Covid-19 pandemi döneminde para politikası uygulamaları ve borsanın tepkisi: Türkiye örneği

Yıl 2022, Cilt: 15 Sayı: 1, 149 - 164, 31.01.2022

Özkan Haykır , Özlem Öztürk Çetenak

https://doi.org/10.25287/ohuiibf.983443

Cited By: 1

Öz

Bu çalışma da pandemi duyurusu ve sonrasında değişen üç para politikasının (hedef faiz oranının düşürülmesi) Türkiye hisse senedi piyasasında getiri, likidite ve oynaklık üzerinde etkisinin olup olmadığını araştırılmıştır. Pandemi duyurusuna ve faiz oranlarındaki ilk düşüşün duyurusuna hisse senedi piyasasında olumsuz bir tepki olduğunu görülmesine rağmen, faiz oranlarındaki ikinci ve üçüncü düşüşe hisse senedi getirisi ve likidite açısından olumlu bir tepki oluştuğu tespit edilmiştir. Ayrıca BİST-100 endeksinde yer alan ve türev piyasada da işlem gören firmaların hisse senedi getirisi ve likiditesi pandemiden daha az etkilenmiştir. Sonuçlar ayrıca piyasa değeri en az, likit olmayan, volatilitesi yüksek ve Google’da çok aranan şirketlerin pandemi duyurusundan ve faiz oranındaki ilk düşüşten daha fazla etkilendiğini bulunmuştur.

Anahtar Kelimeler

COVID-19, Likidite, Volatilite, Google Arama, Para Politikası

Monetary policy application and stock market reaction during Covid-19 Pandemic: Evidence from Turkey

Öz

We investigate whether the pandemic announcement and three monetary policies changed after that (reducing target interest rate) have an impact on the return, liquidity, and volatility in the Turkish stock market. We find that there is a negative reaction to the pandemic announcement and the announcement of the first decline in interest rates, but we discover a positive reaction to the second and third reduction in interest rates in terms of stock return and liquidity. Moreover, the stock return and liquidity of firms that are listed on the BIST-100 index and have associated derivatives are affected less by the pandemic. Results also suggest that the smallest, illiquid, volatile, and highly searched companies on Google are affected more by the pandemic announcement and the first decline in the interest rate.

