COVID-19 Krizi’nin Türkiye ve G7 Ülkelerinin Borsa Oynaklıkları Üzerindeki Etkisi

Abstract

COVID-19 virüsü başlangıçta bir sağlık krizi olarak ortaya çıkmış fakat kısa sürede bir ekonomik ve finansal krize dönüşmüştür. Salgın, ülke ekonomilerini COVID-19 vaka sayıları ile doğru orantılı bir şekilde etkilemiştir. Bu bağlamda çalışmanın amacı, COVID-19 vaka sayılarının yüksek olduğu ve ekonomik olarak güçlü olan G7 ülkeleri ve Türkiye için COVID-19 krizinin bu ülkelerin hisse senedi piyasalarının oynaklıkları üzerindeki etkisini sınamaktır. EGARCH(1,1) modeli ile gerçekleştirilen analiz 11 Mart 2020/ 15 Ocak 2021 tarihlerini kapsamaktadır. Model sonuçlarına göre COVID-19 krizi Fransa, Japonya, Kanada ve Türkiye’nin hisse senedi piyasalarının oynaklıklarını arttırmaktadır.

Keywords

• COVID-19
• Hisse Senedi Piyasası Oynaklığı
• EGARCH(1,1) Modeli

The Impact of COVID-19 Crisis on Stock Market Volatilities of Turkey and G7 Countries

Abstract

The COVID-19 virus initially emerged as a health crisis, but soon turned into an economic and financial crisis. The epidemic affected countries’ economies in direct proportion to the number of COVID-19 cases. In this context, the aim of this study examines the effect COVID-19 crisis on stock markets for G7 countries which have a high number of COVID-19 cases and are economically powerful, and Turkey. The analysis was performed with EGARCH (1,1) model and covers the dates of 11 March 2020/15 January 2021. According to the model results, the COVID-19 crisis increases the stock market volatilities of France, Japan, Canada, and Turkey.

Keywords

• COVID-19
• Stock Market Volatility
• EGARCH(1,1) Model

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