The Effect of Covid-19 on Stock Market: Evidence from Emerging Markets

Yıl 2022, Cilt: 13 Sayı: 35, 776 - 793, 22.08.2022

Mahmut Sami Duran , Sevilay Konya

https://doi.org/10.21076/vizyoner.1018852

Cited By: 1

Öz

It is known that extraordinary events such as epidemics, political events, and earthquakes have impacts on stock market returns. The study aims to explain the impact of Covid-19 outbreak on stock market returns in emerging market economies. Therefore, in the study, two different models are established to measure the impact of both Covid-19 cases and deaths related to Covid-19. In the study, Arellano, Froot and Rogers Random Effects Estimator and Arellano–Bond GMM Estimator are applied. As a result of the study, according to Arellano, Froot and Rogers Random Effects Estimator results, it is determined that Covid-19 cases have a positive and significant effect on the stock market. However, according to the Arellano–Bond GMM Estimator results, no significant effect of Covid-19 cases on the stock market is found. The effect of Covid-19 deaths on the stock market index is determined as positive and statistically significant according to both Arellano, Froot and Rogers Random Effects Estimator and Arellano Bond estimator.

Anahtar Kelimeler

Covid-19, Stock Market, Emerging Market

Kovid-19’un Borsaya Etkisi: Gelişmekte Olan Piyasalardan Kanıtlar

Öz

Salgın, siyasi olaylar, deprem gibi olağanüstü durumların borsa getirileri üzerinde etkisi olduğu bilinmektedir. Bu çalışma, yükselen piyasa ekonomilerinde Kovid-19 salgınının borsa getirileri üzerindeki etkisini açıklamayı amaçlamaktadır. Bu nedenle çalışmamızda hem Kovid-19 vakalarının hem de Kovid-19’a bağlı ölümlerin etkisini ölçmek amacıyla iki ayrı model kurulmuştur. Çalışmamızda Arellano, Froot ve Rogers Tesadüfi Etkiler Tahmincisi ve Arellano–Bond GMM Tahmincisi uygulanmıştır. Çalışmanın sonucunda Arellano, Froot ve Rogers Tesadüfi Etkiler Tahmincisi sonuçlarına göre Kovid- 19 vakalarının borsa piyasası üzerinde pozitif ve anlamlı bir etkisi olduğu belirlenmiştir. Ancak Arellano–Bond GMM Tahmincisi sonuçlarına göre kovid-19 vakalarının borsa piyasası üzerinde anlamlı bir etkisi bulunamamıştır. Kovid-19 ölümlerinin borsa endeksi üzerindeki etkisi ise hem Arellano, Froot ve Rogers Tesadüfi Etkiler Tahmincisi hem de Arellano Bond tahmincisine göre pozitif ve istatiksel olarak anlamlı belirlenmiştir.

