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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
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.

References

  • Abad, Pilar - Chuliá, Helena - Gómez-Puig, Marta (2010), “EMU and European government bond market integration”, Journal of Banking and Finance, 34, ss.2851–2860.
  • Allen, Franklin - Gale, Douglas (2001), “Financial contagion”, Journal of Political Economy, 108, ss.1–33.
  • Azimli, Asil (2020), “The impact of COVID-19 on the Degree Of Dependence And Structure Of Risk-Return Relationship: A Quantile Regression Approach”, Finance Research Letters, 36, ss.1-13.
  • Baker, Scott R.- Bloom, Nicholas- Davis, Steven J.- Kost, Kyle J.- Sammon, Marco C.-Viratyosin, Tasaneeya (2020), “The unprecedented stock market impact of Covid-19”, National Bureau of Economic Research Working paper No. w26945.
  • Bekiros, Stelios D. (2013), “Contagion, Decoupling And The Spillover Effects Of The US Financial Crisis: Evidence from the BRIC Markets”, International Review of Financial Analysis, 33, ss.58-69.
  • Bekaert, Geert- Engstrom, Eric- Xu, Nancy R. (2019), “The time variation in risk appetite and uncertainty”, National Bureau of Economic Research Working Paper, No. w25673.
  • Berger, Dave-Turtle, H. J. (2011), “Emerging Market Crises And US Equity Market Returns”, Global Finance Journal, 22, ss.32-41.
  • Broner, Fernando A.- Gelos, R.Gaston- Reinhart, Carmen M. (2006) “When in Peril, Retrench: Testing The Portfolio Channel Of Contagion”, Journal of International Economics, 69, ss.203–230.
  • Cameron, Lisa- Shah, Manisha (2015), “Risk-Taking Behavior in The Wake Of Natural Disasters”, Journal of Human Resources, 50, ss.484-515.
  • Chen, Mei-Ping- Lee, Chien C.- Lin, Yu H.- Chen, Wen Y. (2018), “Did the SARS Epidemic Weaken The Integration Of Asian Stock Markets? Evidence From Smooth Time-Varying Cointegration Analysis”, Economic research, 31, ss.908-926.
  • Choi, Sun-Yong (2020), “Industry Volatility And Economic Uncertainty Due to the COVID-19 Pandemic: Evidence From Wavelet Coherence Analysis”, Finance Research Letters, 37, ss.1-8.
  • Dakhlaoui, Imen- Aloui, Chaker (2015), “The interactive relationship between the US economic policy uncertainty and BRIC’ stock markets”, International Economics, 146, ss.141-157.
  • Demirer Rıza- Omay, Tolga- Yuksel Aslı- Yuksel, Aydın (2018), “Global risk aversion and emerging market return comovements”, Economics Letters, 173, ss.118-121.
  • Dickey, A. David- Fuller, Wayne A. (1979), “Distribution of the estimators for autoregressive time series with a unit root”, Journal of the American Statistical Association, 74, ss.427-431.
  • Engle Robert F. (1982), “Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation”, Econometrica, 50, ss.987-1007.
  • Engle, Robert F. (2002), “Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models”, Journal of Business and Economic Statistics, 20, ss.339–50.
  • Forbes, Kristin J.- Rigobon, Roberto (2002), “No contagion, only interdependence: Measuring stock market co-movements”, The Journal of Finance, 57, ss.2223–2261.
  • Guiso, Luigo- Sapienza, Paola- Zingales, Luigo (2018), “Time varying risk aversion”, Journal of Financial Economics, 128, ss.403-421.
  • Kim, Yong I.- Lee, Jungmin (2014), “The long-run impact of a traumatic experience on risk aversion”, Journal of Economic Behavior Organization, 108, ss.174-186.
  • Knutson, Brain- Wimmer, Elliot- Kuhnen, Camelia- Winkielman, Piotr (2008), “Nucleus accumbens activation mediates the influence of reward cues on financial risk taking”, NeuroReport, 19, ss.509–513.
  • Kocaarslan, Barış- Soytas, Uğur- Sarı, Ramazan- Ugurlu, Ecenur (2018), “The changing role of financial stress, oil price, and gold price in financial contagion among US and BRIC markets”, International Reviews of Finance, 19, ss.541-574.
  • Loewenstein, George (2000), “Emotions in economic theory and economic behavior”, Am. Econ. Rev. 90, ss.426–432.
  • Longin, François- Solnik, Bruno (2001), “Extreme correlation of international equity market”, The Journal of Finance, 56, ss.649–676.
  • Masson, Paul (1999), “Contagion: macroeconomic models with multiple equilibria”, Journal of International Money and Finance, 18, ss.587–602.
  • Mensi, Walid- Hammoudeh, Shawkat- Nguyen, Duc K.- Hoon, Sang (2016), “Global financial crisis and spillover effects among the U.S. and BRICS stock markets”, International Review of Economics and Finance, 42, ss.257-276.
  • Miranda-Agrippino- Silvia- Rey, Helena (2015), “World asset markets and the global financial cycle”, NBER Working Paper: 21722
  • Pesaran, M.Hashem- Shin, Yongcheol (1998), “An autoregressive distributed-lag modelling approach to cointegration analysis”, Economic Soc. Monogr, 31, ss.371–413.
  • Phillips, Peter C.B.- Perron, Pierre (1988), “Testing for a unit root in time series regression”, Biometrika, 75, ss.335–346.
  • Shin, Yongcheol- Yu, Byungchul- Greenwood-Nimmo, Matthew (2014), “Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework”, Springer, New York, NY, ss. 281–314.
  • Uğurlu-Yıldırım, Ecenur (2020), “The Impact of COVID-19 Pandemic on the Financial Contagion among Turkey, US, and China Stock Markets”, Journal of Business Research-Turk, 12, ss.2764-2773.

