KORONA VİRÜS PANDEMİSİNİN AVRUPA BİRLİĞİ BORSALARINA ETKİLERİ

Year 2022, , 1 - 15, 25.09.2022

Ali Çelik , Ebru Nergiz , Nuran Akdağ

https://doi.org/10.30794/pausbed.1061965

Cited By: 1

Abstract

Dünya, koronavirüs pandemisi ile 1929 Büyük Buhranı'ndan bu yana en büyük ekonomik krizinden birini yaşıyor. 2008 küresel ekonomik krizinin etkileri tam olarak savuşturulmadan KOVİD pandemisinin ortaya çıkmış olması ekonomik kriz dinamiklerini yeniden tetiklemiştir. Avrupa Birliği ekonomisini de bu krizden derin bir şekilde etkilenmektedir. Çalışmanın amacı, 2019 koronavirüs vaka sayısı ile Avrupa'nın en önemli borsa endeksleri arasındaki ilişkiyi zaman serisi analizi kullanarak incelemektedir. Analiz yapılırken üç farklı model oluşturulmuştur. Bu kapsamda COVID-19 vaka sayısı bağımsız değişken olarak kullanılmak, bağımlı değişken olarak sırasıyla DAX Index, CAC 40 Index ve Euronext 100 Index test edilmektedir. Analiz sonuçları, değişkenler arasında uzun dönemli bir eşbütünleşme ilişkisi olduğunu kanıtlamaktadır. Ayrıca Hata Düzeltme Modeli sonuçlarının istatistiksel olarak anlamlı olduğu görülmektedir. Sonuç olarak, tahmincinin sonuçları KOVİD-19’un Avrupa borsalarını olumsuz etkilediğii tespit edilmektedir.

Keywords

KOVİD-19, Avrupa Birliği Borsaları, Zaman Serisi Analizi, Eşbütünleşme Testleri

EFFECTS OF CORONAVIRUS PANDEMIC ON STOCK MARKETS IN THE EUROPEAN UNION

Abstract

The world is undergoing one of the biggest economic crises since the 1929 Great Depression with the coronavirus pandemic. The emergence of the COVID pandemic, before the effects of the 2008 global economic crisis have not evaded, triggered the dynamics of the economic crisis again. The European Union (EU) economy is also deeply affected by the crisis. This paper explores the relationship between the number of coronavirus disease 2019 (COVID-19) cases and Europe's most important stock market indices by using time series analysis. While performing the analysis, three different models were created. In this context, the number of cases of COVID-19 has been used as independent variables, while DAX Index, CAC 40 Index, and Euronext 100 Index have been tested as dependent variables, respectively. The analysis results prove that there is a long-run cointegration relationship between variables. We also found that the Error Correction Model results are statistically significant. Consequently, the results of the estimator determine that the COVID-19 negatively affected the European stock markets.

