@article{article_1775988, title={The Effect of COVID-19 Shocks on the Return and Volatility Structures of BIST Technology Companies: An Examination with the TVP-VAR Model}, journal={Malatya Turgut Özal Üniversitesi İşletme ve Yönetim Bilimleri Dergisi}, volume={6}, pages={270–285}, year={2025}, author={Bahar, Burak and Altemur, Necati and Özen, Üstün and Başaran, Murat}, keywords={Yönetim Bilişim Sistemleri, BİST Teknoloji, TVP-VAR}, abstract={This study examines the effects of the COVID-19 pandemic on the return and volatility dynamics of companies included in the Borsa Istanbul Technology Index (XUTEK). Using weekly stock data for ten firms (ASELS, KAREL, LINK, KRONT, NETAS, ALCTL, ARENA, DESPC, PKART, INDES) over the period January 2015–May 2025, we implement a Time-Varying Parameter Vector Autoregression (TVP-VAR) model. The TVP-VAR methodology is preferred due to its sensitivity to structural breaks, sudden shocks, and regime shifts that are frequently observed in financial markets. The findings indicate that NETAS, INDES, and ALCTL act as “shock transmitters” in the system, with high positive net spillover values, whereas LINK, PKART, and KRONT display “shock receiver” characteristics, with negative net spillover values. In addition, ASELS and KAREL appear to exert substantial control over their own volatilities, exhibiting greater resilience to crises. A comparative analysis of the pre- and post-COVID-19 periods reveals a general decline in returns across all firms; notably, LINK and KRONT experience the largest losses, whereas NETAS emerges as the least affected firm. The study offers important implications for both investors and policymakers. For investors, it underscores that portfolio diversification and allocating capital to firms with strong corporate structures can mitigate risks during crises; for policymakers, it highlights the critical need to safeguard financial stability, enhance information transparency, and adopt measures that bolster market confidence.}, number={2}, publisher={Malatya Turgut Özal Üniversitesi}