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

Year 2021, Issue: 90, 185 - 208, 09.04.2021
https://doi.org/10.25095/mufad.866684

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.

References

  • Abad, Pilar - Chuliá, Helena - Gómez-Puig, Marta (2010), “EMU and European government bond market integration”, Journal of Banking and Finance, 34, ss.2851–2860.
  • Allen, Franklin - Gale, Douglas (2001), “Financial contagion”, Journal of Political Economy, 108, ss.1–33.
  • Azimli, Asil (2020), “The impact of COVID-19 on the Degree Of Dependence And Structure Of Risk-Return Relationship: A Quantile Regression Approach”, Finance Research Letters, 36, ss.1-13.
  • Baker, Scott R.- Bloom, Nicholas- Davis, Steven J.- Kost, Kyle J.- Sammon, Marco C.-Viratyosin, Tasaneeya (2020), “The unprecedented stock market impact of Covid-19”, National Bureau of Economic Research Working paper No. w26945.
  • Bekiros, Stelios D. (2013), “Contagion, Decoupling And The Spillover Effects Of The US Financial Crisis: Evidence from the BRIC Markets”, International Review of Financial Analysis, 33, ss.58-69.
  • Bekaert, Geert- Engstrom, Eric- Xu, Nancy R. (2019), “The time variation in risk appetite and uncertainty”, National Bureau of Economic Research Working Paper, No. w25673.
  • Berger, Dave-Turtle, H. J. (2011), “Emerging Market Crises And US Equity Market Returns”, Global Finance Journal, 22, ss.32-41.
  • Broner, Fernando A.- Gelos, R.Gaston- Reinhart, Carmen M. (2006) “When in Peril, Retrench: Testing The Portfolio Channel Of Contagion”, Journal of International Economics, 69, ss.203–230.
  • Cameron, Lisa- Shah, Manisha (2015), “Risk-Taking Behavior in The Wake Of Natural Disasters”, Journal of Human Resources, 50, ss.484-515.
  • Chen, Mei-Ping- Lee, Chien C.- Lin, Yu H.- Chen, Wen Y. (2018), “Did the SARS Epidemic Weaken The Integration Of Asian Stock Markets? Evidence From Smooth Time-Varying Cointegration Analysis”, Economic research, 31, ss.908-926.
  • Choi, Sun-Yong (2020), “Industry Volatility And Economic Uncertainty Due to the COVID-19 Pandemic: Evidence From Wavelet Coherence Analysis”, Finance Research Letters, 37, ss.1-8.
  • Dakhlaoui, Imen- Aloui, Chaker (2015), “The interactive relationship between the US economic policy uncertainty and BRIC’ stock markets”, International Economics, 146, ss.141-157.
  • Demirer Rıza- Omay, Tolga- Yuksel Aslı- Yuksel, Aydın (2018), “Global risk aversion and emerging market return comovements”, Economics Letters, 173, ss.118-121.
  • Dickey, A. David- Fuller, Wayne A. (1979), “Distribution of the estimators for autoregressive time series with a unit root”, Journal of the American Statistical Association, 74, ss.427-431.
