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The impact of Covid-19 global outbreak on stock market volatility: The BIST100 application

Year 2021, Volume: 14 Issue: 4, 1143 - 1158, 13.10.2021
https://doi.org/10.25287/ohuiibf.827464

Abstract

The COVID-19 pandemic brought not only a health crisis but also an economic crisis in a short time. The epidemic process and the uncertainty regarding the economic process increased the instability in economic activities. The increasing uncertainty and risk both negatively affected the resource allocation in economies and had an impact on the financial markets. The uncertainty environment experienced has also affected the return expectations of financial investors and thus the volatility of stock markets. In this context, the effect of the global epidemic on the average return and volatility of the Borsa Istanbul 100 was analyzed. Daily closing prices BIST100 and Turkey’s COVID19 daily total number of cases were used in the analysis. Generalized Autoregressive Conditional Heterokedasticity (GARCH) models were used in the analysis. In addition, taking into account the effect of asymmetric shocks, the analysis has been expanded using the Basic Asymmetric ARCH (SAGARCH) and Exponential GARCH (EGARCH) models. According to the analysis results, when the effects of symmetric and asymmetric shocks are controlled, the increase in the daily total number of cases increases the volatility of the BIST100 index return. The COVID-19 outbreak is also one of the main determinants of stock market volatility. In this context, reducing the effects of the pandemic on both the real sector and the financial sector will be possible with the health measures to be taken against the pandemic, as well as economic measures and decisions to reduce risk and uncertainty.

