Covid-19’s Fever on Financial Markets in China: The Interaction Between Foreign Exchange Market and the Stock Market

Year 2022, Volume: 9 Issue: 2, 683 - 701, 19.08.2022

Serpil Kahraman Görkem Sarıyer

https://doi.org/10.30626/tesamakademi.991071

Abstract

The impacts of the COVID-19 pandemic on economies are different, however financial markets followed a similar pattern. This paper investigates the preliminary effect of the pandemic on China’s stock exchange market and foreign exchange market by comparing the pre-pandemic and post-pandemic periods. The results indicate that there is a significant interaction between two markets and both markets do not behave randomly. This linkage is crucial to determine the macroeconomic policies against a random walk. We investigate that the monetary policy interventions have positive effect to increase efficiency of financial markets. Moreover, financial markets do not follow a random walk path. It can be said that now, China’s money market in an upward trend due to the relatively reduce in uncertainty and pessimist expectations.

Keywords

COVID-19, foreign exchange market, stock market, random walk, efficient market hypothesis (EMH).

Çin Finansal Piyasalarında Covid-19 Ateşi: Döviz Piyasası ve Hisse Senedi Piyasası Arasındaki Etkileşim

Abstract

COVID-19 pandemisinin ekonomiler üzerindeki etkileri farklı olsa da finansal piyasalar benzer bir yol izlemiştir. Finansal ekonomi yaklaşımları, eklenmeyen bir dış şok neticesinde ülkelerin öncelikle finans piyasalarının etkileneceğini ortaya koymaktadır. Bu doğrultuda, dışsal bir etkide ilk aşamada gelişmekte olan ülkelerin borsaları veya döviz kuru piyasası etkilenmekte ikinci aşamada ise bu etki diğer piyasaya sıçramaktadır. Çalışma, pandemi öncesi ve pandemi sonrası dönemleri karşılaştırarak, pandeminin Çin borsası ve döviz piyasası üzerindeki ön etkisini COVID-19 verileri ve ilgili istatistikler (günlük yeni vaka sayısı, yeni ölüm oranları), Pearson korelasyon testi uygulayarak araştırmaktadır. Ayrıca, SSEC index ve CNY döviz kurlarının günlük dağılımları karşılaştırmaları olarak box plotlar ile gösterilmiştir. Zira ilk etkilenen piyasanın belirlenmesi, piyasalardaki yüksek volatilitenin ve risk unsurunun giderilmesi anlamında politika yapıcılara yol gösterici olacaktır. Sonuçlar, iki piyasa arasında önemli bir etkileşim olduğunu ve her iki piyasanın da rastgele davranmadığını göstermektedir. Bu bağlantı, rastgele bir yürüyüşe (random walk) karşı makroekonomik politikaları belirlemek için oldukça önemlidir. Para politikası müdahalelerinin finansal piyasaların etkinliğini artırmada olumlu etkisinin olup olmadığı makalenin temel araştırma sorusudur. Araştırmaların bulgularına göre, her ne kadar hisse senedi fiyatları rastgele yürüyüşe göre hareket etse de, Etkin Piyasa Hipotezinin dayandığı gibi, bilgiye dayalı bir fiyat hareketi olduğu görülmektedir. İzleyen süreçte belirsizliğin nispeten azalması ve kötümser beklentiler nedeniyle Çin para piyasasının artık yükseliş eğiliminde olduğu söylenebilir.

Keywords

COVID-19, Döviz Piyasası, Borsa, Rastgele Yürüyüş, Etkin Piyasa Hipotezi (EMH)

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