Covid-19 Çöküşü Sırasında Salgın ile ilgili Haberlerin Borsa Getirileri Üzerindeki Etkisi: Uluslararası Piyasalar Örneği

Yıl 2021, Sayı: 60, 217 - 240, 16.07.2021

Ömer Faruk Tan

Öz

Bu çalışma salgın haberlerinin uluslararası piyasaların getirileri üzerindeki etkisini kantil regresyon yöntemi kullanarak araştırmaktadır. Analiz için RavenPack veri platformu tarafından sağlanan medyatiklik endeksi, sahte haber endeksi, ülke duyarlılık endeksi, infodemi endeksi ve medya ilgi endeksi kullanılmıştır. Bu araştırmada 22 Ocak 2020’den 17 Nisan 2020’ye kadar günlük verilerle 80 ülkeden 2.996 gözlem kullanılmıştır. Analiz sonuçlarına göre Covid-19 ile ilgili haberlerin piyasa getirileri üzerindeki etkisinin kantiller arasında farklılık gösterdiğini, diğer bir deyişle haberler ve finansal piyasalar arasında asimetrik bir bağımlılık bulunmuştur. Medyada salgın ile haberlerin artmasıyla birlikte piyasa getirileri üzerindeki olumsuz etkisi düşük kantillerden yüksek kantillere doğru düşüş eğilimi göstermektedir. Covid-19’un neden olduğu finansal çöküşü hafifletmek için etkili iletişim kanallarının daha yoğun kullanılması gerekmektedir. Haberlerin finansal piyasalar üzerindeki etkisini yakalamak için, bu çalışma aynı zamanda ülkeleri Morgan Stanley Sınıflandırma İndeksine göre (MSCI, n.d.), gelişmiş, gelişmekte olan, sınır pazarları ve bağımsız pazarlar olarak ve coğrafi konumuna göre Avrupa, Kuzey ve Güney Amerika, Asya ve Ortadoğu ülkeleri olarak sınıflandırmıştır. Sonuçlar önceki bulgular ile tutarlılık göstermiş ve haberler ile finansal piyasalar arasındaki asimetrik bağımlılık sürmüştür.

Anahtar Kelimeler

Covid-19, uluslararası finansal piyasalar medyatiklik endeksi, ülke duyarlılık endeksi, medya ilgi endeksi, kantil regresyon

The Effect of Pandemic News on Stock Market Returns During the Covid-19 Crash: Evidence from International Markets

Öz

This study investigates the effect of pandemic-related news on stock market returns in international markets using the quantile regression method. The media hype index, fake news index, country sentiment index, infodemic index, and media coverage index provided by the RavenPack data platform are used for the analysis. In this research, 2,996 observations from 80 countries, consisting of daily data from January 22, 2020, to April 17, 2020, were used. The results show that the impact of Covid-19-related news on market returns varies among the quantiles of the stock market; in other words, there is an asymmetric dependency between the news and financial markets. With the increase in coverage about the pandemic in the media, the negative impact on market returns exhibits a decreasing trend from low quantiles to high quantiles. More intense use of effective communication channels is required to alleviate the financial crash caused by Covid-19. To capture the effect of the news on financial markets, this analysis also categorized countries according to the Morgan Stanley Classification Index (MSCI, n.d.), such as by developed, emerging, standalone, and frontier markets and by geographical location, including Europe, Africa, North and South America, Asia, and the Middle East. The results are consistent with the previous findings and the dependency between the news and financial markets remains asymmetric. 

Anahtar Kelimeler

Covid-19, financial markets media hype index, country sentiment index, media coverage index, quantile regression

Kaynakça

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