DAILY VOLATILITY ANALYSIS OF BIST 100 CONSTITUENTS BETWEEN 2018-2020

Abstract

The Turkish economy has experienced two important shocks in the recent past. The first is a currency shock which occurred in August 2018. A second, substantially more impactful, shock is the COVID-19 pandemic, which began in early 2020 and is still in progress. An interesting question from the perspectives of both policy makers and practitioners is whether significant changes in key economic and financial variables have been observed in the period marked by these two shocks. We investigate this question for the volatility of the daily returns on BIST 100 constituent equities, using a novel panel GARCH modelling approach. We find that during the periods associated with the two shocks, the stock market volatility has increase substantially. Importantly, this increase has been greater and more persistent during the pandemic period. Moreover, our analysis of sector-specific volatilities also reveals that this period of two shocks has witnessed a uniform increase in the average volatilities of all sectors, compared to the period before.

Keywords

• BIST 100
• COVID-19
• GARCH
• financial volatility

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