References

  • Al-Awadhi, A. M., K., Al-Saifi, A., Al-Awadhi, & S., Alhamadi, (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://www.sciencedirect.com/science/article/abs/pii/S2214635020300800.
  • Baker, S.R., Bloom, N., Davis, S. J., Kost, K. J., Sammon, M. C. & Viratyosin, T. (2020). The unprecedented stock market impact of COVID-19. NBER Working Papers, No: 269456. Erişim adresi: https://www.nber.org/papers/w26945.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticitiy. Journal of Econometrics, 31, 307-327. https://public.econ.duke.edu.
  • Bora, D. & Basistha, D. (2020). The Outbreak of COVID-19 Pandemic and Its Impact on Stock Market Volatility: Evidence from a Worst-affected Economy. http://dx.doi.org/10.21203/rs.3.rs-57471/v1.
  • Campbell, J., Lo, A. & MacKinlay, A. (1997). The econometrics of financial markets. Princeton University Press, Princeton, New Jersey.
  • Chaudhary, T. (1996). Stock market volatility and the crash of 1987: Evidence from six emerging markets. Journal of International Money and Finance, 15(5), 969-981. Erişim adresi: https://www.sciencedirect.com/science/article/pii/S0261560696000368.
  • Chaudhary, R., P., Bakhshi & H., Gupta (2020). Volatility in international stock market an empirical study during COVID-19. Journal of Risk and Financial Management, 13, 1-17. https://doi.org/10.3390/jrfm13090208.
  • Chou, R.Y. (1988). Volatility persistence and stock valuations: some empirical evidence using GARCH. Journal of Applied Econometrics, 3(4), 279-294. Erişim adresi: https://www.jstor.org/stable/2096644.
  • Chou, R. Y., R. F. Engle,R.F. & Kane, A. (1989). Estimating risk aversion with a time varying price of volatility. Discussion Paper 89-16, Department of Economics, University of California, SanDiego.
  • Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. Econometrica, 50, 987-1008. https://www.jstor.org/stable/1912773.
  • Engle, R. F. (1990). Stock volatility an the crash of ’87: Discussion. The Review of Financial Studies, 3(1), 103-106. https://www.jstor.org/stable/2961959.
  • Engle, R. F. & Bollerslev, T. (1986). Modelling the persistence of conditional variances. Econometric Reviews, 5(1), 1-50. Erişim adresi: http://public.econ.duke.edu.
  • Fama, E.F. (1965). The Behaviour of stock market prices. Journal of Business, 38, 34-105. https://www.jstor.org/stable/2350752?seq=1#metadata_info_tab_contents.
  • Haroon, O. & Rizvi, R. (2020). COVID-19: Media coverage and financial markets behavior-A sectoral inquiry. Journal of Behavioral and Experimental Finance, 27, 1-5. https://www.sciencedirect.com/science/article/abs/pii/S2214635020301386.
  • He, Q., Liu, J., Wang, S. & Yu, J. (2020). The impact of COVID-19 on stock markets. Economic and Political Studies, 8(3), 275-288. https://doi.org/10.1080/20954816.2020.1757570.
  • He, P., Sun, Y., Zhang, Y. & Li, T. (2020a). COVID–19’s Impact on stock prices across different sectors—An event study based on the chinese stock market. Emerging Markets Finance and Trade, 56(10), 2198-2212. https://doi.org/10.1080/1540496X.2020.1785865.
  • Kandil Göçer İ. E., Eren, B. S. & Karaca, S. S. (2020). COVID-19 (Koronavirüs)’un borsa istanbul sektör endeks getirileri üzerindeki etkisi: Bir olay çalışması. Gaziantep University Journal of Social Sciences 2020 Special Issue, 14(41), 14-41. Erişim adresi: http://dergipark.org.tr/tr/pub/jss.
  • Keleş, E. (2020). Covid-19 ve BIST-30 endeksi üzerine kısa dönemli etkileri. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 42(1), 91-105. https://doi.org/10.14780.muiibd.763962.
  • Khan, K., Zhao, H., Zhang, H., Yang, H., Shah, M.H. & Jahanger, A. (2020). The Impact of COVID-19 pandemic on stock markets: An empirical analysis of world major stock indices. Journal of Asian Finance, 7(7), 463-474. https://doi.org/10.13106/jafeb.2020.vol7.no7.463.
  • Khanthavit, A. (2020). World and national stock market reactions to COVID-19. ABAC Journal, 40(2), 1–20. Erişim adresi: https://www.researchgate.net/publication/342551816.
  • Kılıç, Y. (2020). Borsa İstanbul’da COVID-19 (Koronavirüs) Etkisi. Journal of Emerging Economies and Policy, 5, 66-77. Erişim adresi: https://dergipark.org.tr/tr/pub/joeep/issue/53777/734904.
  • Kumari, S. & Sahu, P. (2018). Modelling stock return volatility in India. Munich Personal RePEc Archive, No: 86676. Erişim adresi: https://mpra.ub.uni-muenchen.de/86674.
  • Liu, H., A., Mazoor, C.Y., Wang, L., Zhang, & Z., Mazoor (2020). The COVID-19 outbreak and affected countries stock markets response. International Journal of Environmental Research and Public Health, (17). 2-19. https://www.mdpi.com/1660-4601/17/8/2800.
  • Lütkepohl, H. & Krätzig, M. (Ed.). (2004). Applied time series econometrics. New York: Cambridge University Press.
  • Mazur, M., M., Dang & M., Vega (2020). COVID-19 and the March 2020 stock market crash. evidence from S&P1500. Financial Research Letters, Makale yayın sürecindedir. https://www.sciencedirect.com/science/article/pii/S1544612320306668.
  • Nelson, D. B. (1991). Contidional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347-370. https://www.jstor.org/stable/2938260.
  • Onali, E. (2020). Covid-19 and stock market volatility. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3571453.
  • Orhan, Z.H. & Tırman, N. (2020). Analysis of the impact of Covid-19 on different sectors in Turkey during early periods of the pandemic. İşletme Araştırmaları Dergisi, 12(2), 2312-2326. https://doi.org/10.2139/isarder.2020.978.
  • Schwert, G.W. (1990). Stock volatility and the crash of '87. Review of Financial Studies. 3, 77-102. Erişim adresi: https://www.nber.org/papers/w2954.
  • Shen, D. & Zhang, W. (2020). Stay at home stocks versus go outside stocks: The impacts of COVID 19 on the Chinese stock market. Asia-Pacific Financial Markets, 1-14. https://doi.org/10.20491/s10690-020-09322-4.
  • Şenol, Z. & Zeren, F. (2020). Coronavırus (Covıd-19) and stock markets: The effects of the pandemic on the global economy. Avrasya Sosyal ve Ekonomi Araştırmaları Dergisi, 7(4), 1-16. http://www.dergipark.org.tr/tr/pub/asead/issue/54055/721871.
  • Ural, M. ve Adakale, T. (2009). Beklenen kayıp yöntemi ile riske maruz değer analizi. Akdeniz İ.İ.B.F. Dergisi, 17, 23-39. Erişim adresi: https://dergipark.org.tr/tr/download/article-file/372656.
  • Yousef, I. (2020). Spillover of COVID-19: Impact on stock market volatility. International Journal of Psychosocial Rehabilitation, 24(6), 18069-18081. Erişim adresi: https://www.researchgate.net/publication/341134119.
  • Verma, D. & P.K., Sinha (2020). Has COVID 19 infected Indian stock market volatility? Evidence from NSE. AAYAM: AKGIM Journal of Management, 10(1). 25-35. Erişim adresi: https://search.proquest.com/docview/2438621854.
  • Zaremba, A., Kizsy, R., Aharon, D. Y. & Demir, E. (2020). Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe, Finance Research Letters, 35, 1-7. Erişim adresi: https://www.sciencedirect.com/science/article/pii/S1544612320306310.
  • Zeren, F. & Hızarcı, A.E. (2020). The Impact of Covid-19 coronavırıs on stock markets: Evidence from selected countries. Muhasebe ve Finans İncelemeleri Dergisi, 3(1), 78-84. Erişim adresi: www.dergipark.gov.tr/mufider. ş
  • Zhang, D., Hu, M. & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36, 1-6. Erişim adresi: https://www.sciencedirect.com/science/article/abs/pii/S1544612320304050.

