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COVID-19 Krizi’nin Türkiye ve G7 Ülkelerinin Borsa Oynaklıkları Üzerindeki Etkisi

Yıl 2021, Cilt 16, Sayı 2, 446 - 462, 01.08.2021
https://doi.org/10.17153/oguiibf.884895

Öz

COVID-19 virüsü başlangıçta bir sağlık krizi olarak ortaya çıkmış fakat kısa sürede bir ekonomik ve finansal krize dönüşmüştür. Salgın, ülke ekonomilerini COVID-19 vaka sayıları ile doğru orantılı bir şekilde etkilemiştir. Bu bağlamda çalışmanın amacı, COVID-19 vaka sayılarının yüksek olduğu ve ekonomik olarak güçlü olan G7 ülkeleri ve Türkiye için COVID-19 krizinin bu ülkelerin hisse senedi piyasalarının oynaklıkları üzerindeki etkisini sınamaktır. EGARCH(1,1) modeli ile gerçekleştirilen analiz 11 Mart 2020/ 15 Ocak 2021 tarihlerini kapsamaktadır. Model sonuçlarına göre COVID-19 krizi Fransa, Japonya, Kanada ve Türkiye’nin hisse senedi piyasalarının oynaklıklarını arttırmaktadır.

Kaynakça

  • Akhtaruzzaman, M.; Boubaker, S.; Sensoy, A. (2021), “Financial Contagion during COVID-19 Crisis”, Finance Research Letters, C. 38, S.101604: 1-20.
  • Baek, S.; Mohanty, S.K.; Glambosky, M. (2020), “COVID-19 and Stock Market Volatility: An Industry Level Analysis”, Finance Research Letters, C. 37, S.101748: 1-10.
  • Baek, S.; Lee, K.Y. (2021), “The Risk Transmission of COVID-19 in the US Stock Market”, Applied Economics, DOI: 10.1080/00036846.2020.1854668.
  • Baker, S.; Bloom, N.; Davis, S.J.; Kost, K.; Sammon, M.; Viratyosin, T. (2020), “The Unprecedented Stock Market Impact of COVID-19”, CEPR Covid Economics Review, NBER Working Paper No. w26945.
  • Baumöhl E.; Výrost T. (2010), “Stock Market Integration: Granger Causality Testing with Respect to Nonsynchronous Trading Effects”, Czech Journal of Economics and Finance, C.60, S.5: 414–425.
  • Bauwens, L.; Laurent, S.; Rombouts, J.V.K. (2006), “Multivariate GARCH Models: A Survey”, Journal of Applied Econometrics, C.21: 79-109.
  • Bollerslev, T.; Engle, R.F.; Wooldridge, J.M. (1988), “A Capital Asset Pricing Model with Time- Varying Covariances”, C.96, S.1: 116-131.
  • Campbell J.Y.; Lo A.W.; MacKinlay A.C. (1997), “The Econometrics of Financial Markets”, Princeton University Press, New Jersey.
  • Chen, C.; Liu, L.; Zhao, N. (2020), “Fear Sentiment, Uncertanity, and Bitcoin Price Dynamics: The Case of COVID-19, Emerging Markets Finance and Trade, C.56, S.10: 2298-2309.
  • Corbet, S.; Larkin, C.; Lucay, B. (2020), “The Contagion Effects of The COVID-19 Pandemic: Evidence from Gold and Cryptocurrencies”, Finance Research Letters, C. 37, S.101554: 1-7.
  • Dutta, A.; Das, D.; Jana, R.K.; Vo, X.V. (2020), “COVID-19 and Oil Market Crash: Revisiting The Safe Haven Property of Gold and Bitcoin”, Resources Policy, C.69, S. 101816: 1-6.
  • Engle, R.F.; Granger, C.W.J.; Kraft, D.F. (1984), “Combining Competing Forecasts of Inflation Using A Bivariate ARCH Model”, Journal of Economic Dynamics and Control, C. 8: 151-165.
  • Engle, R.F.; Kroner, K.F. (1995), “Multivariate Simultaneous Generalized Arch”, Econometric Theory, C.11, S.1: 122-150.
  • Eun C.S.; Shim S. (1989), “International Transmission of Stock Market Movements”, The Journal of Financial and Quantitative Analysis, C.24, S.2: 241-256.
  • Gormsen, N.J.; Koijen, R.S.J. (2020), “Coronavirüs: Impact on Stock Prices and Growth Expectations, NBER Working Papers, No. 27387: 1-46.
  • Gunay, S. (2020), “A New Form of Financial Contagion: COVID-19 and Stock Market Responses”, http://ssrn.com/abstract=3584243, (Erişim: 3 Aralık 2020).
  • Haroon, O.; Rizvi, S.A.R. (2020), “Flatten the Curve and Stock Market Liquity- An Inquiry into Emerging Economies, Emerging Markets Finance and Trade, C.56, S.10: 2151-2161.
