COVID-19 Şoklarının BİST Teknoloji Şirketlerinin Getiri ve Volatilite Yapılarına Etkisi: TVP-VAR Modeliyle Bir İnceleme

Yıl 2025, Cilt: 6 Sayı: 2, 270 - 285, 23.10.2025

Burak Bahar , Necati Altemur , Üstün Özen , Murat Başaran

Öz

Bu çalışma, COVID-19 pandemisinin Borsa İstanbul Teknoloji Endeksi (XUTEK) kapsamındaki şirketlerin getiri ve volatilite dinamikleri üzerindeki etkilerini incelemeyi amaçlamaktadır. Ocak 2015-Mayıs 2025 dönemini kapsayan on firmanın (ASELS, KAREL, LINK, KRONT, NETAS, ALCTL, ARENA, DESPC, PKART, INDES) haftalık hisse senedi verileri kullanılarak Zamanla Değişen Parametreli Vektör Otoregresyon (TVP-VAR) modeli uygulanmıştır. TVP-VAR metodolojisi, finansal piyasalarda sıkça görülen yapısal kırılmalar, ani şoklar ve rejim değişimlerine duyarlılığı nedeniyle tercih edilmiştir. Bulgular, NETAS, INDES ve ALCTL şirketlerinin yüksek pozitif net değerleriyle sistemde “şok yayıcı” konumda olduğunu; LINK, PKART ve KRONT firmalarının ise negatif net değerleriyle “şok alıcı” niteliği taşıdığını göstermektedir. Ayrıca ASELS ve KAREL firmalarının kendi oynaklıklarını büyük ölçüde kontrol ederek krizlere karşı daha dirençli bir yapı sergilediği belirlenmiştir. COVID-19 öncesi ve sonrası dönemlerin karşılaştırmalı analizi, genel olarak tüm firmalarda getirilerin düştüğünü, özellikle LINK ve KRONT’un en yüksek kayıpları yaşarken NETAS’ın en az etkilenen firma olduğunu ortaya koymaktadır. Çalışma hem yatırımcılar hem de politika yapıcılar için önemli çıkarımlar sunmaktadır. Yatırımcılar açısından portföy çeşitlendirmesinin ve güçlü kurumsal yapıya sahip firmalara yönelmenin kriz dönemlerinde riskleri azaltabileceği vurgulanırken; politika yapıcılar için ise finansal istikrarı korumak, bilgi şeffaflığını artırmak ve piyasa güvenini destekleyecek önlemler almak kritik bir gereklilik olarak öne çıkmaktadır.

Anahtar Kelimeler

Yönetim Bilişim Sistemleri , BİST Teknoloji , TVP-VAR

Etik Beyan

Bu araştırma, Giresun Üniversitesi Sosyal Bilimler, Eğitim, Fen ve Mühendislik Bilimleri Araştırmaları Etik Kurulu’nun 02.07.2025 tarih ve 07/385 sayılı kararı ile etik açıdan uygun bulunmuştur.

The Effect of COVID-19 Shocks on the Return and Volatility Structures of BIST Technology Companies: An Examination with the TVP-VAR Model

Öz

This study examines the effects of the COVID-19 pandemic on the return and volatility dynamics of companies included in the Borsa Istanbul Technology Index (XUTEK). Using weekly stock data for ten firms (ASELS, KAREL, LINK, KRONT, NETAS, ALCTL, ARENA, DESPC, PKART, INDES) over the period January 2015–May 2025, we implement a Time-Varying Parameter Vector Autoregression (TVP-VAR) model. The TVP-VAR methodology is preferred due to its sensitivity to structural breaks, sudden shocks, and regime shifts that are frequently observed in financial markets. The findings indicate that NETAS, INDES, and ALCTL act as “shock transmitters” in the system, with high positive net spillover values, whereas LINK, PKART, and KRONT display “shock receiver” characteristics, with negative net spillover values. In addition, ASELS and KAREL appear to exert substantial control over their own volatilities, exhibiting greater resilience to crises. A comparative analysis of the pre- and post-COVID-19 periods reveals a general decline in returns across all firms; notably, LINK and KRONT experience the largest losses, whereas NETAS emerges as the least affected firm. The study offers important implications for both investors and policymakers. For investors, it underscores that portfolio diversification and allocating capital to firms with strong corporate structures can mitigate risks during crises; for policymakers, it highlights the critical need to safeguard financial stability, enhance information transparency, and adopt measures that bolster market confidence.

Anahtar Kelimeler

Management Information Systems , BIST Technology , TVP-VAR

Etik Beyan

The research was found ethically appropriate by the Giresun University Social Sciences, Education, Science and Engineering Research Ethics Committee, with the ethics committee decision dated July 2, 2025, and numbered 07/385.

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