Anahtar Kelimeler

Kovid-19, Borsa, Gelişmekte Olan Piyasalar

Kaynakça

• Ahmed, S., Hoek, J., Kamin, S. B., Smith, B. ve Yoldas, E. (2020). The Impact of COVID-19 on emerging markets economies’ financial conditions. FEDS Notes, (2020-10), 07-1. https://doi.org/10.17016/2380-7172.2749
• Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A. ve 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, 100326. https://doi.org/10.1016/j.jbef.2020.100326
• Anh, D. L. T. ve Gan, C. (2020). The impact of the COVID-19 lockdown on stock market performance: evidence from Vietnam. Journal of Economic Studies. Journal of Economic Studies, 48(4), 836-851. https://doi.org/10.1108/JES-06-2020-0312
• Arellano, M. (1987). Computing Robust Standard Errors for Within-groups Estimators. Oxford Bulletin of Economics and Istatistics, 49(4), 431-434. https://doi.org/10.1111/j.1468-0084.1987.mp49004006.x
• Arellano, M. ve Bond, S. (1991). Some tests of specification for panel data: monte carlo evidence and an application to employment equations. The Review of Economic Studies, 58(2), 277-297. https://www.jstor.org/stable/2297968
• Ashraf, B. N. (2020). Stock markets’ reaction to COVID-19: Cases or fatalities?. Research in International Business and Finance, 54, 101249. https://doi.org/10.1016/j.ribaf.2020.101249
• Bahrini, R. ve Filfilan, A. (2020). Impact of the novel coronavirus on stock market returns: evidence from GCC countries. Quantitative Finance and Economics, 4(4), 640-652. https://doi.org/10.3934/QFE.2020029
• Bausony, M. A. K., Bouaddi, M., Ali, H. ve Emadeldeen, R. (2021). The effect of Covıd-19 pandemic on global stock markets: return, volatility, and bad state probability Dynamics. J Public Affairs, 2761, 1-18. https://doi.org/10.1002/pa.2761
• Bhargava, A., Franzini, L. ve Narendranathan, W. (1982). Serial correlation and the fixed effects model. Review of Economic Studies, 49 (4), 533-549. https://doi.org/10.2307/2297285
• Breusch, T. S. ve Pagan, A. R. (1980). The lagrange multiplier test and its applications to model specification in econometrics. The Review of Economic Studies, 47(1), 239-253. https://doi.org/10.2307/2297111
• Brown, M. B. ve Forsythe A. B. (1974). The small sample behavior of some statistics which test the equality of several means. Technometrics, 16(1), 129-132, https://doi.org/10.1080/00401706.1974.10489158
• Contessi, S. ve De Pace, P. (2021). The international spread of COVID-19 stock market collapses. Finance Research Letters, 42, 101894. https://doi.org/10.1016/j.frl.2020.101894
• Duran, M. S. ve Acar, M. (2020). Bir virüsün dünyaya ettikleri: Covid-19 pandemisinin makroekonomik etkileri. International Journal of Social and Economic Sciences, 10(1), 54-67. https://www.ijses.org/index.php/ijses/article/view/262
• Froot, K. A. (1989). Consistent covariance matrix estimation with cross-sectional dependence and heteroskedasticity in financial data. The Journal of Financial and Quantitative Analysis, 24(3), 333-355. https://doi.org/10.2307/2330815
• Gümüş, A. ve Hacıevliyagil, N. (2020). Covid-19 salgın hastalığının borsaya etkisi: turizm ve ulaştırma endeksleri üzerine bir uygulama. Akademik Yaklaşımlar Dergisi, 11(1), 76-98. https://dergipark.org.tr/tr/pub/ayd/issue/56831/772209
• Harjoto, M. A., Rossi, F., Lee, R. ve Sergi, B. S. (2020). How do equity markets react to COVID-19? Evidence from emerging and developed countries. Journal of Economics and Business, 105966. https://doi.org/10.1016/j.jeconbus.2020.105966
• Hausman, J. A. (1978). Specification tests in econometrics. Econometrica, 46(6), 1251-1271. https://doi.org/10.2307/1913827
• Hill, T. D., Davis, A. P., Roos, J. M. ve French, M. T. (2019). Limitations of Fixed-Effects Models for Panel Data. Sociological Perspectives. https://doi.org/10.1177/0731121419863785
• Ibrahim, I., Kamaludin, K. ve Sundarasen, S. (2020). COVID-19, Government response, and market volatility: evidence from the asia-pacific developed and developing markets. Economies, 8(4), 105. https://doi.org/10.3390/economies8040105
• IMF. (2020). World economic outlook a long and difficult ascent. https://www.imf.org/en/Publications/WEO/Issues/2020/09/30/world-economic-outlook-october-2020, adresinden 10 Şubat 2021 tarihinde alınmıştır.
• Investing.com. (2021). https://tr.investing.com/ adresinden 24 Nisan 2021 tarihinde alınmıştır.
• Kusumahadi, T. A. ve Permana, F. C. (2021). Impact of COVID-19 on global stock market volatility. Journal of Economic Integration. 36(1), 20-45. https://doi.org/10.11130/jei.2021.36.1.20
• Levene, H. (1960). Robust tests for equality of variances. I. Olkin (Ed.), Contributions to probability and statistics içinde (s278-292)., Stanford University Press, Palo Alto.
• Özkan, Ö. (2021). Impact of Covıd-19 on stock market efficiency: Evidence from developed countries. Research in International Business and Finance, 158, 101445. https://doi.org/10.1016/j.ribaf.2021.101445
• Papadamou, S., Fassas, A., Kenourgios, D. ve Dimitriou, D. (2020). Direct and indirect effects of COVID-19 pandemic on implied stock market volatility: Evidence from panel data analysis. MPRA Paper 100020, University Library of Munich, Germany.
• Rakshit, B. ve Neog, Y. (2021). Effects of the COVID-19 pandemic on stock market returns and volatilities: evidence from selected emerging economies. Studies in Economics and Finance, https://www.emerald.com/insight/content/doi/10.1108/SEF-09-2020-0389/full/pdf?title=effects-of-the-covid-19-pandemic-on-stock-market-returns-and-volatilities-evidence-from-selected-emerging-economies adresinden 18 Kasım 2021 tarihinde alınmıştır.
• Rogers, W. (1993). Regression standard errors in clustered samples. Stata Technical Bulletin 13, 19-23.
• Schunck, R. (2013). Within and between estimates in random-effects models: Advantages and drawbacks of correlated random effects and hybrid models. The Stata Journal, 13(1), 65-76. https://doi.org/10.1177/1536867X1301300105
• Singh, B., Dhall, R., Narang, S. ve Rawat, S. (2020). The outbreak of COVID-19 and stock market responses: an event study and panel data analysis for G-20 countries. Global Business Review, 1-26. https://doi.org/10.1177/0972150920957274
• Şenol, Z. ve Zeren, F. (2020). Coronavirus (COVID-19) and stock markets: The effects of the pandemic on the global economy. Avrasya Sosyal ve Ekonomi Araştırmaları Dergisi, 7(4), 1-16. https://dergipark.org.tr/tr/pub/asead/issue/54055/721871
• Topcu, M. ve Gulal, O. S. (2020). The impact of COVID-19 on emerging stock markets. Finance Research Letters, 36, 101691. https://doi.org/10.1016/j.frl.2020.101691
• Wooldridge, J. M. (2002). Econometric analysis of cross section and panel data. MIT Press.
• Worldometer. (2021). https://www.worldometers.info/coronavirus/ adresinden 24 Nisan 2021 tarihinde alınmıştır.
• Yerdelen Tatoğlu, F. (2016). Panel veri ekonometrisi (3. Baskı). Beta Yayınevi.
• Yerdelen Tatoğlu, F. (2018). İleri panel veri analizi stata uygulamalı (3. Baskı). Beta Yayınevi.
• Yıldız Contürk, F. (2021). Covid -19'un Borsa İstanbul üzerindeki etkisi: bir ARDL sınır testi modeli. Muhasebe ve Finansman Dergisi, (89), 101-112. https://doi.org/10.25095/mufad.852088
• Yong, H. H. A. ve Laing, E. (2020). Stock market reaction to COVID-19: Evidence from US Firms’ international exposure. International Review of Financial Analysis, 101656. https://doi.org/10.1016/j.irfa.2020.101656