  • Herwartz, H. (2004), “Conditional Heteroskedasticity”, (Ed. Lütkepohl ve Krätzig), Applied Time Series Econometrics, United States of America: Cambridge University Press: 197-220.
  • Li, C.S. (2012), “Common Persistance in Conditional Variance: A Reconsideration”, Economic Modelling, C.29, S.5: 1809-1819.
  • Mishra, A.K.; Rath, B.N.; Dash, A.K. (2020), “Does the Indian Financial Market Nosedive Because of the COVID-19 Outbreak, in Comparison to After Demonetisation and the GST?”, Emerging Markets Finance and Trade, C.56, S.10: 2162-2180.
  • Olbrys J. (2013), “Price and Volatility Spillovers in the Case of Stock Markets Located in Different Time Zones”, Emerging Markets Finance and Trade, C.49, S.2: 145-157.
  • Olbrys J.; Majewska E. (2014), “Quantitative Identification of Crisis Periods on the Major European Stock Markets”, La Pensée, C.76, S.1: 254–260.
  • Olbrys J.; Majewska E. (2017), “Asymmetry Effects in Volatility on the Major European Stock Markets: the EGARCH Based Approach”, Quantitative Finance and Economics, C.1, S.4: 411-427.
  • Parabheesh, K.P.; Garg, B.; Padhan, R. (2020a), “Time-Varying Dependence Between Stock Markets and Oil Prices During COVID-19: The Case of Net Oil-Exporting Countries”, Economics Bulletin, C.40, S.3: 1-12.
  • Parabheesh, K.P.; Padhan, R.; Garg, B. (2020b), “COVID-19 and the Oil Price- Stock Market Nexus: Evidence from Net Oil-Importing Countries”, Energy Research Letters, C.1, S.2: 1-6.
  • Ramelli, S.; Wagner, A.F. (2020), “ Feverish Stock Price Reactions to COVID-19”, Swiss Finance Institute Resarch Paper, No. 20: 1-58.
  • Rigabon, R. (2003), “On the Measurement of the International Propagation of Shocks: Is the Transmission Stable?”, Journal of International Economics, C.61, S.2: 261-283.
  • Rodriguez, J. C. (2007), “Measuring Financial Contagion: A Copula Approach”, Journal of Empirical Finance, C.14, S.3: 401-423.
  • Sakurai, Y.; Kurosaki, T. (2020), “How Has The Relationship Between Oil and The US Stock Market Changed after The COVID-19 Crisis?”, Finance Research Letters, C.37, S. 101773: 1-8.
  • Salisu, A.; Adediran, I. (2020), “Uncertainty Due to Infectious Diseases and Energy Market Volatility”, Energy Research Letters, C.1, S.2:1-6.
  • Sharma, S.S. (2020), “A Note on the Asian Market Volatility During the COVID-19 Pandemic. Asian Economics Letters, C.1, S.2: 1-6.
  • Shen, H.; Fu, M.; Pan, H.; Yu, Z.; Chen, Y. (2020), “The Impact of the COVID-19 Pandemic on Firm Performance”, Emerging Markets Finance and Trade, C.56, S.10: 2213-2230.
  • Ural, M.; Öztekin, D. (2011), “Küresel Kriz ve Döviz Kurlarında Oynaklık Geçişi”, Finans, Politik ve Ekonomik Yorumlar, C:48, S:551: 9-18.
  • Ural, M.; Demireli, E. (2015), “Volatility Transmission of Credit Default Swap (CDS) Risk Premiums”, Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, S.45: 24-33.
  • Yaman, S.; Korkmaz, T. (2020), “Döviz Kurları ile BİST Turizm Endeks Getirileri Arasındaki Volatilita Yayılım Etkisinin Belirlenmesi”, Business and Economics Research Journal, C. 11, S.3: 681-702.
  • Yue, P.; Korkmaz, A. G.; Zhou, H. (2020), “Household Financial Decision Making Amidst the COVID-19 Pandemic”, Emerging Markets Finance and Trade, C.56, S.10: 2363–2377.
  • Xiong, H.; Wu, Z.; Hou, F.; Zhang, J. (2020), “Which Firm-Specific Characteristics Affect the Market Reaction of Chinese Listed Companies to the COVID-19 Pandemic?”, Emerging Markets Finance and Trade, C.56, S.10: 2231-2242.
  • Wang, Y.; Zhang, D.; Wang, X.; Fu, Q. (2020), “How Does COVID-19 Affect China’s Insurance Market?”, Emerging Markets Finance and Trade, C.56, S.10: 2350-2362.