Keywords

COVID-19, EU Stock Markets, Time Series Analysis, Cointegration Tests

References

• Albulescu, C. (2020). Coronavirus and Oil Price Crash.Available, Compitional Finance, 1-7. http://dx.doi.org/10.2139/ssrn.3553452
• Al-Awadhi, A. M., Al-Saifi, K., Al-Awadhi, A., & Alhamadi, S. (2020). Death and Contagious Infectious Diseases: Impact of the COVID-19 Virus on Stock Market Returns. Journal of Behavioral and Experimental Finance, pp.27, 1-5.
• Alpago, H., Oduncu Alpago, D. (2020). Corona Virus and Socioeconomic Results. IBAD Journal of Social Sciences, (8), pp.99-114. DOI: 10.21733 / ibad.716444
• Ashraf, B.N. (2020). “Stock markets’ reaction to COVID-19: Cases or fatalities?”,Research in International Business and Finance, 54(2020), 101249.
• Baldwin, R. & Tomiura, E. (2020). Thinking ahead about the trade impact of COVID-19. Economics in the Time of COVID-19, pp.59-71 . London: CEPR (Centre for Economic Policy Research) Press.
• Barro, R., Ursua, J. & Weng, J. (2020). The Coronavirus and the Great Influenza Pandemic: Lessons from the "Spanish Flu" for the Coronavirus's Potential Effects on Mortality and Economic Activity. National Bureau of Economic Research Working Paper Series, Working Paper 26866.
• Barua, S. (2020). Understanding Coronanomics: The economic implications of the coronavirus (COVID 19) pandemic. SSRN Electronic Journal. https://doi. org/10/ggq92n.
• Bremmer, Ian; (2020), “We Are in a Geopolitical Recession. That’s a Bad Time for the Global Coronavirus Crisis.” Time, Available at: < https://time.com/5802033/geopolitical-recession-global-crisis>.
• Ci̇nel, E. (2020). Global Macroeconomic Impacts and Prospects of COVID-19. Political Economic Theory, 4 (1) , 124-140 . DOI: 10.30586/pek.748538
• Corbet, S., Larkin, C., and Lucey, B. (2020). The contagion effects of the COVID-19 pandemic: evidence from gold and cryptocurrencies. Finance Research Letters, 35(101554), 1-7.
• Çelik, A. (2021). Volatility of BIST 100 Returns After 2020, Calendar Anomalies and COVID-19 Effect. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 15(1), 61-81.
• Dickey, D. A. and Fuller, W. A. (1979). "Distribution of the Estimators for Autoregressive Time Series with a Unit Root". Journal of the American Statistical Association. 74 (366): 427431. doi:10.1080/01621459.1979.10482531. JSTOR 2286348 Eichengreen, B. (2020, March 12). Coronanomics 101: which policy tools will contain the Economic threat of COVID-19?. World Economic Forum.
• Fernandes, N. (2020). Economic effects of coronavirus outbreak (COVID- 19) on the world economy. Available at SSRN 3557504.
• Granger, C. W. J. and Newbold P; (1974). “Spurious Regressions in Econometrics. Journal of Econometrics, 2 (2), pp.111-120.
• Gujurati, D. (1999). Basic Econometics, Mc Graw Hill, Literatür Publishing, Third Edition, Istanbul.
• Gülhan, Ü. (2020). BIST 100 reaction to the Covid-19 pandemic: an econometric analysis. Turkish Studies, 15(4), pp.497-509. Available at: <https://dx.doi.org/10.7827/TurkishStudies.44122>
• Hacıevliyagil, N and .Gümüş, A . (2020). Epidemic-Exchange Relationship in Countries where Covid-19 is Most Effective . Gaziantep University Journal of Social Sciences, Volume 19 COVID-19 Special Issue, 354-364. DOI: 10.21547/jss.742893
• Haldar, A., & Sethi, N. (2021). The news effect of COVID-19 on global financial market volatility. Buletin Ekonomi Moneter dan Perbankan, 24, 33-58.
• ILO, (2020). ILO Monitor 2nd Edition: COVID-19 and The World of Work Updated Estimates and Analysis. ILO. January 2020
• IMF,(2020). World Economıc Outlook Reports, World Economic Outlook Update, June 2020.
• Jelilov, G., Iorember, P. Usman, O. and Yua, P. (2020). Testing the nexus between stock market returns and inflation in Nigeria: Does the effect of COVID ‐19 pandemic matter?. Journal of Public Affairs. 10.1002/pa.2289.
