Türkiye Stock Market in the Shadow of COVID-19 Pandemic: A QARDL Approach

Abstract

This study examines the effects of the COVID-19 pandemic on the Türkiye stock market between March 14, 2020, and April 29, 2022, using the Quantile Autoregressive Distributed Lag (QARDL) model. The research investigates the relationship between the BIST100 index and selected economic indicators across quantiles ranging from 0.05 to 0.95. These indicators include daily new COVID-19 cases, the dollar exchange rate (FX), Brent crude oil prices (OIL), and credit default swap (CDS) rates. Findings indicate that an increase in COVID-19 cases has a negative impact on the stock market across various quantiles. While the dollar exchange rate generally shows a positive relationship with the BIST100 index, Brent crude oil prices, and CDS rates exhibit a negative impact. These results highlight the complex effects of both internal and external factors on the Türkiye stock market, providing significant insights for policymakers and future research.

Keywords

• QARDL
• COVID-19 Pandemic
• Credit Default Swaps
• Turkish Stock Market
• Crude oil
• Exchange Rate

COVID-19 Pandemisinin Gölgesinde Türk Borsası: Bir QARDL Yaklaşımı

Öz

Bu çalışma, 14 Mart 2020 ile 29 Nisan 2022 tarihleri arasında COVID-19 pandemisinin Türk borsası üzerindeki etkilerini, Kantil Otoregresif Dağıtılmış Gecikme (QARDL) modelini kullanarak incelemektedir. Araştırma, BIST100 endeksi ve seçilen ekonomik göstergeler arasındaki ilişkiyi 0,05'ten 0,95'e kadar değişen kantillerde inceler. Bu göstergeler COVID-19 günlük yeni vakaları, dolar kuru (FX), Brent petrol fiyatları (OIL) ve kredi temerrüt takası oranları (CDS)’dır. Bulgular, COVID-19 vakalarının artışının borsa üzerinde farklı kantillerde negatif bir etkisi olduğunu göstermektedir. Dolar kuru, BIST100 endeksi ile pozitif bir ilişki sergilerken, ham petrol fiyatları ve CDS oranları negatif bir etki göstermektedir. Bu sonuçlar hem içsel hem de dışsal etkenlerin Türk borsası üzerindeki etkilerini ve bu etkilerin karmaşıklığını ortaya koymakta, politika yapıcıları ve gelecekteki araştırmalar için önemli çıkarımlar sunmaktadır.

Anahtar Kelimeler

• COVID-19 Pandemisi
• Kredi Temerrüt Riski Takas Oranları
• BIST-100
• Brent Petrol
• Dolar Kuru
• QARDL

Kaynakça

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