The Impact of COVID-19 Crisis on Stock Market Volatilities of Turkey and G7 Countries

Yıl 2021, Cilt 16, Sayı 2, 446 - 462, 01.08.2021
https://doi.org/10.17153/oguiibf.884895

Öz

The COVID-19 virus initially emerged as a health crisis, but soon turned into an economic and financial crisis. The epidemic affected countries’ economies in direct proportion to the number of COVID-19 cases. In this context, the aim of this study examines the effect COVID-19 crisis on stock markets for G7 countries which have a high number of COVID-19 cases and are economically powerful, and Turkey. The analysis was performed with EGARCH (1,1) model and covers the dates of 11 March 2020/15 January 2021. According to the model results, the COVID-19 crisis increases the stock market volatilities of France, Japan, Canada, and Turkey.

Kaynakça

  • Akhtaruzzaman, M.; Boubaker, S.; Sensoy, A. (2021), “Financial Contagion during COVID-19 Crisis”, Finance Research Letters, C. 38, S.101604: 1-20.
  • Baek, S.; Mohanty, S.K.; Glambosky, M. (2020), “COVID-19 and Stock Market Volatility: An Industry Level Analysis”, Finance Research Letters, C. 37, S.101748: 1-10.
  • Baek, S.; Lee, K.Y. (2021), “The Risk Transmission of COVID-19 in the US Stock Market”, Applied Economics, DOI: 10.1080/00036846.2020.1854668.
  • Baker, S.; Bloom, N.; Davis, S.J.; Kost, K.; Sammon, M.; Viratyosin, T. (2020), “The Unprecedented Stock Market Impact of COVID-19”, CEPR Covid Economics Review, NBER Working Paper No. w26945.
  • Baumöhl E.; Výrost T. (2010), “Stock Market Integration: Granger Causality Testing with Respect to Nonsynchronous Trading Effects”, Czech Journal of Economics and Finance, C.60, S.5: 414–425.
  • Bauwens, L.; Laurent, S.; Rombouts, J.V.K. (2006), “Multivariate GARCH Models: A Survey”, Journal of Applied Econometrics, C.21: 79-109.
  • Bollerslev, T.; Engle, R.F.; Wooldridge, J.M. (1988), “A Capital Asset Pricing Model with Time- Varying Covariances”, C.96, S.1: 116-131.
  • Campbell J.Y.; Lo A.W.; MacKinlay A.C. (1997), “The Econometrics of Financial Markets”, Princeton University Press, New Jersey.
  • Chen, C.; Liu, L.; Zhao, N. (2020), “Fear Sentiment, Uncertanity, and Bitcoin Price Dynamics: The Case of COVID-19, Emerging Markets Finance and Trade, C.56, S.10: 2298-2309.
  • Corbet, S.; Larkin, C.; Lucay, B. (2020), “The Contagion Effects of The COVID-19 Pandemic: Evidence from Gold and Cryptocurrencies”, Finance Research Letters, C. 37, S.101554: 1-7.
  • Dutta, A.; Das, D.; Jana, R.K.; Vo, X.V. (2020), “COVID-19 and Oil Market Crash: Revisiting The Safe Haven Property of Gold and Bitcoin”, Resources Policy, C.69, S. 101816: 1-6.
