University of Copenhagen, No 90-05.
Kotishwar, A. (2020), “Impact of Covıd-19 Pandemic on Stock Market with Reference to Select Countries – A Study”, Academy of Accounting and Financial Studies Journal, Volume 24, Issue 4, pp. 1-9.
Liu, Hai Yue - Manzoor, Agsa - Wang, Cang Yu - Zhang, Lei - Manzoor, Zaira (2020), “The Covid-19 Outbreak and Affected Countries Stock Markets Response”, Environmental Research and Public Health,17, pp.1-19
Narayan, Paresh Kumar – Smyth, Russell (2005), “Trade Liberalization and Economic Growth in Fiji. An Empirical Assessment Using the Ardl Approach”, Journal of The Asia Pacific Economy, 10(1), pp. 96-115.
Narayan, Paresh Kumar – Narayan, Seema (2005), “Estimating Income and Price Elasticities of Imports for Fiji in A Cointegration Framework”, Economic Modelling, 22, pp. 423-438.
Öztürk, Özcan- Şişman, Muhammet Y. - Uslu, Hakan - Çitak, Ferhat (2020), “Effect of Covid-19 Outbreak on Turkish Stock Market: A Sectoral-Level Analysis”, Hitit University Journal of Social Sciences Institute, 13(1), pp.56- 68.
Pesaran, M. Hashem - Shin, Yongcheol (1999), “An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis”, Econometrics and Economic Theory in The 20th Century: The Ragnar Frish Centennial Symposium. Ed. / Steinar Strom. Cambridge: Cambridge University Press”, pp. 371-413.
Pesaran, M. Hashem - Shin, Yongcheol - Smith, Richard J. (2001), “Bounds Testing Approaches to The Analysis of Level Relationships”, Journal of Applied Econometrics, Vol 16, Issue 3, pp. 289–326.
Sansa, Nuhu A. (2020), “The Impact of the Covid - 19 on The Financial Markets: Evidence from China and Usa”, Electronic Research Journal of Social Sciences and Humanities, Vol 2, Issue I, pp. 29-39.
Topcu, Mert – Gulal, Ömer Serkan (2020), “The Impact of Covid-19 on Emerging Stock Markets”, Finance Research Letters, 36, pp.1-5.
Waheed, Rida – Sarwar, Suleman - Sarwar Sahar – Khan, Muhammad Kaleem (2020), “The Impact of Covid-19 on Karachi Stock Exchange: Quantile-On-Quantile Approach Using Secondary and Predicted Data”, Journal of Public Affairs, E2290. Https://Doi.Org/10.1002/Pa.2290
Yan, Binxin - Stuart, Logan - Tu, Andy - Zhang, Qingquan (2020), “Analysis of The Effect of Covid-19 on The Stock Market and Investing Strategies”, Ssrn: Https://Ssrn.Com/Abstract=3563380 Or Http://Dx.Doi.Org/10.2139/Ssrn.3563380
https://www.tcmb.gov.tr , (Erişim Tarihi: 20.06.2020).
https://ourworldindata.org (Erişim Tarihi: 20.06.2020).
https://covid19.saglik.gov.tr/ (Erişim Tarihi: 20.06.2020).
https://evds2.tcmb.gov.tr/ (Erişim Tarihi: 20.06.2020).

