The Impact of Covid-19 on International Stock Markets

Öz

Stock markets are considered as an indicator of the economy, and social and economic problems also cause volatility in these markets. Covid-19, which emerged in China in late 2019 and turned from an epidemic to a pandemic, has affected social life, economy and financial system all over the world. The uncertainty, especially with the spread of the epidemic, caused excessive price declines and volatility in international stock markets. The purpose of this study is to examine the impact of Covid-19 on international stock markets and detect how Infectious Disease Equity Market Volatility Tracker (EMV-ID) index, the newly developed, which numerically shows the social impact of the pandemic, affects the volatility in international stock markets. In the study, it was considered 13 countries’ the stock market indices which they have the highest number of cases and deaths according to WHO data. In order to see the effect of Covid-19 more clearly, daily returns were examined between the date of the first case of each country and 30.09.2020 period. As a result of the EGARCH (1,1) model, it is concluded that different markets give different reactions, but the EMV-ID index has an increasing effect on volatility in most of the markets included in the analysis.

Anahtar Kelimeler

• Covid-19
• EMV-ID
• Stock Market
• Volatility

Covid-19'un Uluslararası Pay Piyasalarına Etkisi

Öz

Pay piyasaları, ekonominin bir göstergesi olarak sayılmakta, bunun yanında sosyal ve ekonomik sorunlar da bu piyasalarda volatiliteye neden olmaktadır. 2019’un sonlarında Çin’de ortaya çıkan ve epidemiden pandemiye dönüşen Covid-19, tüm dünyada sosyal hayatı, ekonomiyi ve finansal sistemi etkilemiştir. Özellikle salgının yayılmasıyla beraber yaşanan belirsizlik, uluslararası pay piyasalarında aşırı fiyat düşüşlerine ve volatiliteye neden olmuştur. Bu çalışmanın amacı, Covid-19’un uluslararası pay piyasalarına etkisini incelemek, yeni geliştirilen ve pandeminin toplumsal etkisini sayısal olarak gösteren “Salgın Hastalıklar Piyasa Volatilitesi Takipçisi” (Infectious Infectious Disease Equity Market Volatility Tracker – EMV-ID) endeksinin bu piyasalardaki volatiliteyi nasıl etkilediğini tespit etmektir. Çalışmada, WHO verilerine göre en fazla vaka ve ölüm sayısının olduğu 13 ülkenin pay piyasası endeksleri ele alınmıştır. Covid-19’un etkisinin daha net bir şekilde görülmesi için her ülkede ilk vakanın görüldüğü tarih ile 30.09.2020 arası dönemdeki günlük getiriler incelenmiştir. Yapılan EGARCH(1,1) modelinin sonucunda farklı piyasaların farklı tepkiler verdiği, ancak EMV-ID endeksinin analizde yer alan piyasaların birçoğunda volatiliteyi artırıcı etkiye sahip olduğu sonucuna ulaşılmıştır.

Anahtar Kelimeler

• EMV-ID
• Pay Piyasası
• Covid-19
• Volatilite

Kaynakça

1. Adıgüzel, M. (2020). Covid-19 pandemisinin Türkiye ekonomisine etkilerinin makroekonomik analizi. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 19(37), 191–221. Erişim adresi: https://dergipark.org.tr/tr/pub/iticusbe
2. Albulescu, C. (2020). Coronavirus and financial volatility: 40 days of fasting and fear. Capital Markets: Asset Pricing & Valuation eJournal, 1-7. doi:10.2139/ssrn.3550630
3. Albuquerque, R. A., Koskinen, Y. J., Yang, S. and Zhang, C. (2020). Love in the time of COVID-19: The resiliency of environmental and social stocks (CEPR Discussion Paper No. DP14661). doi:10.2139/ssrn.3583611
4. Alfaro, L., Chari, A., Greenland, A. and Schott, P. (2020). Aggregate and firm-level stock returns during pandemics, in real time (NBER Working Paper No. 26950). doi:10.3386/w26950
5. Ali, M., Alam, N. and Rizvi, S. A. R. (2020). Coronavirus (COVID-19) - An epidemic or pandemic for financial markets. Journal of Behavioral and Experimental Finance, 27, 100341. doi:10.1016/j.jbef.2020.100341
6. Altig, D., Baker, S., Barrero, J. M., Bloom, N., Bunn, P., Chen, S., Davis, S., ... Thwaites, G. (2020). Economic uncertainty before and during the COVID-19 pandemic (NBER Working Paper No. 27418). doi:10.3386/w27418
7. Ashraf, B. N. (2020). Stock markets’ reaction to COVID-19: Cases or fatalities? Research in International Business and Finance, 54, 101249. doi:10.1016/j.ribaf.2020.101249
8. Bai, L., Wei, Y., Wei, G., Li, X. and Zhang, S. (2020). Infectious disease pandemic and permanent volatility of international stock markets: A long-term perspective. Finance Research Letters, 101709. doi:10.1016/j.frl.2020.101709

