The Impact of Macroeconomic Variables on The Stock Market in The Time of Covid-19: The Case of Turkey

Öz

Along with the ongoing efforts to understand the effects of the COVID-19 pandemic on economies through various simulations and forecasts, the severe trauma experienced in financial markets has already manifested itself in market data. Besides the uncertainty created by the pandemic, fluctuations in macroeconomic variables have increased volatility in the developed and emerging stock markets. In this context, this study aims to examine the effect of macroeconomic variables on the BIST 100 index before and during the COVID-19 pandemic. Hence, the effects of interest rate, exchange rate, CDS premium, VIX, and oil prices on BIST 100 are estimated using the Flexible Least Squares method, which allows for the time-varying coefficient estimation, for the period of 13 September 2019 to 11 September 2020. Empirical findings indicate that interest rate, VIX, and oil prices had significant effects on BIST 100 for certain periods. On the other hand, the exchange rate and CDS premium significantly and negatively affect BIST 100 in the whole sample. Moreover, it is determined that the exchange rate is the macroeconomic variable with the highest impact on BIST 100 based on the quantitative magnitude of the coefficients.

Anahtar Kelimeler

• BIST-100
• COVID-19
• Flexible least squares
• Macroeconomic variables

COVID-19 Döneminde Makroekonomik Değişkenlerin Borsa Üzerindeki Etkisi: Türkiye Örneği

Öz

COVID-19’un ekonomilerin geneli üzerindeki etkileri çeşitli simülasyonlar ve tahminler ile anlaşılmaya çalışılırken finansal piyasalarda yaşanan şiddetli travma piyasa verilerinde şimdiden kendini göstermiştir. Pandeminin yarattığı belirsizliğin yanı sıra makroekonomik değişkenlerdeki dalgalanmalar gelişmiş ve yükselen hisse senedi piyasalarındaki volatiliteyi arttırmıştır. Bu bağlamda çalışmanın amacı, COVID-19 öncesinde ve sırasında makroekonomik değişkenlerin BIST 100 endeksi üzerindeki etkisini incelemektir. Bu doğrultuda faiz oranı, döviz kuru, CDS primi, VIX ve petrol fiyatlarının BIST 100 üzerindeki etkisi 13 Eylül 2019 ve 11 Eylül 2020 arası dönem için zamanla değişen katsayı tahminine olanak sağlayan Esnek En Küçük Kareler yöntemiyle tahmin edilmiştir. Ampirik bulgulara göre, faiz oranı, VIX ve petrol fiyatlarının belirli dönemler için BIST 100 üzerinde anlamlı etkileri bulunmaktadır. Döviz kuru ve CDS primi ise BIST 100’ü örneklem dönemi boyunca anlamlı ve negatif yönde etkilemiştir. Bununla birlikte, katsayıların niceliksel boyutu açısından BIST 100 üzerinde en yüksek etkiye sahip makroekonomik değişken döviz kuru olmuştur.

Anahtar Kelimeler

• BIST 100
• COVID-19
• Esnek en küçük kareler
• Makroekonomik değişkenler

Kaynakça

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