Volatility spillovers effect analysis during Covid-19 period using EWMA model: The case of health sector stocks in ISE
Öz
The importance of the health sector is once again understood by the emergence of the Covid-19 pandemic. The purpose of this study is to examine the volatility spillover effect between health sector stocks traded in Istanbul Stock Exchange and exchange rate and precious metal prices during the pre-Covid-19 period and the Covid-19 period. For this purpose, the volatility of returns of four health sector stocks traded on the Istanbul Stock Exchange, foreign exchange rate, and the price of gold were obtained using the Exponential Weighted Moving Average model and used in the Diebold-Yılmaz Spillover Index approach. The data set is divided into two periods according to the date of the first cases seen in Turkey. While the first period consisted of 267 observations between January 2, 2019, and February 28, 2020, the second period consisting of 267 observations was created between March 2, 2020, and April 1, 2021. According to the results, the total spillover index in the period before Covid-19 is 9.60%, which indicates a low connectedness between markets. The spillover index for the Covid-19 period is calculated at 21.90% which means the error variances in markets are on average 21.90% originated from other markets. Moreover, it is found that RTA Laboratories has the highest net spillover in the Covid-19 period.
Anahtar Kelimeler
Covid-19, Dieobold-Yılmaz Index, EWMA model, Volatility spillover.
Kaynakça
- Diebold, F. X., & Yilmaz, K. (2009). Measuring financial asset return and volatility spillovers, with application to global equity markets. The Economic Journal, 119(534), 158-171.
- Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57-66.
- Hull, John C. (2000), Options, Futures, & Other Derivatives, Fourth Edition, Prentice Hall International Inc., U.S.A.
- Urbina, J. (2020). Spillover Index Based on VAR Modelling. R package version 0.1. Available at: https://cran.r-project.org/web/packages/Spillover/Spillover.pdf
