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COVID-19 SALGINININ S&P 500 ENDEKSİ OYNAKLIĞI ÜZERİNDEKİ ETKİSİ

Year 2022, Issue: 35, 47 - 60, 30.04.2022
https://doi.org/10.18092/ulikidince.939798

Abstract

Yeni tip bir koronavirüs hastalığı (COVID-19) yakın tarihte yalnızca benzeri görülmemiş bir sağlık krizi değil, aynı zamanda küresel ekonomiyi etkisi altına alan en maliyetli pandemilerden biri olması bekleniyor. Son yapılan çalışmalar, COVID-19 salgınının bulaşıcılık etkisi ile finansal piyasaların oynaklığını arttırdığını gösteriyor. Bu çalışma, COVID-19 salgınının S&P 500 endeksi hisse senedi getirilerinin oynaklığı üzerindeki etkisini incelemeyi amaçlamaktadır. Bu amaçla hisse senedi getirilerinin oynaklığı 21 Ocak 2020 ile 09 Nisan 2021 dönemleri arası günlük veriler kullanılarak GARCH-X modeli ile analiz edilmiştir. GARCH-X modeli COVID-19 faktörünü koşullu ortalama ve varyans denklemlerine bir dışsal değişken olarak ilave edilmesine izin vermektedir. Bulgular, ABD’de günlük olarak bildirilen COVID-19 vakalarının kısa dönemde hisse senedi getirileri üzerinde istatistiksel olarak anlamlı bir etkiye sahip değildir. Ancak, sonuçlar COVID-19 salgınının hisse senedi getirilerinin oynaklığı üzerinde pozitif ve istatistiksel olarak anlamlı bir etkiye sahip olduğunu göstermektedir. Genel olarak, sonuçlar COVID-19 salgınının hisse senedi getirilerinin oynaklığı üzerinde ciddi bir etkisi olabileceğine işaret etmektedir.

References

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  • Rai, K. ve Garg, B. (2021). Dynamic Correlations and Volatility Spillovers Between Stock Price and Exchange Rate in BRIICS Economies: Evidence from the COVID-19 Outbreak Period. Applied Economics Letters, 1-7.
  • Salisu, A. A., Ebuh, G. U. ve Usman, N. (2020). Revisiting Oil-Stock Nexus During COVID-19 Pandemic: Some Preliminary Results. International Review of Economics & Finance, 69, 280-294.
  • Sharma, S. S. (2020). A Note on the Asian Market Volatility During the COVID-19 Pandemic. Asian Economics Letters, 1(2), 1-6.
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  • WHO. (2020c). WHO Director – General’s Opening Remarks at the Media Briefing on COVID-19. Erişim Adresi https://www.who.int/director-general/speeches/detail/who-director-general-s-opening-remarks-at-the-media-briefing-on-covid-19---11-march-2020
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  • Zakoian, J. M. (1994). Threshold Heteroskedastic Models, Journal of Economic Dynamics and Control, 18, 931-955.
  • Zaremba, A., Kizys, R., Aharon, D. Y. ve Demir, E. (2020). Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility Around the Globe. Finance Research Letters, 35, 1-7.
  • Zhang, D., Hu, M. ve Ji, Q. (2020). Financial Markets under the Global Pandemic of COVID-19. Finance Research Letters, 36, 1-6.
Year 2022, Issue: 35, 47 - 60, 30.04.2022
https://doi.org/10.18092/ulikidince.939798

