COVID-19’un Küresel Hisse Senedi Piyasalarının Hareketleri Üzerindeki Etkisi ve Türkiye Piyasası Üzerine Bir Inceleme*

Öz

Finansal küreselleşme, 1980’li yıllarda gelişmiş ülkelerde ve 1990’lı yıllarda gelişmekte olan ülkelerde ortaya çıkan sermaye hareket serbestlikleri ile birlikte önemli bir aşamaya geçmiştir. Bu aşamada sistemik risk unsurları artmış, olumsuz gelişme ve beklentiler tüm piyasalara hızla yayılarak etki edebilir hale gelmiştir. Hisse senedi piyasaları özelinde bakıldığında çok sayıda ülke piyasasının “küresel” piyasaya hızlı bir şekilde entegre olduğu görülmüş ancak söz konusu entegrasyonun düzeyi, tüm ülke piyasalarının güçlü bir şekilde birlikte hareket edecekleri seviyelere ulaşmamıştır. Yaşanan krizler karşısında kısa dönemde benzer reaksiyonlar gözleniyor olsa da şoklar sonrası hareketlilikler önemli farklılıklar gösterebilmektedir. Bu çerçevede, COVID-19 hastalığının Dünya Sağlık Örgütü tarafından 11 Mart 2020 tarihinde küresel ölçekte salgın ilan edilmesi ile hisse senedi piyasalarının birlikte hareketlerinde bir değişim olup olmadığı, olduysa değişimin ne şekilde olduğu temel bileşenler analizi ve değişim noktası analizi ile araştırılmıştır. Analizde 31.12.2020 tarihine kadar gerçekleşen günlük endeks hareketleri kullanılmıştır ve Türkiye ile birlikte 20 ülke piyasası dâhil edilmiştir. Ayrıca Türkiye hisse senedi piyasasının, ülkede salgının seyrine ilişkin açıklanan sayı ve kısıtlamalardan ne düzeyde etkilendiği de incelenmiştir.

Anahtar Kelimeler

• Salgın
• hisse senedi piyasaları
• birlikte hareket

COVID-19’s Impact on Global Stock Market Movements and an Examination on Turkish Market

Öz

inancial globalization has entered to an important phase, after capital account liberalizations in 1980s for developed countries, and in 1990s for developing countries. In this phase, systemic risk factors are increased, negative events and expectations became more likely to spread and effect all markets. Particularly in stock markets, it is seen that markets of many countries integrated with “global” market rapidly, but level of this integration has not reached to remarkably high levels and does not result with strong co-movements. Even faced crises cause similar reactions in stock markets in short-term, after-shock movements may show distinct characteristics. In this framework, possible effects of World Health Organization’s pandemic announcement for the disease COVID-19, which is made on 11 March 2020, on the changes in co-movements of stock markets are investigated by using Principal Component Analysis and a change point detection analysis. Daily index movements until the date 31.12.2020 of 20 stock markets, including Turkey are used in analyses. Additionally, impact of pandemic related local numbers and restriction levels on Turkish stock market is examined.

Anahtar Kelimeler

• Pandemic
• stock markets
• co-movements

Kaynakça

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