9. Baker, S., Bloom, N., Davis, S., Kost, K., Sammon, M. and Viratyosin, T. (2020). The Unprecedented Stock Market Impact of COVID-19 (NBER Working Paper No. 26945). doi:10.3386/w26945
10. Barut, A. ve Yerdelen Kaygın, C. (2020). Covid-19 pandemisinin seçilmiş borsa endeksleri üzerine etkisinin incelenmesi [Özel Sayı]. Gaziantep Üniversitesi Sosyal Bilimler Dergisi, 19(COVID-19 Özel Sayısı), 59–70. doi:10.21547/jss.773237
11. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. doi:10.1016/0304-4076(86)90063-1
12. Breinlich, H., Leromain, E., Novy, D., Sampson, T. and Usman, A. (2018). The economic effects of Brexit: Evidence from the stock market. Fiscal Studies, 39(4), 581–623. doi:10.1111/1475-5890.12175
13. Brooks, C. (2014). Intoductry econometrics for finance (3rd Edition). Cambridge, MA: Cambridge University Press.
14. Burggraf, T., Fendel, R. and Huynh, T. L. D. (2020). Political news and stock prices: Evidence from Trump’s trade war. Applied Economics Letters, 27(18), 1485–1488. doi:10.1080/13504851.2019.1690626
15. Campello, M., Kankanhalli, G. and Muthukrishnan, P. (2020). Corporate hiring under COVID-19: labor market concentration, downskilling, and income inequality (NBER Working Paper No. 27208). doi:10.3386/w27208
16. Capelle-Blancard, G. and Desroziers, A. (2020). The stock market is not the economy? Insights from the COVID-19 crisis. CEPR Covid Economics, 28, 29-69. https://dx.doi.org/10.2139/ssrn.3638208
17. Çetin, A. C. (2020). Koronavirüs (Covid-19) salgınının türkiye’de genel ekonomik faaliyetlere ve hisse senedi borsa endeksine etkisi. Mehmet Akif Ersoy Üniversitesi Uygulamalı Bilimler Dergisi, 4(2), 341–362. doi:10.31200/makuubd.766901
18. Corbet, S., Larkin, C. and Lucey, B. (2020). The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies. Finance Research Letters, 35, 101554. doi:10.1016/j.frl.2020.101554
19. Demir, E., Bilgin, M. H., Karabulut, G. and Doker, A. C. (2020). The relationship between cryptocurrencies and COVID-19 pandemic. Eurasian Economic Review, 10, 349-360. doi:10.2139/ssrn.3585147
20. Dickey, D. A. and Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072. doi:10.2307/1912517
21. Duran, M. S. ve Acar, M. (2020). Bir virüsün dünyaya ettikleri: Covid-19 pandemisinin makroekonomik etkileri. International Journal of Social and Economic Sciences, 10(1), 54–67. Retrieved from http://www.ijses.org/
22. Enders, W. and Lee, J. (2012). A unit root test using a fourier series to approximate smooth breaks. Oxford Bulletin of Economics and Statistics, 74(4), 574–599. doi:10.1111/j.1468-0084.2011.00662.x
23. Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007. doi:10.2307/1912773
24. Fernandes, N. (2020). Economic effects of Coronavirus outbreak (COVID-19) on the World economy (IESE Business School Working Paper No. WP-1240-E). doi:10.2139/ssrn.3557504
25. Goodell, J. W. (2020). COVID-19 and finance: Agendas for future research. Finance Research Letters, 35, 101512. doi:10.1016/j.frl.2020.101512
26. Gopinath, G. (2020). The great lockdown: worst economic downturn since the Great Depression (IMF Press Release No. 20/98). Retrieved from https://blogs.imf.org/2020/04/14/the-great-lockdown-worst-economic-downturn-since-the-great-depression/
27. Gupta, R., Subramaniam, S., Bouri, E. and Ji, Q. (2021). Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities. International Review of Economics & Finance, 71, 289–298. doi:10.1016/j.iref.2020.09.019
28. Hacıevliyagil, N. ve Gümüş, A. (2020). Covid-19’un en etkili olduğu ülkelerde salgın-borsa ilişkisi [Özel Sayı]. Gaziantep Üniversitesi Sosyal Bilimler Dergisi, 19(COVID-19 Özel Sayı), 354-364. doi:10.21547/jss.742893
29. Haroon, O. and Rizvi, S. A. R. (2020). COVID-19: Media coverage and financial markets behavior—A sectoral inquiry. Journal of Behavioral and Experimental Finance, 27, 100343. doi:10.1016/j.jbef.2020.100343
