COVID-19 Finansal Çalkantısı Sırasında Pandemi ile İlgili Haberlerin Borsa İstanbul’a Etkisi

Yıl 2021, , 109 - 124, 30.06.2021

Ömer Faruk Tan

https://doi.org/10.17829/turcom.859299

Cited By: 6

Öz

Aralık 2019’da ortaya çıkan ve ardından dünyaya yayılan COVID-19 salgını sadece ekonomik ve sosyal
hayatı değil finansal piyasaları da etkilemiştir Yatırımcılar büyük ölçüde paniklemiş ve kararlarını
etkilemiştir. Bu çalışmada, COVID-19 ile ilgili haberlerin Borsa İstanbul üzerindeki etkisi panel kantil
regresyon yöntemi kullanılarak analiz edilmiştir. Çalışma dönemi olarak 10 Mart 2020 ile 17 Nisan
2020 tarihleri arası belirlenmiştir. Analiz için RavenPack veri platformu tarafından oluşturulan panik
endeksi, medyatiklik endeksi, sahte haber endeksi, ülke duyarlılık endeksi, infodemi endeksi ve medya
ilgi endeksi kullanılmıştır. Sonuçlara göre haberlerin etkisi kantiller arasında değişiklik göstermektedir ve Borsa İstanbul’un getirisi ile COVID-19 ile ilgili haberler arasında asimetrik bir bağımlılık vardır.
Sonuçlar, COVID-19 ile bağlantılı finansal çalkantıyı hafifletmek için daha verimli iletişim kanallarının
kullanılması gerektiğini göstermektedir.

Anahtar Kelimeler

COVID-19, Borsa Istanbul, Finansal piyasalar, sahte haber endeksi, ülke duyarlılık endeksi, Panel Kantil Regresyon

The Impact of News about Pandemic on Borsa Istanbul during the COVID-19 Financial Turmoil

Öz

The COVID-19 pandemic, which emerged in December 2019 and then spread worldwide, has affected
not only economic and social life but also the financial markets. It has left investors greatly panicked
and affected their decisions. In this study, the effect of COVID-19 related news on Borsa Istanbul
is analyzed using the panel quantile regression method. The study period is set between 10 March
2020 and 17 April 2020. The panic index, media hype index, fake news index, country sentiment
index, infodemic index, and media coverage index created by the RavenPack data platform are used
for the analysis. The impact of news, it was found, varies amongst the quantiles, and there exists an
asymmetric dependence between the returns of Borsa Istanbul and COVID-19 related news. More
efficient communication channels, the results indicate, should be used to alleviate the financial turmoil
caused by COVID-19.

Anahtar Kelimeler

COVID-19, Borsa Istanbul, financial markets, Fake News Index, Country Sentiment Index, Panel Quantile Regression