Covid-19 Küresel Salgınının hisse senedi piyasası oynaklığı üzerindeki etkisi: BIST100 uygulaması

Year 2021, Volume: 14 Issue: 4, 1143 - 1158, 13.10.2021
https://doi.org/10.25287/ohuiibf.827464

Abstract

COVID-19 küresel salgını kısa sürede yalnızca bir sağlık krizini değil, aynı zamanda da ekonomik krizi beraberinde getirmiştir. Bir yandan salgın süreci diğer yandan ekonomik faaliyetlerdeki istikrarsızlık beraberinde ekonomik sürece ilişkin belirsizliği artırmıştır. Artan belirsizlik ve risk ekonomilerdeki hem kaynak dağılımını olumsuz etkilemiş hem de finansal piyasalar üzerinde etkili olmuştur. Yaşanan belirsizlik ortamı finansal yatırımcıların da getiri beklentilerini ve dolayısıyla da hisse senedi piyasalarının oynaklığını etkilemiştir. Bu bağlamda çalışmamızda küresel salgının Borsa İstanbul 100 endeksinin getiri oynaklığı üzerindeki etkisi analiz edilmiştir. Analizde günlük BIST100 endeksi günlük kapanış fiyatları ve COVID-19 günlük toplam vaka sayıları kullanılmıştır. Analizde Genelleştirilmiş Otoregresif Koşullu Değişen Varyans (GARCH) modelleri kullanılmıştır. Ayrıca Asimetrik şokların etkisini dikkate alarak Temel Asimetrik ARCH (SAGARCH) ve Üssel GARCH (EGARCH) modelleri de kullanılarak analiz genişletilmiştir. Analiz sonuçlarına göre simetrik ve asimetrik şokların etkisi kontrol edildiğinde günlük toplam vaka sayılarındaki artış BIST100 endeks getirisinin oynaklığını arttırmaktadır. COVID-19 salgını da hisse senedi piyasa oynaklığını arttıran temel belirleyenlerden biridir. Bu çerçevede pandeminin gerek reel sektör gerekse finansal sektör üzerindeki etkilerinin azaltılabilmesi pandemiye yönelik olarak alınacak sağlık tedbirlerinin yanı sıra ekonomik tedbirler ile risk ve belirsizliği azaltıcı yönde alınacak kararlarla mümkün olacaktır.

