The Time-Varying Impact of Covid-19 on Stock Returns: Evidence on Developed Countries from a Bootstrap Rolling Window Causality Method

Öz

This study examines the time-varying impact of the Novel Coronavirus (COVID-19) on stock returns by employing the bootstrap rolling window causality test. For this purpose, we use the daily data of COVID-19 confirmed cases and stock returns of six most hard-hit developed countries from the COVID-19 pandemic, namely France, Germany, Italy, Spain, the United Kingdom, and the United States. Before investigating the time-varying impact of COVID-19 on stock returns, we first examine the long-run relationship between COVID-19 confirmed cases and stock returns with the Kao panel cointegration method and we find that there exists a long-run relationship between variables. The bootstrap rolling window causality test results show that confirmed cases of COVID-19 have a time-varying impact on stock returns for each country. We also find that among the six developed countries in this study, the impact of daily COVID-19 confirmed cases on stock returns is the least in Germany, while it is the most in Italy. These results are thought to provide important information to market participants.

Anahtar Kelimeler

• Stock Return
• COVID-19
• Pandemic
• Kao Panel Cointegration
• Bootstrap Rolling Window Causality

COVID-19'un Hisse Senedi Getirileri Üzerindeki Zamanla Değişen Etkisi: Gelişmiş Ülkeler Üzerinde Bootstrap Rolling Window Nedensellik Yönteminden Kanıtlar

Öz

Bu çalışma, yeni Coronavirüs’ün (COVID-19) hisse senedi getirileri üzerindeki zaman içinde değişen etkisini bootstrap rolling window nedensellik testini kullanarak incelemektedir. Bu amaç için, Fransa, Almanya, İtalya, İspanya, Birleşik Krallık ve Amerika Birleşik Devletleri olmak üzere COVID-19 pandemisinden en çok etkilenen altı gelişmiş ülkenin COVID-19 teyit edilen vakaları ile hisse senedi getirilerinin günlük verileri kullanılmıştır. COVID-19'un hisse senedi getirileri üzerindeki zaman içinde değişen etkisi araştırılmadan önce, ilk olarak COVID-19 teyit edilmiş vakalar ile hisse senedi getirileri arasındaki uzun vadeli ilişki Kao panel eşbütünleşme yöntemi ile incelenmiş ve değişkenler arasında uzun vadeli bir ilişki olduğu bulunmuştur. Bootstrap rolling window nedensellik testi sonuçları, COVID-19 teyit edilmiş vakaların her ülke için hisse senedi getirileri üzerinde zaman içinde değişen bir etkiye sahip olduğunu göstermiştir. Ayrıca, bu çalışmadaki altı gelişmiş ülke arasında, günlük COVID-19 teyit edilen vakaların hisse senedi getirileri üzerindeki etkisinin Almanya'da en az, İtalya'da ise en fazla olduğu belirlenmiştir. Bu sonuçların piyasa katılımcılarına önemli bilgiler sağlayacağı düşünülmektedir.

Anahtar Kelimeler

• Hisse Senedi Getirisi
• COVID-19
• Pandemi
• Kao Panel Eşbütünleşme
• Bootstrap Rolling Window Nedensellik

Kaynakça

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