Kaynakça

• Akhtaruzzaman, M., Boubaker, S., & Sensoy, A. (2020). Financial contagion during COVID–19 crisis. Finance Research Letters, (May). https://doi.org/10.1016/j.frl.2020.101604
• Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A., & Alhammadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 27, 1–5. https://doi.org/10.1016/j.jbef.2020.100326
• Albulescu, C. T. (2020). COVID-19 and the United States financial markets’ volatility. Finance Research Letters, (July). https://doi.org/10.1016/j.frl.2020.101699
• Ali, M., Alam, N., & Rizvi, S. A. R. (2020). Coronavirus (COVID-19) – An epidemic or pandemic for financial markets. Journal of Behavioral and Experimental Finance, 27, 1–6. https://doi.org/10.1016/j. jbef.2020.100341
• Altın-Yavuz, A., & Gündoğan-Işık, E. (2017). Kantil regresyon. Uluslararası Mühendislik Araştırma ve Geliştirme Dergisi, 9(2), 137–146.
• Ashraf, B. N. (2020a). Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets. Journal of Behavioral and Experimental Finance, 27, 1–9. https://doi.org/10.1016/j.jbef.2020.100371
• Ashraf, B. N. (2020b). Stock markets’ reaction to COVID-19: Cases or fatalities? Research in International Business and Finance, 54, 1–7. https://doi.org/10.1016/j.ribaf.2020.101249
• Ashraf, B. N. (2020c). Stock markets’ reaction to COVID-19: Moderating role of national culture. Finance Research Letters, 1–20. https://doi.org/10.1016/j.frl.2020.101857
• Bahrini, R., & Filfilan, A. (2020). Impact of novel coronavirus on stock market returns: Evidence form GCC countries. Quantitative Finance and Economics, 4(4), 640–653. https://doi.org/10.1191/146.342.301 682157692
• Baig, A. S., Butt, H. A., Haroon, O., & Rizvi, S. A. R. (2020). Deaths, panic, lockdowns and US equity markets: The case of COVID-19 pandemic. Finance Research Letters, (July). https://doi.org/10.1016/j. frl.2020.101701
• Baker, S. R., Bloom, N., Davis, S. J., Kost, K. K., Sammon, M. C., & Viratyosin, T. (2020). The Unprecedented Stock Market Impact of COVID-19. NBER Working Paper No. 26945.
• Baker, S. R., Bloom, N., Davis, S. J., & Terry, S. J. (2020). COVID-Induced Economic Uncertainty (NBER Working Paper Series No. NBER Working Paper 26983). Cambridge.
• Barro, R. J., Ursua, J. F., & Weng, J. (2020). The Coronavirus and the Great Influenza Pandemic: Lesson from the “Spanish Flu” for the Coronavirus’s Potential Effects on Mortality and Economic Activity. NBER Working Paper No. 26866.
• Blitz, D., Huisman, R., Swinkels, L., & van Vliet, P. (2020). Media attention and the volatility effect. Finance Research Letters, 36, 1–6. https://doi.org/10.1016/j.frl.2019.101317
• Broadstock, D. C., & Zhang, D. (2019). Social-media and intraday stock returns: The pricing power of sentiment. Finance Research Letters, 30(January), 116–123. https://doi.org/10.1016/j.frl.2019.03.030
• Cavlak, H. (2020). Covid-19 pandemisinin finansal raporlama üzerindeki olası etkileri: BİST 100 Endeksi’ndeki işletmelerin ara dönem finansal raporlarının incelenmesi. Gaziantep University Journal of Social Sciences, (Special Issue), 143–168.
• Cepoi, C. O. (2020). Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil. Finance Research Letters, 36, 1–5. https://doi.org/10.1016/j.frl.2020.101658
• Chellaswamy, K. P., Natchimuthu, N., & Faniband, M. (2020). Stock market sensitivity to macroeconomic factors: Evidence from China and India. Asian Economic and Financial Review, 10(2), 146–159. https://doi.org/10.18488/journal.aefr.2020.102.146.159
• Chen, M.-H., Demir, E., García-Gómez, C. D., & Zaremba, A. (2020). The impact of policy responses to COVID-19 on U.S. travel and leisure companies. Annals of Tourism Research Empirical Insights, 1, 1–8. https://doi.org/10.1016/j.annale.2020.100003
• Coban, O., Coşkun, Ö., & Coban, A. (2020). The impact of the COVID-19 crisis on financial markets: The case of Turkey. Gaziantep University Journal of Social Sciences, (COVID-19 Special Issue), 506–519. https://doi.org/10.21547/jss.787158
• Conlon, T., & McGee, R. (2020). Safe haven or risky hazard? Bitcoin during the Covid-19 bear market. Finance Research Letters, 35(May). https://doi.org/10.1016/j.frl.2020.101607
• Contessi, S., & Pierangelo, D. P. (2020). The international spread of COVID-19 stock market collapses. Finance Research Letters, (November).
• Corbet, S., Goodell, J. W., & Günay, S. (2020). Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19. Energy Economics, 92, 1–24. https://doi.org/10.1016/j.eneco.2020.104978
• Corbet, S., Hou, Y., Hu, Y., Lucey, B., & Oxley, L. (2020). Aye Corona! The contagion effects of being named Corona during the COVID-19 pandemic. Finance Research Letters, 1–9. https://doi.org/10.1016/j. frl.2020.101591
