The Relationship Between the Stock Market Volatility, Liquidity, Exchange Rate Return, and Stock Return During the COVID-19 Period: The case of the BIST 100 Index

Abstract

The COVID-19 Pandemic, emerged in China at the end of 2019, negatively affected many sectors on global scale. This study examined the period between March 11, 2020, when the first case was seen in Turkey, and May 23, 2022, when the pandemic measures were largely lifted. The study aims to research the relationship between stock exchange return, stock exchange volatility, liquidity, and exchange rate return; and to research the movement characteristics of selected variables in different regimes by using Markov Switching Method during the COVID-19 period. The results showed a negative correlation between the BIST-100 Index Return of Borsa Istanbul (BIST) and volatility and exchange rate returns. Simultaneously there is a positive correlation between the BIST-100 Index Return and liquidity. Furthermore, it has been determined that the data movements in the examined period occurred within the framework of two different regimes. It has been observed that the probability of the BIST-100 Index Return, volatility, and exchange rate returns to remain in the same regime is high, and the probability of switching from one regime to another is relatively low.

Keywords

• Volatility
• exchange rate
• BIST
• stock return
• emerging markets

COVİD-19 Döneminde Hisse Senedi Volatilitesi, Likidite, Döviz Kuru Getirisi Ve Hisse Senedi Getirisi Arasindaki İlişki: BİST-100 Örneği

Öz

2019 yılı sonunda Çin'de ortaya çıkan COVID-19 Pandemisi'nin küresel ölçekte pekçok sektör üzerinde olumsuz etkisi olmuştur. Bu çalışmada, Türkiye'de ilk COVID-19 vakasının görüldüğü 11 Mart 2020 ile salgın tedbirlerinin büyük ölçüde kaldırıldığı 23 Mayıs 2022 tarihleri arasındaki zaman dilimi incelenmiştir. Çalışma kapsamında, Markov Switching Yöntemi kullanılarak Borsa İstanbul’daki hisse senedi getirileri ile likidite, volatilite ve döviz kuru getirileri arasındaki ilişki incelenmiştir. Çalışmanın amacı, COVID-19 döneminde borsa getirisi, borsa oynaklığı, likidite ile döviz kuru getirisi arasındaki ilişkiyi ve seçilen değişkenlerin farklı ekonomik trendlerdeki hareket özelliklerini araştırmaktır. Sonuçlar, Borsa İstanbul’da (BIST) işlem gören BIST-100 endeks getirisi ile volatilite ve döviz kuru getirisi arasında negative yönlü bir korelasyon olduğunu göstermiştir. Aynı zamanda BIST-100 endeks getirisi ile likidite arasında pozitif yönlü bir korelasyon bulunmuştur. Ayrıca incelenen dönemde verilerin hareketlerinin iki farklı rejim çerçevesinde gerçekleştiği tespit edilmiştir. BIST-100 endeks getirisi, volatilite ve döviz kuru getirilerinin aynı rejimde kalma olasılığının yüksek, bir rejimden diğerine geçme olasılığının ise görece düşük olduğu görülmüştür.

Anahtar Kelimeler

• Volatilite
• döviz kuru
• BİST
• hisse senedi getirisi
• gelişmekte olan piyasalar

Kaynakça

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