COVID-19 PANDEMİSİ SIRASINDA BIST 100, FTSE 100, NIKKEI 225 VE S&P 500 ENDEKSLERİ ÜZERİNE BİR UYGULAMA

Öz

COVID-19 salgını, 21. yüzyılın en önemli krizlerinden biridir. Bu çalışma, 11 Mart 2020 ile 31 Aralık 2020 arasındaki salgın döneminde BIST 100, FTSE 100, NIKKEI 225 ve S&P 500 borsa endekslerinin davranışlarını incelemeyi, endekslerin salgına nasıl tepki verdiğini araştırmayı amaçlamıştır. Bu bağlamda, borsa endeksleri getirileri için Box-Jenkins modelleri ile ARCH/GARCH ailesinden beş model kullanılmıştır. Performans değerlendirmelerine göre, BIST 100 ve NIKKEI 225 endeksleri için ARCH; FTSE 100 ve S&P 500 endeksleri için EGARCH modeli en uygun model olarak belirlenmiştir. Ayrıca, her endekse ilişkin optimum model parametreleri kullanılarak örneklem dışı performans değerlendirmesi de sağlanmıştır.

Anahtar Kelimeler

• Değişen Varyans
• Getiri Serisi
• Zaman Serileri Analizi

AN APPLICATION ON BIST 100, FTSE 100, NIKKEI 225 AND S&P 500 INDICES DURING THE COVID-19 PANDEMIC

Öz

The COVID-19 pandemic is one of the most significant crises of the 21st century. This study aimed to examine the behavior of the BIST 100, FTSE 100, NIKKEI 225 and S&P 500 stock indices during the pandemic period between March 11, 2020, and December 31, 2020 and investigate the reaction of indices to the pandemic. In this context, Box-Jenkins models and five models from the ARCH/GARCH family were utilized for the stock indices return. According to performance evaluations, the most appropriate model for BIST 100 and NIKKEI 225 indices was ARCH and the one for FTSE 100 and S&P 500 indices was EGARCH. In addition, optimum model parameters for each index were used to enable out-of-sample performance evaluation.

Anahtar Kelimeler

• Heteroscedasticity
• Return Series
• Time Series Analysis

Kaynakça

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