• Corbet, S., Larkin, C., & Lucey, B. (2020). The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies. Finance Research Letters, 35(March). https://doi.org/10.1016/j. frl.2020.101554
• Demir, E., Bilgin, M. H., Karabulut, G., & Doker, A. C. (2020). The relationship between cryptocurrencies and COVID-19 pandemic. Eurasian Economic Review, 10(3), 349–360. https://doi.org/10.1007/ s40822.020.00154-1
• Demir, E., Simonyan, S., Chen, M. H., & Marco Lau, C. K. (2020). Asymmetric effects of geopolitical risks on Turkey’s tourist arrivals. Journal of Hospitality and Tourism Management, 45, 23–26. https://doi. org/10.1016/j.jhtm.2020.04.006
• Devpura, N., & Narayan, P. K. (2020). Hourly oil price volatility: The role of COVID-19. Energy Research Letters, 1, 1–5. https://doi.org/10.46557/001c.13683
• du Plooy, S. (2019). On the financial interpretation of risk contributions: An analysis using Quantile Simulation. Investment Analysts Journal, 48(3), 188–204. https://doi.org/10.1080/10293.523.2019. 1643126
• Dzielinski, M. (2011). News Sensitivity and the Cross-Section of Stock Returns (NCRR Finrisk Working Paper No. 719).
• Fang, L., & Peress, J. (2009). Media coverage and the cross-section of stock returns. International Review of Finance, 59(5), 2023–2052. https://doi.org/10.1111/irfi.12191
• Ghosh, S. (2020). Asymmetric impact of COVID-19 induced uncertainty on inbound Chinese tourists in Australia: insights from nonlinear ARDL model. Quantitative Finance and Economics, 4(2), 343– 364. https://doi.org/10.3934/qfe.2020016
• Goodell, J. W., & Goutte, S. (2020). Co-movement of COVID-19 and Bitcoin: Evidence from wavelet coherence analysis. Finance Research Letters, 1–6. https://doi.org/10.1016/j.frl.2020.101625
• Grammatikos, T., & Vermeulen, R. (2012). Transmission of the financial and sovereign debt crises to the EMU: Stock prices, CDS spreads and exchange rates. Journal of International Money and Finance, 31(3), 517–533. https://doi.org/10.1016/j.jimonfin.2011.10.004
• Groß-Klußmann, A., & Hautsch, N. (2011). When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions. Journal of Empirical Finance, 18(2), 321– 340. https://doi.org/10.1016/j.jempfin.2010.11.009
• Guizani, M. (2017). The financial determinants of corporate cash holdings in an oil rich country: Evidence from Kingdom of Saudi Arabia. Borsa Istanbul Review, 17(3), 133–143. https://doi.org/10.1016/j. bir.2017.05.003
• Harjoto, M. A., Rossi, F., Lee, R., & Sergi, B. S. (2020). How do equity markets react to COVID-19? Evidence from emerging and developed countries. Journal of Economics and Business, 1–15. Retrieved from https://linkinghub.elsevier.com/retrieve/pii/S014.861.9520304100
• Haroon, O., & Rizvi, S. A. R. (2020). COVID-19: Media coverage and financial markets behavior—A sectoral inquiry. Journal of Behavioral and Experimental Finance, 27, 1–5. https://doi.org/10.1016/j. jbef.2020.100343
• Huang, W., & Zheng, Y. (2020). COVID-19: Structural changes in the relationship between investor sentiment and crude oil futures price. Energy Research Letters, 1, 2–5. https://doi.org/10.46557/001c.13685
• Jeris, S. S., & Nath, R. D. (2020). COVID-19, oil price and UK economic policy uncertainty: Evidence from the ARDL approach. Quantitative Finance and Economics, 4(3), 503–514. https://doi.org/10.3934/ qfe.2020023
• Kandil Göker, İ. E., Eren, B. S., & Karaca, S. 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(COVID-19 Special Issue), 14–41. Retrieved from https://dergipark.org.tr/tr/doi/10.21547/ jss.731980
• Kartal, M. T. (2020). The behavior of Sovereign Credit Default Swaps (CDS) spread: Evidence from Turkey with the effect of Covid-19 pandemic. Quantitative Finance and Economics, 4(3), 489–502. https:// doi.org/10.3934/qfe.2020022
• Kartal, M. T., Depren, Ö., & Kılıç Depren, S. (2020). The determinants of main stock exchange index changes in emerging countries: evidence from Turkey in COVID-19 pandemic age. Quantitative Finance and Economics, 4(4), 526–541. https://doi.org/10.3934/qfe.2020025
• Kartal, M. T., Kılıç Depren, S., & Depren, Ö. (2020). How main stock exchange indices react to COVID-19 pandemic: Daily evidence from East Asian Countries. Global Economic Review, 1–18. https://doi. org/10.1080/1226508X.2020.186.9055
• Kayral, İ. E., & Tandogan, N. S. (2020). BİST100, döviz kurları ve altının getiri ve volatilitesinde COVID – 19 etkisi. Gaziantep University Journal of Social Sciences, (Special Issue), 687–701.
• Keleş, E. (2020). COVID-19 ve BIST-30 endeks üzerine kısa dönemli etkileri. Marmara Üniversitesi Iktisadi ve Idari Bilimler Dergisi, 42(1), 91–105.
• Kılıç, Y. (2020). Borsa İstanbul’da COVID – 19 (Koronavirüs) etkisi. Journal of Emerging Economies and Policy, 5(1), 66–77.
• Koenker, R., & Basset, G. (1978). Regression qunatiles. Econometrica, 46(1), 33–50.