Year 2021, Issue: 89, 101 - 112, 11.01.2021

Filiz Yıldız Contuk

https://doi.org/10.25095/mufad.852088

Cited By: 21

Abstract

References

Ahmed, Sheharyar (2020), “Impact of Covid-19 on Performance of Pakistan Stock Exchange”, Preprints, 2020070083 (Doi: 10.20944/Preprints 20 2007. 0083.V1), pp. 1-12.
Akel, Veli - Gazel, Sümeyra (2014) “Döviz Kurları ile Bıst Sanayi Endeksi Arasındaki Eşbütünleşme İlişkisi: Bir Ardl Sınır Testi Yaklaşımı”, Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Sayı: 44, ss. 23-41
Ashraf, Badar Nadeem (2020), “Stock Markets’ Reaction to Covid-19: Cases or Fatalities?”, Research in International Business and Finance, 54, pp. 1-7.
Bahmani-Oskooee, Mohsen - Wing Ng, Raymond Chi (2002), “Long-Run Demand for Money in Hong Kong: An Application of the Ardl Model”, International Journal of Business and Economics, 1(2), pp. 147–155.
Brown, Robert L – Durbin, James – Evans, Jonathan M. (1975), “Tech-Niques for Testing the Constancy of Regression Relationships over Time”, Journal of The Royal Statistical Society, 37(2), pp. 149-192.
Chaouachi, Maroua. - Chaouachi, Slim (2020), “Current Covid-19 Impact on Saudi Stock Market: Evidence from an Ardl Model”, International Journal of Accounting, Finance, Auditing, Management and Economics, 1(1), pp.1-13.
Engle, Robert F. - Granger, C.W.J. (1987), “Co-İntegration and Error Correction: Representation, Estimation, and Testing”, Econometrica: Journal of The Econometric Society, Vol 55, No 2, pp. 251-276.
Ergen, Eren - Yavuz, Ersin (2017), “Büyüme ile Harcama Arasındaki İlişkinin Ardl Eş-Bütünleşme ve Granger Nedensellik Testleri ile Analizi: Türkiye Üzerine Kanıtlar”, Uluslararası Yönetim İktisat ve İşletme Dergisi, Icmeb17 Özel Sayısı, ss.84-92.
He, Qing - Liu, Junyi - Wang, Sizhu - Yu, Jishuang (2020), “The Impact of Covid-19 on Stock Markets”, Economic and Political Studies, 8(3), pp. 275-288, Doi: 10.1080/20954816.2020.1757570
Johansen, Soren (1988), “Statistical Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, 12(2-3), pp. 231-254.
Johansen, Soren - Juselius, Katarina (1990), “Some Structural Hypotheses in A Multivariate Cointegration Analysis of the Purchasing Power Parity and The Uncovered İnterest Parity for Uk”, Discussion Papers, University of Copenhagen, No 90-05.
Kotishwar, A. (2020), “Impact of Covıd-19 Pandemic on Stock Market with Reference to Select Countries – A Study”, Academy of Accounting and Financial Studies Journal, Volume 24, Issue 4, pp. 1-9.
Liu, Hai Yue - Manzoor, Agsa - Wang, Cang Yu - Zhang, Lei - Manzoor, Zaira (2020), “The Covid-19 Outbreak and Affected Countries Stock Markets Response”, Environmental Research and Public Health,17, pp.1-19
Narayan, Paresh Kumar – Smyth, Russell (2005), “Trade Liberalization and Economic Growth in Fiji. An Empirical Assessment Using the Ardl Approach”, Journal of The Asia Pacific Economy, 10(1), pp. 96-115.
Narayan, Paresh Kumar – Narayan, Seema (2005), “Estimating Income and Price Elasticities of Imports for Fiji in A Cointegration Framework”, Economic Modelling, 22, pp. 423-438.
Öztürk, Özcan- Şişman, Muhammet Y. - Uslu, Hakan - Çitak, Ferhat (2020), “Effect of Covid-19 Outbreak on Turkish Stock Market: A Sectoral-Level Analysis”, Hitit University Journal of Social Sciences Institute, 13(1), pp.56- 68.
Pesaran, M. Hashem - Shin, Yongcheol (1999), “An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis”, Econometrics and Economic Theory in The 20th Century: The Ragnar Frish Centennial Symposium. Ed. / Steinar Strom. Cambridge: Cambridge University Press”, pp. 371-413.
Pesaran, M. Hashem - Shin, Yongcheol - Smith, Richard J. (2001), “Bounds Testing Approaches to The Analysis of Level Relationships”, Journal of Applied Econometrics, Vol 16, Issue 3, pp. 289–326.
Sansa, Nuhu A. (2020), “The Impact of the Covid - 19 on The Financial Markets: Evidence from China and Usa”, Electronic Research Journal of Social Sciences and Humanities, Vol 2, Issue I, pp. 29-39.
Topcu, Mert – Gulal, Ömer Serkan (2020), “The Impact of Covid-19 on Emerging Stock Markets”, Finance Research Letters, 36, pp.1-5.
Waheed, Rida – Sarwar, Suleman - Sarwar Sahar – Khan, Muhammad Kaleem (2020), “The Impact of Covid-19 on Karachi Stock Exchange: Quantile-On-Quantile Approach Using Secondary and Predicted Data”, Journal of Public Affairs, E2290. Https://Doi.Org/10.1002/Pa.2290
Yan, Binxin - Stuart, Logan - Tu, Andy - Zhang, Qingquan (2020), “Analysis of The Effect of Covid-19 on The Stock Market and Investing Strategies”, Ssrn: Https://Ssrn.Com/Abstract=3563380 Or Http://Dx.Doi.Org/10.2139/Ssrn.3563380
https://www.tcmb.gov.tr , (Erişim Tarihi: 20.06.2020).
https://ourworldindata.org (Erişim Tarihi: 20.06.2020).
https://covid19.saglik.gov.tr/ (Erişim Tarihi: 20.06.2020).
https://evds2.tcmb.gov.tr/ (Erişim Tarihi: 20.06.2020).