  • Engle Robert F. (1982), “Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation”, Econometrica, 50, ss.987-1007.
  • Engle, Robert F. (2002), “Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models”, Journal of Business and Economic Statistics, 20, ss.339–50.
  • Forbes, Kristin J.- Rigobon, Roberto (2002), “No contagion, only interdependence: Measuring stock market co-movements”, The Journal of Finance, 57, ss.2223–2261.
  • Guiso, Luigo- Sapienza, Paola- Zingales, Luigo (2018), “Time varying risk aversion”, Journal of Financial Economics, 128, ss.403-421.
  • Kim, Yong I.- Lee, Jungmin (2014), “The long-run impact of a traumatic experience on risk aversion”, Journal of Economic Behavior Organization, 108, ss.174-186.
  • Knutson, Brain- Wimmer, Elliot- Kuhnen, Camelia- Winkielman, Piotr (2008), “Nucleus accumbens activation mediates the influence of reward cues on financial risk taking”, NeuroReport, 19, ss.509–513.
  • Kocaarslan, Barış- Soytas, Uğur- Sarı, Ramazan- Ugurlu, Ecenur (2018), “The changing role of financial stress, oil price, and gold price in financial contagion among US and BRIC markets”, International Reviews of Finance, 19, ss.541-574.
  • Loewenstein, George (2000), “Emotions in economic theory and economic behavior”, Am. Econ. Rev. 90, ss.426–432.
  • Longin, François- Solnik, Bruno (2001), “Extreme correlation of international equity market”, The Journal of Finance, 56, ss.649–676.
  • Masson, Paul (1999), “Contagion: macroeconomic models with multiple equilibria”, Journal of International Money and Finance, 18, ss.587–602.
  • Mensi, Walid- Hammoudeh, Shawkat- Nguyen, Duc K.- Hoon, Sang (2016), “Global financial crisis and spillover effects among the U.S. and BRICS stock markets”, International Review of Economics and Finance, 42, ss.257-276.
  • Miranda-Agrippino- Silvia- Rey, Helena (2015), “World asset markets and the global financial cycle”, NBER Working Paper: 21722
  • Pesaran, M.Hashem- Shin, Yongcheol (1998), “An autoregressive distributed-lag modelling approach to cointegration analysis”, Economic Soc. Monogr, 31, ss.371–413.
  • Phillips, Peter C.B.- Perron, Pierre (1988), “Testing for a unit root in time series regression”, Biometrika, 75, ss.335–346.
  • Shin, Yongcheol- Yu, Byungchul- Greenwood-Nimmo, Matthew (2014), “Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework”, Springer, New York, NY, ss. 281–314.
  • Uğurlu-Yıldırım, Ecenur (2020), “The Impact of COVID-19 Pandemic on the Financial Contagion among Turkey, US, and China Stock Markets”, Journal of Business Research-Turk, 12, ss.2764-2773.
There are 30 citations in total.