• Korkut, Y., Eker, M., Zeren, F., & Altunişik, R. (2020). COVID-19 pandemisinin turizm üzerindeki etkileri: Borsa İstanbul turizm endeksi üzerine bir inceleme. Gaziantep University Journal of Social Sciences, (Special Issue), 71–86.
• Krieger, K., & Mauck, N. (2020). The impact of the COVID-19 pandemic on dividends. Finance Research Letters. https://doi.org/10.1002/agr.21687
• Levent, C. E. (2020). COVID-19 salgınının gıda ve içecek sektöründeki şirketlerin hisse senedi getiri ve volatilitesine etkisi. Turkish Studies, 15(6), 721–732.
• Mazumder, S. (2020). How important is social trust during the COVID-19 crisis period? Evidence from the Fed announcements. Journal of Behavioral and Experimental Finance, 28, 1–11. https://doi. org/10.1016/j.jbef.2020.100387
• Mazur, M., Dang, M., & Vega, M. (2020). COVID-19 and the March 2020 stock market crash. Evidence from S&P1500. Finance Research Letters, (March), 1–8. https://doi.org/10.1016/j.frl.2020.101690
• Narayan, P. K. (2020). Oil price news and COVID-19 – Is there any connection? Energy Research Letters, 1–5. https://doi.org/10.46557/001c.13176
• Nguyen, H. M., Vuong, T.H.G., Nguyen, T. H., Wu, Y., Wong, W. (2020). Sustainability of both pecking order and trade-off theories in Chinese manufacturing firms. Sustainability, 12, 1-25.
• Nicola, M., Alsafi, Z., Sohrabi, C., Kerwan, A., Al-Jabir, A., Iosifidis, C., … Agha, R. (2020). The socioeconomic implications of the coronavirus pandemic (COVID-19): A review. International Journal of Surgery, 78, 185–193. https://doi.org/10.1016/j.ijsu.2020.04.018
• Okorie, D. I., & Lin, B. (2020). Stock markets and the COVID-19 fractal contagion effects. Finance Research Letters, (June). https://doi.org/10.1016/j.frl.2020.101640
• Özkan, O. (2020). Volatility jump: The effect of COVID-19 on Turkey stock market. Gaziantep University Journal of Social Sciences, 19 (COVID-19 Special Issue), 386–397. https://doi.org/10.21547/ jss.766890
• Rababah, A., Al-Haddad, L., Sial, M. S., Chunmei, Z., & Cherian, J. (2020). Analyzing the effects of COVID-19 pandemic on the financial performance of Chinese listed companies. Journal of Public Affairs, 20(4), 1–6. https://doi.org/10.1002/pa.2440
• Salisu, A. A., Ebuh, G. U., & Usman, N. (2020). Revisiting oil-stock nexus during COVID-19 pandemic: Some preliminary results. International Review of Economics and Finance, 69, 280–294. https://doi. org/10.1016/j.iref.2020.06.023
• Salisu, A. A., & Vo, X. V. (2020). Predicting stock returns in the presence of COVID-19 pandemic: The role of health news. International Review of Financial Analysis, 71(June), 1–10. https://doi.org/10.1016/j. irfa.2020.101546
• Shi, Y., & Ho, K. Y. (2020). News sentiment and states of stock return volatility: Evidence from long memory and discrete choice models. Finance Research Letters, 1–8. https://doi.org/10.36334/modsim.2013. f8.shi
• Smales, L. A. (2014a). News sentiment and the investor fear gauge. Finance Research Letters, 11, 122–130. https://doi.org/10.1016/j.frl.2013.07.003
• Smales, L. A. (2014b). Non-scheduled news arrival and high-frequency stock market dynamics. Evidence from the Australian Securities Exchange. Research in International Business and Finance, 32, 122– 138. https://doi.org/10.1016/j.ribaf.2014.03.006
• Tetlock, P. (2007). Giving content to investor sentiment: The role of media in the stock market. Journal of Finance, 62(3), 1139–1168.
• Thorbecke, W. (2020). The impact of the COVID-19 pandemic on the U.S. economy: Evidence from the stock market. Journal of Risk and Financial Management, 13(10), 1–32. https://doi.org/10.3390/ jrfm13100233
• Topcu, M., & Gulal, O. S. (2020). The impact of COVID-19 on emerging stock markets. Finance Research Letters, 36(July), 1–4. https://doi.org/10.1080/01694.243.2020.1863629
• Wagner, A. F. (2020). What the stock market tells us about the post-COVID-19 world. Nature Human Behaviour, 4(5), 440–440. https://doi.org/10.1038/s41562.020.0869-y
• Zaremba, A., Aharon, D. Y., Demir, E., Kizys, R., & Zawadka, D. (2021). COVID-19, government policy responses, and stock market liquidity around the World. Research in International Business and Finance, 56, 1–9. https://doi.org/10.2139/ssrn.3631177
• Zaremba, A., Kizys, R., Aharon, D. Y., & Demir, E. (2020). Infected markets: Novel coronavirus, government interventions, and stock return volatility around the globe. Finance Research Letters, 35. https://doi. org/10.1016/j.frl.2020.101597
• Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36(March). https://doi.org/10.1016/j.frl.2020.101528
• Zhang, X., & Ghorbani, A. A. (2020). An overview of online fake news: Characterization, detection, and discussion. Information Processing and Management, 57(2), 1–26. https://doi.org/10.1016/j. ipm.2019.03.004