There are 26 citations in total.

Details

Primary Language	Turkish
Subjects	Business Administration
Journal Section	Articles
Authors	Filiz Yıldız Contuk This is me 0000-0003-3757-2697
Publication Date	January 11, 2021
Submission Date	October 5, 2020
Published in Issue	Year 2021 Issue: 89

Cite

APA	Yıldız Contuk, F. (2021). Covid -19’un Borsa İstanbul Üzerindeki Etkisi: Bir ARDL Sınır Testi Modeli. Muhasebe Ve Finansman Dergisi(89), 101-112. https://doi.org/10.25095/mufad.852088
AMA	Yıldız Contuk F. Covid -19’un Borsa İstanbul Üzerindeki Etkisi: Bir ARDL Sınır Testi Modeli. Muhasebe ve Finansman Dergisi. January 2021;(89):101-112. doi:10.25095/mufad.852088
Chicago	Yıldız Contuk, Filiz. “Covid -19’un Borsa İstanbul Üzerindeki Etkisi: Bir ARDL Sınır Testi Modeli”. Muhasebe Ve Finansman Dergisi, no. 89 (January 2021): 101-12. https://doi.org/10.25095/mufad.852088.
EndNote	Yıldız Contuk F (January 1, 2021) Covid -19’un Borsa İstanbul Üzerindeki Etkisi: Bir ARDL Sınır Testi Modeli. Muhasebe ve Finansman Dergisi 89 101–112.
IEEE	F. Yıldız Contuk, “Covid -19’un Borsa İstanbul Üzerindeki Etkisi: Bir ARDL Sınır Testi Modeli”, Muhasebe ve Finansman Dergisi, no. 89, pp. 101–112, January 2021, doi: 10.25095/mufad.852088.
ISNAD	Yıldız Contuk, Filiz. “Covid -19’un Borsa İstanbul Üzerindeki Etkisi: Bir ARDL Sınır Testi Modeli”. Muhasebe ve Finansman Dergisi 89 (January 2021), 101-112. https://doi.org/10.25095/mufad.852088.
JAMA	Yıldız Contuk F. Covid -19’un Borsa İstanbul Üzerindeki Etkisi: Bir ARDL Sınır Testi Modeli. Muhasebe ve Finansman Dergisi. 2021;:101–112.
MLA	Yıldız Contuk, Filiz. “Covid -19’un Borsa İstanbul Üzerindeki Etkisi: Bir ARDL Sınır Testi Modeli”. Muhasebe Ve Finansman Dergisi, no. 89, 2021, pp. 101-12, doi:10.25095/mufad.852088.
Vancouver	Yıldız Contuk F. Covid -19’un Borsa İstanbul Üzerindeki Etkisi: Bir ARDL Sınır Testi Modeli. Muhasebe ve Finansman Dergisi. 2021(89):101-12.