Covid-19, Yatırımcı Duyarlılığı ve Pay Piyasaları Arasında Bulaşma Etkisi

Abstract

Bu çalışmada, finansal piyasalar arasında bulaşma etkisine neden olabilecek yatırımcı duyarlılığı, Covid-19 salgın dönemi için DCC-GARCH modeli ile incelenmektedir. Çalışmadan elde edilen bulgular, Dünya Sağlık Örgütü’nün Covid-19’u bulaşıcı bir salgın hastalık olarak ilan ettikten sonra ölüm oranı en düşük ve en yüksek ülkeler arasındaki zamanla değişen korelasyon katsayılarının arttığını göstermektedir. Çoğu durumda bulaşma etkinin olduğuna dair kanıtlar elde edilmiştir. Genel olarak, yatırımcı duyarlılığının Covid-19 salgın döneminde pay piyasaları arasındaki korelasyonu artırmak suretiyle bulaşma etkisine neden olduğu görülmektedir.

Keywords

• Pay Piyasası Korelasyonları
• Bulaşma Etkisi
• Yatırımcı Duyarlılığı
• Covid-19 Etkisi Çalışmaları

Covid-19, Investor Sentiment and Contagion Across Stock Markets

Abstract

This study examines investor sentiment which may trigger contagion in financial markets during the recent Covid-19 outbreak within a DCC-GARCH model. The results show that most of the time-varying correlations have risen after the Covid-19 outbreak until the WHO declared the disease as a global pandemic and most of the rise in correlations occurs within each group of countries/regions where the least and the most deaths took place. There is evidence of contagion in most cases. Overall, investor sentiment seems to give rise to contagion as the correlations between stock markets have increased during the global Covid-19 pandemic.

Keywords

• Equity Market Correlations
• Contagion
• Investor Sentiment
• Covid-19 Impact Studies

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