THE CHANGING EFFECT OF THE RISK AVERSION ON US AND BRIC MARKET INTEGRATION DURING THE COVID-19 AND 2008 CRISIS

Year 2021, Issue: 90, 185 - 208, 09.04.2021

Ecenur Uğurlu Yıldırım

https://doi.org/10.25095/mufad.866684

Abstract

The effects of non-cash factors on the integration of countries' financial markets is one of the most debated topics in the literature. The effects of the COVID-19, the biggest pandemic of the last century, on the financial markets are the focus of hot discussions. The aim of this study is to examine the long and short-run asymmetric effects of the change in risk aversion of investors on the integration between the stock market of the United States (USA) and of BRIC (Brazil, India, Russia, and China) during the COVID-19 outbreak and the 2008 economic crisis. The nonlinear autoregressive distributed lag (NARDL) method is employed in this study. In the short-run, it is concluded that positive changes in risk aversion increase integration for all countries, while negative changes reduce correlation. Moreover, this effect is greater and more statistically significant during the pandemic period than the 2008 crisis.

Keywords

Risk aversion, dynamic conditional correlation, COVID-19

Covid-19 Pandemi ve 2008 Ekonomik Kriz Dönemlerinde Riskten Kaçınma Düzeyinin ABD ve BRIC Piyasa Entegrasyonu Üzerindeki Değişen Etkisi

Abstract

Nakit akışına bağlı olmayan faktörlerin ülkelerin finansal piyasalarının entegrasyonu üzerindeki etkileri literatürde en çok ilgi gören konulardan biridir. Son yüzyılın en büyük salgını olan COVID-19’un finans piyasalarına etkileri ise sıcak tartışmaların odak noktası halindedir. Bu çalışmanın amacı, yatırımcıların zamanla değişen riskten kaçınma düzeylerindeki değişimin Amerika Birleşik Devletleri ve BRIC (Brezilya, Rusya, Hindistan ve Çin) hisse senedi piyasaları arasındaki entegrasyona COVID-19 salgını ve 2008 ekonomik krizi dönemindeki uzun ve kısa dönem asimetrik etkilerini incelemektir. Verilerin analizinde gecikmesi dağıtılmış doğrusal olmayan otoregresif model (NARDL) yönteminden yararlanılmıştır. Kısa vadede, tüm ülkeler için riskten kaçınma düzeyindeki olumlu değişimlerin entegrasyonu arttırdığı görülürken, olumsuz değişikliklerin korelasyonu azalttığı bulgusuna ulaşılmıştır. Üstelik bu etkinin pandemi döneminde, 2008 ekonomik krizine göre çok daha fazla ve istatistiksel olarak anlamlı olduğu bulunmuştur.

Keywords

Riskten kaçınma, dinamik şartlı korelasyon, COVID-19

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