Doğa Kaynaklı Afetlerin Piyasa Oynaklığı Üzerindeki Etkisi: Türkiye Hisse Senedi Piyasasında Deprem ve COVID-19 Yansımalarının GARCH Tabanlı Bir Analizi

Öz

Bu çalışma, 6 Şubat 2023 Kahramanmaraş depremleri ile COVID-19 salgınının Borsa İstanbul üzerindeki sektörel etkilerini GARCH, EGARCH ve TGARCH modelleriyle incelemektedir. BIST100 ve Tüm-100 endeksleri ile Hizmet, Mali, Sınai ve Teknoloji sektörleri analiz edilmiştir. Bulgular, depremin BIST100’de oynaklığı artırdığını; Hizmet ve Teknoloji sektörlerinde volatiliteyi yükselttiğini, Sınai ve Teknoloji sektörlerinde negatif getiriler yarattığını göstermektedir. COVID-19’un özellikle Teknoloji sektörüne olumsuz etkileri olduğu, Mali sektörün ise görece dirençli kaldığı belirlenmiştir. Asimetrik modellerin negatif haber etkilerini ölçmede daha etkili olduğu saptanmıştır. Çalışma, çoklu şokların sektörel bazda farklı etkiler doğurduğunu göstererek finansal kırılganlıkların anlaşılmasına katkı sağlamaktadır.

Anahtar Kelimeler

• Doğa kaynaklı afetler
• Piyasa oynaklığı
• Deprem
• COVID-19
• GARCH modelleri

The Impact of Disasters on Market Volatility: A GARCH-Based Analysis of Earthquake and COVID-19 Reflections on the Türkiye Stock Market

Öz

This study investigates the sectoral impacts of the February 6, 2023 Kahramanmaraş earthquakes and the COVID-19 pandemic on Borsa Istanbul using GARCH, EGARCH, and TGARCH models. The analysis includes BIST100, BIST All-100, and the sectoral indices of Services, Financial, Industrial, and Technology. Findings reveal that the earthquake increased volatility in BIST100, particularly in the Services and Technology sectors, and caused negative returns in the Industrial and Technology sectors. The COVID-19 outbreak had a notably adverse effect on the Technology sector, while the Financial sector showed relative resilience. Asymmetric models were more effective in capturing the impact of negative shocks. The study contributes to the literature by highlighting the asymmetric sectoral effects of multiple shocks and offers insights for designing policies to enhance financial system resilience.

Anahtar Kelimeler

• Disasters
• Market volatility
• Earthquake
• COVID-19
• GARCH models

Kaynakça

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