30. Harvey, C. (2020). The economic and financial implications of COVID-19 [Video]. https://www.fma.org/virtual-seminar
31. Ichev, R. and Marinč, M. (2018). Stock prices and geographic proximity of information: Evidence from the Ebola outbreak. International Review of Financial Analysis, 56, 153–166. doi:10.1016/j.irfa.2017.12.004
32. Kargar, M., Lester, B., Lindsay, D., Liu, S., Weill, P. O. and Zúñiga, D. (2020). Corporate bond liquidity during the COVID-19 crisis (NBER Working Paper No. 27355). doi:10.3386/w27355
33. Keleş, E. (2020). Covid-19 ve BİST-30 endeksi üzerine kısa dönemli etkileri. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 42(1), 91-105. doi:10.14780/muiibd.763962
34. Kenourgios, D., Dadinakis, E. and Tsakalos, I. (2020). Brexit referendum and European stock markets: A sector analysis. Managerial Finance, 46(7), 913–933. doi:10.1108/MF-07-2019-0366
35. Kwan, S. H. and Mertens, T. M. (2020). Market assessment of COVID-19 ( FRBSF Economic Letter No: 2020–14). Retrieved from https://www.frbsf.org/economic-research/
36. Li, Y., Liang, C., Ma, F. and Wang, J. (2020). The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic. Finance Research Letters, 36, 101749. doi:10.1016/j.frl.2020.101749
37. Mishra, A. K., Rath, B. N. and Dash, A. K. (2020). Does the indian financial market nosedive because of the COVID-19 outbreak, in comparison to after demonetisation and the GST? Emerging Markets Finance and Trade, 56(10), 2162–2180. doi:10.1080/1540496X.2020.1785425
38. Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. doi:10.2307/2938260
39. Nippani, S. and Washer, K. M. (2004). SARS: A non-event for affected countries’ stock markets? Applied Financial Economics, 14(15), 1105–1110. doi:10.1080/0960310042000310579
40. Özden, Ü. H. (2008). İMKB bileşik 100 endeksi getiri volatilitesinin analizi. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 7(13), 339–350. .Erişim adresi: https://www.ticaret.edu.tr/
41. Phillips, P. C. B. and Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. doi:10.1093/biomet/75.2.335
42. Risteski, D., Sadoghi, A. and Davcev, D. (2013). Improving Predicting Power of EGARCH models for financial time series volatility by using google trend. Paper presented at the Proceedings of 2013 International Conference on Frontiers of Energy,Environmental Materials and Civil Engineering. Shangai, China. Retrieved from http://cstm.cnki.net/stmt/TitleBrowse/KnowledgeNet/XYSW201311001052?db=STMI8319
43. Sharif, A., Aloui, C. and Yarovaya, L. (2020). COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach. International Review of Financial Analysis, 70, 101496. doi:10.1016/j.irfa.2020.101496
44. Soylu, Ö. B. (2020). Türkiye ekonomisinde Covid-19’un sektörel etkileri. Avrasya Sosyal ve Ekonomi Araştırmaları Dergisi, 7(6), 169–185. Erişim adresi: https://dergipark.org.tr/tr/pub/asead
45. Tayar, T., Gümüştekin, E., Dayan, K. ve Mandi, E. (2020). Covid-19 krizinin Türkiye’deki sektörler üzerinde etkileri: Borsa İstanbul sektör endeksleri araştırması [Özel Sayı]. Yüzüncü Yıl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 1(6), 293–320. Erişim adresi: https://dergipark.org.tr/en/pub/yyusbed
46. Wagner, A., Zeckhauser, R. and Ziegler, A. (2017). Company stock reactions to the 2016 election shock: Trump, taxes and trade (NBER Working Paper No. 23152). Retrieved from https://www.nber.org/system/files/working_papers/w23152/w23152.pdf
47. Zeren, F. ve Hızarcı, A. (2020). Covid-19 Coronavirüsün hisse senedi piyasalarına etkisi: seçilmiş ülkelerden kanıtlar. Muhasebe ve Finans İncelemeleri Dergisi, 3(1), 78–84. doi:10.32951/mufider.706159
48. Zhang, D., Hu, M. and Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36, 101528. doi:10.1016/j.frl.2020.101528