Abstract

References

  • Akhtaruzzaman, M., Boubaker, S. ve Sensoy, A. (2021). Financial Contagion During COVID-19 Crisis. Finance Research Letters, 38, 1-20.
  • Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A. ve Alhammadi, S. (2020). Death and Contagious Infectious Diseases: Impact of the COVID-19 Virus on Stock Market Returns. Journal of Behavioral and Experimental Finance, 27, 1-5.
  • Ali, M., Alam, N. ve Rizvi, S. A. R. (2020). Coronavirus (COVID-19) – An Epidemic or Pandemic for Financial Markets. Journal of Behavioral and Experimental Finance, 27, 1-6.
  • Apergis, N. (1998). Stock Market Volatility and Deviations from Macroeconomic Fundamentals: Evidence from GARCH and GARCH-X Models. Credit and Capital Markets, 3(3), 400-412.
  • Apergis, N. ve Apergis, E. (2020). The Role of Covid-19 for Chinese Stock Returns: Evidence from A GARCHX Model. Asia-Paific Journal of Accounting & Economics, 1-9.
  • Ashraf, B. N. (2020). Stock Markets’ Reaction to COVID-19: Case sor Fatalities?. Research in International Business and Finance, 54, 1-18.
  • Baek, S., Mohanty, S. K. ve Glambosky, M. (2020). COVID-19 and Stock Market Volatility: An Industry Level Analysis. Finance Research Letters, 37, 1-10.
  • Baig, A. S., Butt, H. A., Haroon, O. ve Rizvi, S. A. R. (2021). Deaths, Panic, Lockdowns and US Equity Markets: The Case of COVID-19 Pandemic. Finance Research Letters, 38, 1-9.
  • Bloomberg. (2020). Stocks Jump With Wall Street Seeing “Crazy Swings”:Markets Wrap. Erişim Adresi https://www.bloomberg.com/news/articles/2020-03-16/rout-to-extend-in-asia-after-u-s-stocks-drop-12-markets-wrap
  • Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327.
  • Brooks, C. (2014). Introductory Econometrics for Finance (3. Baskı). New York: Cambridge University Press.
  • Dickey, D. A. ve Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74(366), 427-431.
  • Domenech, A. B., Montalvo, J. G., Nagel, R. ve Satorra, A. (2002). One, Two, (Three), Infinity,…:Newspaper and Lab Beauty-Contest Experiments. American Economic Review, 92(5), 1687-1701.
  • Duffy, J. ve Nagel, R. (1997). On the Robustness of Behaviour in Experimental Beauty Contest Games. The Economic Journal, 107, 1684-1700.
  • Engle, R. F. (1982). Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation, Econometrica, 50, 987-1008.
  • Engle, R. F., Lilien, D. M. ve Robins, R. P. (1987). Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model. Econometrica, 55 (2), 391-407.
  • Engle, R. F., Ng, V. K., ve Rothschild, M. (1990). Asset Pricing with a Factor-ARCH Covariance Structure: Empirical Estimates for Treasury Bills. Journal of Econometrics, 45 (2), 213-237.
  • Engelhardt, N., Krause, M., Neukirchen, D. ve Posch, P. N. (2021). Trust and Stock Market Volatility During the COVID-19 Crisis. Finance Research Letters, 38, 1-6.
  • Ftiti, Z., Ameur, H. B. ve Louhichi, W. (2021). Does Non-Fundamental News Related to COVID-19 Matter for Stock Returns? Evidence from Shanghai Stock Market. Economic Modelling, 99, 1-9.
  • Harjoto, M. A., Rossi, F., Lee, R. ve Sergi, B. S. (2020). How do Equity Markets React to COVID-19? Evidence from Emerging and Developed Countries. Journal of Economics and Business, 1-15.
  • Haroon, O. ve Rizvi, S. A. R. (2020). COVID-19: Media Coverage and Financial Markets Behavior – A Sectoral Inquiry. Journal of Behavioral and Experimental Finance, 27, 1-5.
  • Iyke, B. N. (2020). COVID-19: The Reaction of US Oil and Gas Producers to the Pandemic. Energy Research Letters, 1(2), 1-7.
  • Mazur, M., Dang, M. ve Vega, M. (2021). COVID-19 and the March 2020 Stock Market Crash. Evidence from S&P 1500. Finance Research Letters, 38, 1-20.
  • Narayan, P. K., Phan, D. H. B. ve Liu, G. (2021). COVID-19 Lockdowns, Stimulus Packages, Travel Bans, and Stock Returns. Finance Research Letters, 38, 1-7.
  • Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
  • OECD. (2020). Tourism Policy Responses to the coronavirus (COVID-19). Erişim Adresi https://www.oecd.org/coronavirus/policy-responses/tourism-policy-responses-to-the-coronavirus-covid-19-6466aa20/
  • Rai, K. ve Garg, B. (2021). Dynamic Correlations and Volatility Spillovers Between Stock Price and Exchange Rate in BRIICS Economies: Evidence from the COVID-19 Outbreak Period. Applied Economics Letters, 1-7.
  • Salisu, A. A., Ebuh, G. U. ve Usman, N. (2020). Revisiting Oil-Stock Nexus During COVID-19 Pandemic: Some Preliminary Results. International Review of Economics & Finance, 69, 280-294.
  • Sharma, S. S. (2020). A Note on the Asian Market Volatility During the COVID-19 Pandemic. Asian Economics Letters, 1(2), 1-6.
  • WHO. (2020a). Pneumonia of Unknown Cause – China. Erişim Adresi https://www.who.int/csr/don/05-january-2020-pneumonia-of-unkown-cause-china/en/
  • WHO. (2020b). Novel Coronavirus - China Erişim Adresi https://www.who.int/csr/don/12-january-2020-novel-coronavirus-china/en/
  • WHO. (2020c). WHO Director – General’s Opening Remarks at the Media Briefing on COVID-19. Erişim Adresi https://www.who.int/director-general/speeches/detail/who-director-general-s-opening-remarks-at-the-media-briefing-on-covid-19---11-march-2020
  • Worldometer. (2021). Reported Cases and Deaths by Country or Territory. Erişim Adresi https://www.worldometers.info/coronavirus/?utm_campaign=homeAdvegas1?%22%20%5Cl%20%22countries#countries
  • Zakoian, J. M. (1994). Threshold Heteroskedastic Models, Journal of Economic Dynamics and Control, 18, 931-955.
  • Zaremba, A., Kizys, R., Aharon, D. Y. ve Demir, E. (2020). Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility Around the Globe. Finance Research Letters, 35, 1-7.
  • Zhang, D., Hu, M. ve Ji, Q. (2020). Financial Markets under the Global Pandemic of COVID-19. Finance Research Letters, 36, 1-6.
There are 36 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Articles
Authors

Emre Ürkmez 0000-0002-2171-5027

Publication Date April 30, 2022
Published in Issue Year 2022 Issue: 35

Cite

APA Ürkmez, E. (2022). COVID-19 SALGINININ S&P 500 ENDEKSİ OYNAKLIĞI ÜZERİNDEKİ ETKİSİ. Uluslararası İktisadi Ve İdari İncelemeler Dergisi(35), 47-60. https://doi.org/10.18092/ulikidince.939798

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