Anahtar Kelimeler

COVID-19, Liquidity, Volatility, Google Search, Monetary Policy

Kaynakça

• Ahmar, A.S., del Val, E.B. 2020. SutteARIMA: Short-term forecasting method, a case: Covid-19 and stock market in Spain. Science of the Total Environment, 729, 138883.
• Al-Awadhi, A.M., Al-Saifi, K., Al-Awadhi, A., Alhamadi, S. 2020. Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 27, 100326.
• Alber, N. 2020. The effect of coronavirus spread on stock markets. The case of the worst 6 countries, Available at http://ssrn.com/abstract=3578080.
• Alexander, W.E., Balino, T.J.T., Enoch, C. 1995. The Adoption of Indirect Instruments of Monetary Policy. IMF Working Paper, 126. Available at https://www.imf.org/external/pubs/ft/fandd/1996/03/pdf/alexande.pdf.
• Amihud, Y. 2002. Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5, 531–556.
• Ashraf, B. N. 2020. Stock markets’ reaction to COVID-19:cases or fatalities?. Research in International Business and Finance, 54, 101249.
• Bai, L., Wei, Y., Wei, G., Li, X., and Zhang, S. 2021. Infectious disease pandemic and permanent volatility of international stock markets: A long-term perspective. Finance Research Letters, 40, 101709.
• Baldwin, R., Mauro, B. W. 2020. Mitigating the COVID economic crisis: act fast and do whatever it takes. A VoxEU.org Book, CEPR Press.
• Baker, S. R., Bloom, N., Davis, S. J., Kost, K., Sammon, M., Viratyosin, T. 2020. The unprecedented stock market reaction to COVID-19. The Review of Asset Pricing Studies, 10 (4), 742-758.
• Bank, M., Larch, M., Peter, G. 2011. Google search volume and its influence on liquidity and returns of German stocks. Financial Markets and Portfolio Management, Vol. 25 No. 3, pp. 239-264.
• Bekaert G., Harvey C. R. 1995. Emerging Equity Market Volatility. National Bureau of Economic Research, Working Paper, No. 5307.
• Bernanke, B., Blinder, A. 1990. The federal funds rate and the channels of monetary transmission. National Bureau of Economic Research, Working Paper, No. w3487.
• Brown, S., Warner, J. 1980. Measuring security price performance. Journal of Financial Economics, 8, 205-258.
• Brown, S., Warner, J. 1985. Using Daily Stock Returns: The Case of Event Studies. Journal of Financial Economics, 14, 3-31.
• Carlsson-Szlezak, P., Reeves, M., Swartz, P. 2020. What coronavirus could mean for the global economy. Harvard Business Review, 1–10.
• Central Securities Depository of the Turkish Capital Markets. 2020. Retrieved from: https://www.mkk.com.tr/tr-tr/haberler/Sayfalar/Pay-Piyasasi-Yatirimci-Sayisi-2-Milyonu-Asti.aspx.
• Conrad, J. 1989. The Price Effect of Option Introduction. Journal of Finance, 44 (1989), 487-499.
• Contessi, S., De Pace, P. 2021. The international spread of COVID-19 stock market collapses. Finance Research Letters, 101894.
• Cox, J. 2020. FED pumps in more than $1 trillion in dramatic ramping up of market intervention amid coronavirus meltdowns. CNBC (12 March 2020). Retrieved from: https://www.cnbc.com/2020/03/12/fed-to-pump-more-than-500-billion-into-short-term-bank-funding-expand-types-of-security-purchases.html.
• Da, Z., Engelberg, J., and Gao, P. 2011. In search of attention. The Journal of Finance, 66, 1461-1499.
• Detemple, J., Jorion, P. 1990. Option Listing and Stock Returns. Journal of Banking and Finance, 14 (1990), 781-802.
• Dooley, M., Hutchison, M. 2009. Transmission of the US Subprime Crisis to Emerging Markets: Evidence on the Decoupling-Recoupling Hypothesis. Journal of International Money and Finance, 28 (8), 1331–1349.
• Elgin, C., Basbug, G., Yalaman, A. 2020. Economic policy responses to a pandemic: developing the COVID-19 economic stimulus index. Covid Economics: Vetted and Real Time papers, 3, 40-54.
• Engelhardt, N., Krause, M., Neukirchen, D., Posch, P. N. 2021. Trust and stock market volatility during the COVID-19 crisis. Finance Research Letters, 38, 101873.
• Fernandez, N. (2020). Economic effects of coronavirus outbreak (Covid-19) on the world economy. Available at http://ssrn.com/abstract=3557504.
• Google Trends. 2020. Google Data. Retrieved from: https://trends.google.com.tr/trends/?geo=TR.
• Gormsen, N. J., Koijen, R. S. 2020. Coronavirus: impact on stock prices and growth expectations. University of Chicago, Becker Friedman Institute for Economics Working Paper.