• Johansen, S. (1988). Statistical Analysis Of Cointegration Vectors. Journal of Economic Dynamics and Control.12 (2-3). pp.231-254.
• Johansen, S. and K. Juselius (1990). Maximum Likelihood Estimation and Inference on Cointegration with Applications to Demand for Money. Oxford Bulletin of Economics and Statistics 52. pp.169-210.
• Johnston, J. and Dinardo, J.; (1997). Econometric Methods, Fourth Edition, McGraw-Hill Companies, United States.
• Li,Y., Liang, C., Ma,F., and Wang, J. (2020). The Role of the IDEMV in Predicting European Stock Market Volatility During the COVID-19 Pandemic. Finance Research Letters. Vol. 36. pp. 1-7.
• Liu, HaiYue; Manzoor, Aqsa; Wang, CangYu; Zhang, Lei; Manzoor, Zaira. 2020. "The COVID-19 Outbreak and Affected Countries Stock Markets Response" Int. J. Environ. Res. Public Health 17. no. 8: 2800.
• MacKinnon, J. G. (1996). Numerical Distribution Functions for Unit Root and Cointegration Tests. Journal of Applied Econometrics. Vol.11. pp.601-618.
• Maki, D.(2012). Tests for cointegration allowing for an unknown number of breaks. Economic Modelling, 29(5). pp.2011- 2015.
• Özcan, M. (2015). Nonlinear Dynamics In Financial Time Series And Unit Root Tests: Case Of Borsa Istanbul Sectoral Price‐Earning Ratios. Journal of Economics, Finance and Accounting. 2(4). ISSN: 2148‐6697
• Peron, P. (1989). Testing for a Unit Root in a Time Series with a Changing Mean. Princeton University and C.R.D.E, Economic Research Program. Research Memorandum No: 347.
• Perron, P. and Vogelsang, T. J. (1992), Nonstationarity and Level Shifts with an Application to Purchasing Power Parity. Journal of Business and Economic Statistics. Vol.10. pp. 301–320.
• Sansa, N. A. (2020). Analysis for the impact of the COVID-19 to the petrol price in China. Available at SSRN 3547413. Avaliable at:<http://dx.doi.org/10.2139/ssrn.3547413/> [Accessed at 15 June 2020]
• Schäfer, Jakob; (2020). Economic crisis only because of the Corona pandemic? International Viewpoint. Avaliable at: <http:// internationalviewpoint.org/spip.php?article6512>. [Accessed at 20 September 2020].
• Syahri, A., Robiyanto, R.. The correlation of gold, exchange rate, and stock market on Covid-19 pandemic period. Jurnal Keuangan dan Perbankan. North America, 24, Jul. 2020. Available at: <http://jurnal.unmer.ac.id/index.php/jkdp/article/view/4621> [Accessed at: 04 Dec. 2020].
• Şenol, Z. (2020) Money and Finance, In. N. Toguç Ed. Ankara: İksad Publishing.
• Tekin, B. (2020).Coronavirus Pandemic and Its Economic Financial Effects: A Literature Review, Current Research in Economics and Administrative Sciences. Editors: Unvan Akay, Kalay Faruk. pp. 39-65.
• Topcu M. and Gulal S. O. (2020), The Impact of COVID-19 on Emerging Stock Markets, Finance Research Letters, Vol. 36.
• Vurur, N. and Özen E . (2020). Effects of the Covid-19 Pandemic on the Relationship Between CDS Premiums and Stock Indices: An Application for Major European Indices, Journal of Economics, Policy and Finance Studies, Special Issue: Covid-19: Economic, Political and Financial Implications. Vol.5. pp. 97-114.
• Yerdegelen Kaygın, C., ve Barut, A.(2020), Investigation of the Effect of Covid-19 Pandemic on Selected Stock Market Indices, Gaziantep University Journal of Social Sciences 2020 Special Issue. pp.59-70
• Yetgin, M. (2020). A Research on the Effect of Coronavirus on Borsa Istanbul and Strategic Management on Pandemics. Research of Financial Economic and Social Studies. 5(2) pp. 324-335.
• Yıldız Contuk, F. (2021). The Impact of Covid -19 on Borsa Istanbul: An ARDL Boundary Test Model. Journal of Accounting and Finance, (89), pp.101-112. DOI: 10.25095/mufad.852088
• Zivot, E. ve Andrews, D. (1992). Further Evidence on the Great Crash, the Oil Price Shock and the Unit Root Hypothesis. Journal of Business and Economic Statistics, 10, pp.251–270.