  • Engle, R.F.; Granger, C.W.J.; Kraft, D.F. (1984), “Combining Competing Forecasts of Inflation Using A Bivariate ARCH Model”, Journal of Economic Dynamics and Control, C. 8: 151-165.
  • Engle, R.F.; Kroner, K.F. (1995), “Multivariate Simultaneous Generalized Arch”, Econometric Theory, C.11, S.1: 122-150.
  • Eun C.S.; Shim S. (1989), “International Transmission of Stock Market Movements”, The Journal of Financial and Quantitative Analysis, C.24, S.2: 241-256.
  • Gormsen, N.J.; Koijen, R.S.J. (2020), “Coronavirüs: Impact on Stock Prices and Growth Expectations, NBER Working Papers, No. 27387: 1-46.
  • Gunay, S. (2020), “A New Form of Financial Contagion: COVID-19 and Stock Market Responses”, http://ssrn.com/abstract=3584243, (Erişim: 3 Aralık 2020).
  • Haroon, O.; Rizvi, S.A.R. (2020), “Flatten the Curve and Stock Market Liquity- An Inquiry into Emerging Economies, Emerging Markets Finance and Trade, C.56, S.10: 2151-2161.
  • Herwartz, H. (2004), “Conditional Heteroskedasticity”, (Ed. Lütkepohl ve Krätzig), Applied Time Series Econometrics, United States of America: Cambridge University Press: 197-220.
  • Li, C.S. (2012), “Common Persistance in Conditional Variance: A Reconsideration”, Economic Modelling, C.29, S.5: 1809-1819.
  • Mishra, A.K.; Rath, B.N.; Dash, A.K. (2020), “Does the Indian Financial Market Nosedive Because of the COVID-19 Outbreak, in Comparison to After Demonetisation and the GST?”, Emerging Markets Finance and Trade, C.56, S.10: 2162-2180.
  • Olbrys J. (2013), “Price and Volatility Spillovers in the Case of Stock Markets Located in Different Time Zones”, Emerging Markets Finance and Trade, C.49, S.2: 145-157.
  • Olbrys J.; Majewska E. (2014), “Quantitative Identification of Crisis Periods on the Major European Stock Markets”, La Pensée, C.76, S.1: 254–260.
  • Olbrys J.; Majewska E. (2017), “Asymmetry Effects in Volatility on the Major European Stock Markets: the EGARCH Based Approach”, Quantitative Finance and Economics, C.1, S.4: 411-427.
  • Parabheesh, K.P.; Garg, B.; Padhan, R. (2020a), “Time-Varying Dependence Between Stock Markets and Oil Prices During COVID-19: The Case of Net Oil-Exporting Countries”, Economics Bulletin, C.40, S.3: 1-12.
  • Parabheesh, K.P.; Padhan, R.; Garg, B. (2020b), “COVID-19 and the Oil Price- Stock Market Nexus: Evidence from Net Oil-Importing Countries”, Energy Research Letters, C.1, S.2: 1-6.
  • Ramelli, S.; Wagner, A.F. (2020), “ Feverish Stock Price Reactions to COVID-19”, Swiss Finance Institute Resarch Paper, No. 20: 1-58.