• Gumus, G. K. 2010. Menkul Kıymet Piyasalarında Yabancı Yatırımcıların Etkisi: İstanbul Menkul Kıymetler Borsası Örneği. İMKB Dergisi, 11, 61–96.
• Han, L., Xu, Y., Yin, L. 2018. Does investor attention matter? The attention-return relationship in FX markets. Economic Modelling, 68:660–664.
• Herwany, A., Satyakti, Y., Wardhana, W. 2017. The impact of monetary policy on stock market liquidity and the business cycle in indonesia. Available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3030518.
• Hibbert, A.M., Pavlova, I. 2017. The drivers of sovereign CDS spread changes: local versus global factors. Financial Review, 52, 435–457.
• Huang, M., Rojas, R., Convery, P., D. 2020. Forecasting stock market movements using Google Trend Searches. Empirical Economics, 59, 2821-2839.
• Investing. 2020. Investing Data. Investing.com, Cyprus.
• Jain, P. C. 1987. The Effect on Stock Price of Inclusion in or Exclusion from the S&P 500. Financial Analyst Journal, 43, 58-65.
• Kandi̇l Göker, İ., Eren, B., Karaca, S. 2020. The Impact of the COVID-19 (Coronavirus) on The Borsa Istanbul Sector Index Returns: An Event Study. Gaziantep University Journal of Social Sciences, 19, 14-41.
• Kartal, M. T. 2020. The behavior of sovereign credit default swaps (CDS) spread evidence from turkey with the effect of covid-19 pandemic. Available at https://ssrn.com/abstract=3642652.
• Kasch, M., Sarkar, A. 2011. Is there an S&P 500 Index Effect, Federal Reserve Bank of New York Staff Report, 484.
• Khan, K., Zhao, H., Zhang, H., Yang, H., Shah, M., H., Jahanger, A. 2020. The Impact of COVID-19 Pandemic on Stock Markets: An Empirical Analysis of World Major Stock Indices. Journal of Asian Finance, Economic, and Business, 7 (7), 463-474.
• Nicola, M., Alsafi, Z., Sohrabi, C., Kerwan, A., Al-Jabir, A., Iosifidis, C., Agha, R. 2020. The socio-economic implications of the coronavirus and COVID-19 pandemic: a review. International Journal of Surgery, 78, 185-193.
• Rahman, Md., L., Amin, A., Mamun, M. A. A. 2020. The COVID-19 outbreak and stock market reactions: Evidence from Australia. Finance Research Letters, 101832.
• Sansa, N.A. 2020. The impact of Covid-19 on the financial markets. Evidence from China and USA. Available at http://ssrn.com/abstract=3562530.
• Scharler, J. 2008. Do bank-based financial systems reduce macroeconomic volatility by smoothing interest rates?. Journal of Macroeconomics, 30 (3), 1207-1221.
• Schweitzer, R. (1989). How Do Stock Returns React to Special Events?. Business Review, issue July, 17-29.
• Senol, Z., Zeren, F. 2020. Coronavirus (COVID-19) and stock markets. The effects of pandemic on the global economy. Eurasian Journal of Researches in Social and Economics, 7(4), 1-16.
• Shleifer, A. 1986. Do Demand Curves for Stocks Slope Down?. The Journal of Finance, 41, 579- 590.
• Sorescu, S. 2000. The Effect of Options on Stock Prices: 1973-1995. The Journal of Finance, 55, 487-514.
• Topcu, M., Gulal, O. S. 2020. The impact of COVID-19 on emerging stock markets. Finance Research Letters, 36, 101691.
• Vlastakis, N., Markellos, R.N. 2012. Information demand and stock market volatility. Journal of Banking and Finance, Vol. 36 No. 6, pp. 1808-1821.
• WHO. 2020. WHO Director-General's opening remarks at the media briefing on COVID-19. Retrieved from: https://www.who.int/docs/default-source/coronaviruse/transcripts/who-audio-emergencies-coronavirus-press conference-full-and-final-11mar2020.pdf?sfvrsn=cb432bb3_2.
• Worlddometer. 2020. Worlddometer statistics. Retrieved from: https://www.worldometers.info/coronavirus/.
• Xinhua, H. 2020. China financial markets remains stable amid Covid-19 impact. Available at https://www.chinadailyhk.com/article/125145.
• Yan, C. 2020. COVID-19 Outbreak and Stock Prices: Evidence from China. Available at http://ssrn.com/abstract=3574374.
• Yang, L., Yang, L., Hamori, S. 2018. Determinants of Dependence Structures of Sovereign Credit Default Swap Spreads between G7 and BRICS Countries. International Review of Financial Analysis, 59, 19–34.
• Zeren, F., Hizarci, A. E. 2020. The impact of Covid-19 coronavirus on stock markets. Evidence from selected countries. Muhasebe ve Finans İncelemeleri Dergisi, 3(1), 78-84.
• Zhang, D., Hu, M., Ji, Q. 2020. Financial markets under the global pandemic of COVID-19. Finance Research Letter, 101528.