The Impact of the Covid-19 Crisis on Financial Markets: The Case of Turkey

Yıl 2020, , 506 - 519, 31.10.2020

Orhan Çoban , Özer Coşkun , Ayşe Çoban

https://doi.org/10.21547/jss.787158

Cited By: 7

Öz

The main purpose of this study, the example of Turkey Covid-19 is analyzing the effects of the financial market crisis. In this way, it has been tried to contribute to the literature on the effects of Covid-19 on the markets. Daily data for the period 16.03.2020-21.08.2020 were taken into account in the analyzes. In analyzing the relationships between variables, besides ADF Unit Root Test, Zivot-Andrews Unit Root Test with structural break and Toda-Yamamoto Causality Test were used. According to the ADF unit root test results, all variables were found to be stationary at the first level. According to the Zivot-Andrews test, although the degree of stability of the GOLD series is 2, when the correlogram of the series is examined, it is determined that the first difference is stationary.
Bivariate VAR models, one of which is the CASE (VAKA) variable and the other the financial variable, were created to determine the causality relationships between Covid-19 daily case numbers (VAKA) and other financial indicators. Schwarz Information Criterion (SIC) was used to determine lag lengths related to Toda-Yamamoto causality tests. According to the Toda-Yamamoto causality test results, a statistically significant causality was determined from the number of cases to the Euro and USD (Dollar) exchange rate.

Anahtar Kelimeler

Covid-19 Krizi, Finansal Piyasalar, Toda-Yamamoto nedensellik testi

Kaynakça

• Allianz. (2020). Her taşın altına bakmak: Covid-19’un sektör bazında olumsuz etkileri. Allianz Araştırmalar, https://www.eulerhermes.com/content/dam/onemarketing/ehndbx/eulerhermes_com/tr_TR/documents/allianz-rapor-dizgi.pdf, Erişim Tarihi: 24.04.2020.
• Baldwin, R. & Tomiura, E. (2020). Thinking ahead about the trade impact of COVID-19. 59-73. Economics in the time of COVID-19. Editörler: Baldwin, R., Weder di Mauro, B. 59-73, London: CEPR Press Centre for Economic Policy Research.
• Can Aktan, C. & Şen, H. (2001). Ekonomik kriz: Nedenler ve çözüm önerileri. Yeni Türkiye, Ekonomik Kriz Özel Sayısı, Kasım-Aralık, 42(II), 1225-1230.
• Demir, İ. (2020). Kovid-19 (Koronavirüs) salgınının ekonomik etkileri. Ankara: Uluslararası İlişkiler ve Stratejik Araştırmalar (ULİSA) Enstitüsü Yayını, Yayın No: 1.
• Dickey, D.A. & Fuller, W.A. (1979). Distributions of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427-431.
• Dickey, D.A. & Fuller, W.A. (1981). Likelihood ration statistics for autoregressive time series with a unit root. Econometrica, 49, 1057-1072.
• Eulerhermes. (2020). Sector reports, https://www.eulerhermes.com/en_global/economic-research/sector-reports.html, Erişim Tarihi: 24.04.2020.
• Göçer, O. & Hepkarşı, N. (2013). İhracat-büyüme ilişkisi: Yapısal kırılmalı bir analiz. Siyaset, Ekonomi ve Yönetim Araştırmaları Dergisi, 1(4), 57-87.
• Granger, C.W.J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424-438.
• Koç, E., Onulay, O. & Ulaş, A. (2020). COVID-19 etki analizi: Küresel bulgular ve alınabilecek aksiyonlar. https://www.ey.com/Publication/vwLUAssets/covid-19-etki-analizi/$File/covid-19_dunya-ve-turkiye-den-bulgular.pdf, Erişim Tarihi: 22.04.2020.
• Phillips, P.C.B & Perron, P. (1988). Testing for a unit root in time series regression, Biometrica, 75, 335-346.
• Sansa, N.A. (2020). The Impact of the COVID - 19 on the Financial Markets: Evidence from China and USA. Electronic Research Journal of Social Sciences and Humanities, 2(II), 29-39.
• Sarı, C. (2020). COVID-19 pandemi sürecinin ekonomik etkileri. https://www.researchgate.net/publication/340731418_COVID-19_Pandemi_Surecinin_Ekonomik_Etkileri, Erişim Tarihi: 01.06.2020.
• Toda, H.Y. & Yamamato, T. (1995). Statistical inference in vector autoregressions with possbly integrated process. Journal of Econometrics, 66, 225-250.
• Ümit, A. Ö. (2011). Türkiye’de cari işlemler açığının sürdürülebilirliğinin zaman serileri analizi ile değerlendirilmesi: 1992-2010 dönemi. Anadolu Üniversitesi Sosyal Bilimler Dergisi, 11(3), 135–148.
• Wang, W. & Enilov, M. (2020). The global impact of covid-19 on financial markets. Available at SSRN: https://ssrn.com/abstract=3588021, Erişim Tarihi: 01.06.2020.
• WHO (World Health Organization). (2020a). Coronavirus disease 2019 (Covid-19) situation report-51. https://www.who.int/docs/default-source/coronaviruse/situation-reports/20200311-sitrep-51-covid-19.pdf?sfvrsn=1ba62e57_10, Erişim Tarihi: 15.03.2020.
• WHO (World Health Organization). (2020b). WHO coronavirus disease (Covid-19) dashboard. https://covid19.who.int/, Erişim Tarihi: 26.08.2020.
• Yorulmaz, R. & Demirdöğen, O. (2020). Kovid-19 salgınının dünya ekonomilerine etkileri. Ankara: ORSAM- Ortadoğu Araştırmaları Merkezi Yayını, Yayın No: 242.
• Zeren, F. & Hızarcı, A.E. (2020). Kovid-19 Koronavirüsün hisse senedi piyasalarına etkisi: Seçilmiş ülkelerden kanıtlar. MUFİDER, 3(1), 78-84.
• Zivot, E. & Andrews, D.W.K. (1992). Further evidence on the great crash, the oil-price shock,and the unit-root hypothesis. Journal of Business & Economic Statistic, 10, 251-270.