  • Rigabon, R. (2003), “On the Measurement of the International Propagation of Shocks: Is the Transmission Stable?”, Journal of International Economics, C.61, S.2: 261-283.
  • Rodriguez, J. C. (2007), “Measuring Financial Contagion: A Copula Approach”, Journal of Empirical Finance, C.14, S.3: 401-423.
  • Sakurai, Y.; Kurosaki, T. (2020), “How Has The Relationship Between Oil and The US Stock Market Changed after The COVID-19 Crisis?”, Finance Research Letters, C.37, S. 101773: 1-8.
  • Salisu, A.; Adediran, I. (2020), “Uncertainty Due to Infectious Diseases and Energy Market Volatility”, Energy Research Letters, C.1, S.2:1-6.
  • Sharma, S.S. (2020), “A Note on the Asian Market Volatility During the COVID-19 Pandemic. Asian Economics Letters, C.1, S.2: 1-6.
  • Shen, H.; Fu, M.; Pan, H.; Yu, Z.; Chen, Y. (2020), “The Impact of the COVID-19 Pandemic on Firm Performance”, Emerging Markets Finance and Trade, C.56, S.10: 2213-2230.
  • Ural, M.; Öztekin, D. (2011), “Küresel Kriz ve Döviz Kurlarında Oynaklık Geçişi”, Finans, Politik ve Ekonomik Yorumlar, C:48, S:551: 9-18.
  • Ural, M.; Demireli, E. (2015), “Volatility Transmission of Credit Default Swap (CDS) Risk Premiums”, Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, S.45: 24-33.
  • Yaman, S.; Korkmaz, T. (2020), “Döviz Kurları ile BİST Turizm Endeks Getirileri Arasındaki Volatilita Yayılım Etkisinin Belirlenmesi”, Business and Economics Research Journal, C. 11, S.3: 681-702.
  • Yue, P.; Korkmaz, A. G.; Zhou, H. (2020), “Household Financial Decision Making Amidst the COVID-19 Pandemic”, Emerging Markets Finance and Trade, C.56, S.10: 2363–2377.
  • Xiong, H.; Wu, Z.; Hou, F.; Zhang, J. (2020), “Which Firm-Specific Characteristics Affect the Market Reaction of Chinese Listed Companies to the COVID-19 Pandemic?”, Emerging Markets Finance and Trade, C.56, S.10: 2231-2242.
  • Wang, Y.; Zhang, D.; Wang, X.; Fu, Q. (2020), “How Does COVID-19 Affect China’s Insurance Market?”, Emerging Markets Finance and Trade, C.56, S.10: 2350-2362.

Ayrıntılar

Birincil Dil Türkçe
Konular Sosyal
Bölüm Makaleler
Yazarlar

Sinem ATICI USTALAR
ATATÜRK ÜNİVERSİTESİ
0000-0001-8475-2581
Türkiye


Selim ŞANLISOY (Sorumlu Yazar)
DOKUZ EYLÜL ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ
0000-0002-0629-0905
Türkiye

Yayımlanma Tarihi 1 Ağustos 2021
Başvuru Tarihi 22 Şubat 2021
Kabul Tarihi 28 Nisan 2021
Yayınlandığı Sayı Yıl 2021, Cilt 16, Sayı 2

Kaynak Göster

APA Atıcı Ustalar, S. & Şanlısoy, S. (2021). COVID-19 Krizi’nin Türkiye ve G7 Ülkelerinin Borsa Oynaklıkları Üzerindeki Etkisi . Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi , 16 (2) , 446-462 . DOI: 10.17153/oguiibf.884895