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

Yıl 2020, Cilt: 5 Sayı: 3, 893 - 912, 31.12.2020
https://doi.org/10.30784/epfad.810630

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.

Kaynakça

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  • Akbaş, Y., Zeren, F. and Özekicioğlu, H. (2013). Türkiye’de parasal aktarım mekanizması: Yapısal VAR analizi [Money transmission mechanism in Turkey: structural VAR analysis]. Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 14(2), 187-198. Retrieved from https://dergipark.org.tr/cumuiibf
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  • Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A. and Alhammadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 27. https://doi.org/10.1016/j.jbef.2020.100326
  • Apergis, N. and Apergis, E. (2020). The role of Covid-19 for Chinese stock returns: evidence from a GARCHX model. Asia-Pacific Journal of Accounting & Economics, Advance online publication. https://doi.org/10.1080/16081625.2020.1816185
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  • Cao, K. H., Li, Q., Liu, Y. and Woo, C-K. (2020). Covid-19’s adverse effects on a stock market index. Applied Economics Letters, 1-5. https://doi.org/10.1080/13504851.2020.1803481
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  • Çatık, A. N. (2020). A time-varying VAR investigation of the relationship among electricity, fossil fuel prices and exchange rate in Turkey. Romanian Journal of Economic Forecasting, 23(3), 60-77. Retrieved from http://www.rjef.ro/
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COVID-19 Döneminde Makroekonomik Değişkenlerin Borsa Üzerindeki Etkisi: Türkiye Örneği

Yıl 2020, Cilt: 5 Sayı: 3, 893 - 912, 31.12.2020
https://doi.org/10.30784/epfad.810630

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.

