COVID-19 SALGINININ S&P 500 ENDEKSİ OYNAKLIĞI ÜZERİNDEKİ ETKİSİ

Yıl 2022, Sayı: 35, 47 - 60, 30.04.2022

Emre Ürkmez

https://doi.org/10.18092/ulikidince.939798

Cited By: 1

Öz

Yeni tip bir koronavirüs hastalığı (COVID-19) yakın tarihte yalnızca benzeri görülmemiş bir sağlık krizi değil, aynı zamanda küresel ekonomiyi etkisi altına alan en maliyetli pandemilerden biri olması bekleniyor. Son yapılan çalışmalar, COVID-19 salgınının bulaşıcılık etkisi ile finansal piyasaların oynaklığını arttırdığını gösteriyor. Bu çalışma, COVID-19 salgınının S&P 500 endeksi hisse senedi getirilerinin oynaklığı üzerindeki etkisini incelemeyi amaçlamaktadır. Bu amaçla hisse senedi getirilerinin oynaklığı 21 Ocak 2020 ile 09 Nisan 2021 dönemleri arası günlük veriler kullanılarak GARCH-X modeli ile analiz edilmiştir. GARCH-X modeli COVID-19 faktörünü koşullu ortalama ve varyans denklemlerine bir dışsal değişken olarak ilave edilmesine izin vermektedir. Bulgular, ABD’de günlük olarak bildirilen COVID-19 vakalarının kısa dönemde hisse senedi getirileri üzerinde istatistiksel olarak anlamlı bir etkiye sahip değildir. Ancak, sonuçlar COVID-19 salgınının hisse senedi getirilerinin oynaklığı üzerinde pozitif ve istatistiksel olarak anlamlı bir etkiye sahip olduğunu göstermektedir. Genel olarak, sonuçlar COVID-19 salgınının hisse senedi getirilerinin oynaklığı üzerinde ciddi bir etkisi olabileceğine işaret etmektedir.

Anahtar Kelimeler

COVID-19, Hisse Senedi Getirileri, Oynaklık, GARCH-X Model

Kaynakça

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