IMPACT OF COVID-19 ON THE RETURN AND VOLATILITY SPILLOVERS AMONG STOCK MARKETS

Year 2022, , 350 - 368, 20.04.2022

Yavuz Gül , Mehmetcan Suyadal

https://doi.org/10.30794/pausbed.1061814

Abstract

This research examines dynamic connectedness between eleven stock markets before and during the COVID-19 pandemic. Diebold-Yılmaz spillover index (2009) is employed in an attempt to explore return and volatility spillovers. The data set covers 3103 daily observations from January 1, 2010 to November 23, 2021. Findings indicate that interdependence between stock markets increased during the COVID-19 pandemic. The return spillover index rose from 29.6 percent to 36.6 percent as the volatility spillover index jumped from 20.1 percent to 43.7 percent. Furthermore, rolling window analysis provides clear evidence of burst in both return and volatility spillovers. On the other hand, USA (S&P-500) appears to be a major transmitter of shocks. These results reveal the impact of COVID-19 outbreak on the dynamic relationships between stock markets

Keywords

Covid-19, Diebold-Yılmaz Index, Return and Volatility Spillover

COVID-19’UN PAY PİYASALARI ARASINDAKİ GETİRİ VE VOLATİLİTE YAYILIMLARINA ETKİSİ

Abstract

Bu çalışma, COVID-19 pandemisi öncesinde ve süresince 11 pay piyasası arasındaki dinamik bağımlılık ilişkilerini incelemektedir. Volatilite ve getiri yayılımlarını araştırmak için Diebold - Yılmaz yayılım endeksi (2009) kullanılmıştır. Veri seti 1 Ocak 2010 tarihinden 23 Kasım 2021 tarihine kadar 3103 günlük gözlemi kapsamaktadır. Çalışma bulguları, COVID-19 pandemisi boyunca pay piyasaları arasındaki bağlantıların arttığını göstermektedir. Getiri yayılımı endeksi %29.6’dan %36.6’ya yükselirken, volatilite yayılımı endeksi %20.1’den %43.7’ye sıçramıştır. Ayrıca kayan pencereler analizi, hem getiri hem volatilite yayılımlarında patlama yaşandığına dair açık kanıtlar sunmaktadır. Öte yandan ABD’nin (S&P-500) yayılım etkilerinin en büyük belirleyicisi olduğu tespit edilmiştir. Bu sonuçlar, COVID-19 salgınının pay piyasaları arasında bulunan dinamik ilişkiler üzerindeki etkisini ortaya koymaktadır.

Keywords

Covid-19, Diebold-Yılmaz Endeksi, Getiri ve Volatilite Yayılımı

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