Kaynakça

  • Acikalin, S., Aktaş, R. and Unal, S. (2008). Relationships between stock markets and macroeconomic variables: an empirical analysis of the Istanbul Stock Exchange. Investment Management and Financial Innovations, 5(1), 8-16. Retrieved from https://businessperspectives.org/
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  • Kandil Göker, İ. E., Eren, B. S. and Karaca, S. S. (2020). The impact of the COVID-19 (Coronavirus) on the Borsa Istanbul sector index returns: an event study [Special Issue]. Gaziantep University Journal of Social Sciences, 14-41. Retrieved from https://dergipark.org.tr/jss
  • Kandir, S. Y. (2008). Macroeconomic variables, firm characteristics and stock returns: evidence from Turkey. International Research Journal of Finance and Economics, 16, 35-45. Retrieved from https://www.internationalresearchjournaloffinanceandeconomics.com/
  • Kaya, A. ve Coşkun, A. (2015). VIX endeksi menkul kıymet piyasalarının bir nedeni midir? Borsa İstanbul örneği [Is VIX index causality stock exchange? Istanbul stock exchange example]. Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 16(1), 175-186. Retrieved from https://dergipark.org.tr/cumuiibf
  • Kaya, V., Çömlekçi, İ. ve Kara, O. (2013). Hisse senedi getirilerini etkileyen makroekonomik değişkenler 2002-2012 Türkiye örneği. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 35, 167-176. Retrieved from https://dergipark.org.tr/dpusbe
  • Keleş, E. (2020). COVID-19 ve BİST-30 endeksi üzerine kısa dönemli etkileri [COVID-19 and its shortterm impacts on BIST-30 index]. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 42(1), 91-105. https://doi.org/10.14780/muiibd.763962
  • Khan, K., Zhao, H., Zhang, H., Yang, H., Shah, M. H. and Jahanger, A. (2020). The impact of COVID-19 pandemic on stock markets: an empirical analysis of world major stock indices. Journal of Asian Finance, Economics and Business, 7(7), 463-474. https://doi.org/10.13106/jafeb.2020.vol7.no7.463
  • Kılıç, Y. (2020). Borsa İstanbul’da COVID-19 (Koronavirüs) etkisi [The effect of COVID-19 (Coronavirus) in Borsa Istanbul]. Journal of Emerging Economies and Policy, 5(1), 66-77. Retrieved from https://dergipark.org.tr/joeep
  • Konuşkan, A. ve Kocabıyık, T. (2019). Altın, petrol, döviz ve borsa endeksi arasındaki ilişkinin nedensellik analizi ile keşfi: Türkiye örneği [Discovery of interdependence among gold, oil, foreign exchange and stock market index: the case of Turkey]. International Journal of Business, Economics and Management Perspectives, 3(1), 1-19. Retrieved from http://www.ijbemp.com/
  • Lee, K. Y-M., Jais, M. and Chan, C-W. (2020). Impact of COVID-19: evidence from Malaysian stock market. International Journal of Business and Society, 21(2), 607-628. Retrieved from http://www.ijbs.unimas.my/
  • Lumsdaine, R. L. and Papell, D. H. (1997). Multiple trend breaks and the unit root hypothesis. The Review of Economics and Statistics, 79(2), 212-218. Retrieved from https://www.jstor.org/
  • Maysami, R. C., Howe, L. C. and Hamzah, M. A. (2004). Relationship between macroeconomic variables and stock market indices: Cointegration Evidence from Stock Exchange of Singapore’s all-s sector indices. Jurnal Pengurusan, 24, 47-77. Retrieved from http://ejournal.ukm.my/
  • Mishra, A. K. (2004). Stock market and foreign exchange market in India: Are they related?. South Asia Economic Journal, 5(2), 209-232. https://doi.org/10.1177/139156140400500202
  • Montana, G., Triantafyllopoulos, K. and Tsagaris, T. (2009). Flexible least squares for temporal data mining and statistical arbitrage. Expert Systems with Applications, 36, 2819-2830. https://doi.org/10.1016/j.eswa.2008.01.062
  • Ocakverdi, E. (2019, 1 February). Time varying parameter estimation with flexible least squares and the tvpuni add-in [Blog post]. Retrieved from http://blog.eviews.com/2019/02/time-varyingparameter-estimation-with.html
  • Öztürk, Ö., Şişman, M. Y., Uslu, H. and Çıtak, F. (2020). Effects of COVID-19 outbreak on Turkish stock market: A sectoral-level analysis. Hitit University Journal of Social Sciences Institute, 13(1), 56-68. https://doi.org/10.17218/hititsosbil.728146
  • Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361-1401. Retrieved from https://www.jstor.org/
  • Poyraz, E. ve Tepeli, Y. (2015). Seçilmiş makro ekonomik göstergelerin Borsa İstanbul Xu100 endeksi üzerindeki etkisinin analizi [Analysis of the impact of selected macroeconomic indicators on Istanbul stock exchange Xu100 index]. PARADOKS Ekonomi, Sosyoloji ve Politika Dergisi, 11(2), 102-128. Retrieved from https://dergipark.org.tr/paradoks
  • Sakarya, Ş. ve Akkuş, H. T. (2018). BİST-100 ve BİST sektör endeksleri ile VIX endeksi arasındaki ilişkisinin analizi [Analysis of relationship between BIST-100 and BIST sector indices with VIX index]. Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 21(40), 351-373. http://doi.org/10.31795/baunsobed.492470
  • Sancar, C., Uğur, A. ve Akbaş, Y. E. (2017). Hisse senedi fiyat endeksi ile makroekonomik değişkenler arasındaki ilişkinin analizi: Türkiye örneği [The analysis of the relationship between stock price index and the macroeconomic variables: Turkey example]. International Journal of Social Sciences and Education Research, 3(5), 1774-1786. Retrieved from https://dergipark.org.tr/ijsser
  • Sandal, M., Çemrek, F. ve Yıldız, Z. (2017). BİST 100 endeksi ile altın ve petrol fiyatları arasındaki nedensellik ilişkisinin incelenmesi [Analysis on the causality relationship between gold and oil prices and the BIST 100 index]. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 26(3), 155-170. Retrieved from https://dergipark.org.tr/cusosbil
  • Sevinç, E. (2014). Makroekonomik değişkenlerin, BIST-30 endeksinde işlem gören hisse senedi getirileri üzerindeki etkilerinin arbitraj fiyatlama modeli kullanarak belirlenmesi [Determination of the impact of macroeconomic variables on stock returns traded on BIST-30 by using arbitrage pricing theory]. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 43(2), 271-292. Retrieved from https://dergipark.org.tr/ibr
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  • Yiğiter, Ş. Y., Karabulut, T. ve Sarı, S. S. (2018). Sınai endeksini etkileyen makroekonomik faktörler ve arbitraj fiyatlama modeli: Borsa İstanbul örneği [Macroeconomics factors affecting industrial index and arbitrage pricing theory: sample of Istanbul stock exchange]. International Journal of Economic Studies, 4(1), 21-28. Retrieved from https://dergipark.org.tr/ead
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Toplam 68 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Ekonomi
Bölüm Makaleler
Yazarlar

Ali İlhan 0000-0001-6201-5353

Coşkun Akdeniz 0000-0002-3973-754X

Yayımlanma Tarihi 31 Aralık 2020
Kabul Tarihi 29 Aralık 2020
Yayımlandığı Sayı Yıl 2020 Cilt: 5 Sayı: 3

Kaynak Göster

APA İlhan, A., & Akdeniz, C. (2020). The Impact of Macroeconomic Variables on The Stock Market in The Time of Covid-19: The Case of Turkey. Ekonomi Politika Ve Finans Araştırmaları Dergisi, 5(3), 893-912. https://doi.org/10.30784/epfad.810630