Details

Primary Language Turkish
Subjects Business Administration
Journal Section Articles
Authors

Ecenur Uğurlu Yıldırım 0000-0001-6465-4781

Publication Date April 9, 2021
Submission Date January 22, 2021
Published in Issue Year 2021 Issue: 90

Cite

APA Uğurlu Yıldırım, E. (2021). Covid-19 Pandemi ve 2008 Ekonomik Kriz Dönemlerinde Riskten Kaçınma Düzeyinin ABD ve BRIC Piyasa Entegrasyonu Üzerindeki Değişen Etkisi. Muhasebe Ve Finansman Dergisi(90), 185-208. https://doi.org/10.25095/mufad.866684
AMA Uğurlu Yıldırım E. Covid-19 Pandemi ve 2008 Ekonomik Kriz Dönemlerinde Riskten Kaçınma Düzeyinin ABD ve BRIC Piyasa Entegrasyonu Üzerindeki Değişen Etkisi. Muhasebe ve Finansman Dergisi. April 2021;(90):185-208. doi:10.25095/mufad.866684
Chicago Uğurlu Yıldırım, Ecenur. “Covid-19 Pandemi Ve 2008 Ekonomik Kriz Dönemlerinde Riskten Kaçınma Düzeyinin ABD Ve BRIC Piyasa Entegrasyonu Üzerindeki Değişen Etkisi”. Muhasebe Ve Finansman Dergisi, no. 90 (April 2021): 185-208. https://doi.org/10.25095/mufad.866684.
EndNote Uğurlu Yıldırım E (April 1, 2021) Covid-19 Pandemi ve 2008 Ekonomik Kriz Dönemlerinde Riskten Kaçınma Düzeyinin ABD ve BRIC Piyasa Entegrasyonu Üzerindeki Değişen Etkisi. Muhasebe ve Finansman Dergisi 90 185–208.
IEEE E. Uğurlu Yıldırım, “Covid-19 Pandemi ve 2008 Ekonomik Kriz Dönemlerinde Riskten Kaçınma Düzeyinin ABD ve BRIC Piyasa Entegrasyonu Üzerindeki Değişen Etkisi”, Muhasebe ve Finansman Dergisi, no. 90, pp. 185–208, April 2021, doi: 10.25095/mufad.866684.
ISNAD Uğurlu Yıldırım, Ecenur. “Covid-19 Pandemi Ve 2008 Ekonomik Kriz Dönemlerinde Riskten Kaçınma Düzeyinin ABD Ve BRIC Piyasa Entegrasyonu Üzerindeki Değişen Etkisi”. Muhasebe ve Finansman Dergisi 90 (April 2021), 185-208. https://doi.org/10.25095/mufad.866684.
JAMA Uğurlu Yıldırım E. Covid-19 Pandemi ve 2008 Ekonomik Kriz Dönemlerinde Riskten Kaçınma Düzeyinin ABD ve BRIC Piyasa Entegrasyonu Üzerindeki Değişen Etkisi. Muhasebe ve Finansman Dergisi. 2021;:185–208.
MLA Uğurlu Yıldırım, Ecenur. “Covid-19 Pandemi Ve 2008 Ekonomik Kriz Dönemlerinde Riskten Kaçınma Düzeyinin ABD Ve BRIC Piyasa Entegrasyonu Üzerindeki Değişen Etkisi”. Muhasebe Ve Finansman Dergisi, no. 90, 2021, pp. 185-08, doi:10.25095/mufad.866684.
Vancouver Uğurlu Yıldırım E. Covid-19 Pandemi ve 2008 Ekonomik Kriz Dönemlerinde Riskten Kaçınma Düzeyinin ABD ve BRIC Piyasa Entegrasyonu Üzerindeki Değişen Etkisi. Muhasebe ve Finansman Dergisi. 2021(90):185-208.