References

  • Al-Awadhi, A. M., K., Al-Saifi, A., Al-Awadhi, & S., Alhamadi, (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://www.sciencedirect.com/science/article/abs/pii/S2214635020300800.
  • Baker, S.R., Bloom, N., Davis, S. J., Kost, K. J., Sammon, M. C. & Viratyosin, T. (2020). The unprecedented stock market impact of COVID-19. NBER Working Papers, No: 269456. Erişim adresi: https://www.nber.org/papers/w26945.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticitiy. Journal of Econometrics, 31, 307-327. https://public.econ.duke.edu.
  • Bora, D. & Basistha, D. (2020). The Outbreak of COVID-19 Pandemic and Its Impact on Stock Market Volatility: Evidence from a Worst-affected Economy. http://dx.doi.org/10.21203/rs.3.rs-57471/v1.
  • Campbell, J., Lo, A. & MacKinlay, A. (1997). The econometrics of financial markets. Princeton University Press, Princeton, New Jersey.
  • Chaudhary, T. (1996). Stock market volatility and the crash of 1987: Evidence from six emerging markets. Journal of International Money and Finance, 15(5), 969-981. Erişim adresi: https://www.sciencedirect.com/science/article/pii/S0261560696000368.
  • Chaudhary, R., P., Bakhshi & H., Gupta (2020). Volatility in international stock market an empirical study during COVID-19. Journal of Risk and Financial Management, 13, 1-17. https://doi.org/10.3390/jrfm13090208.
  • Chou, R.Y. (1988). Volatility persistence and stock valuations: some empirical evidence using GARCH. Journal of Applied Econometrics, 3(4), 279-294. Erişim adresi: https://www.jstor.org/stable/2096644.
  • Chou, R. Y., R. F. Engle,R.F. & Kane, A. (1989). Estimating risk aversion with a time varying price of volatility. Discussion Paper 89-16, Department of Economics, University of California, SanDiego.
  • Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. Econometrica, 50, 987-1008. https://www.jstor.org/stable/1912773.
  • Engle, R. F. (1990). Stock volatility an the crash of ’87: Discussion. The Review of Financial Studies, 3(1), 103-106. https://www.jstor.org/stable/2961959.
  • Engle, R. F. & Bollerslev, T. (1986). Modelling the persistence of conditional variances. Econometric Reviews, 5(1), 1-50. Erişim adresi: http://public.econ.duke.edu.
  • Fama, E.F. (1965). The Behaviour of stock market prices. Journal of Business, 38, 34-105. https://www.jstor.org/stable/2350752?seq=1#metadata_info_tab_contents.
  • Haroon, O. & Rizvi, R. (2020). COVID-19: Media coverage and financial markets behavior-A sectoral inquiry. Journal of Behavioral and Experimental Finance, 27, 1-5. https://www.sciencedirect.com/science/article/abs/pii/S2214635020301386.
  • He, Q., Liu, J., Wang, S. & Yu, J. (2020). The impact of COVID-19 on stock markets. Economic and Political Studies, 8(3), 275-288. https://doi.org/10.1080/20954816.2020.1757570.
  • He, P., Sun, Y., Zhang, Y. & Li, T. (2020a). COVID–19’s Impact on stock prices across different sectors—An event study based on the chinese stock market. Emerging Markets Finance and Trade, 56(10), 2198-2212. https://doi.org/10.1080/1540496X.2020.1785865.
  • Kandil Göçer İ. E., Eren, B. S. & Karaca, S. S. (2020). COVID-19 (Koronavirüs)’un borsa istanbul sektör endeks getirileri üzerindeki etkisi: Bir olay çalışması. Gaziantep University Journal of Social Sciences 2020 Special Issue, 14(41), 14-41. Erişim adresi: http://dergipark.org.tr/tr/pub/jss.
  • Keleş, E. (2020). Covid-19 ve BIST-30 endeksi üzerine kısa dönemli etkileri. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 42(1), 91-105. https://doi.org/10.14780.muiibd.763962.
  • Khan, K., Zhao, H., Zhang, H., Yang, H., Shah, M.H. & Jahanger, A. (2020). The Impact of COVID-19 pandemic on stock markets: An empirical analysis of world major stock indices. Journal of Asian Finance, 7(7), 463-474. https://doi.org/10.13106/jafeb.2020.vol7.no7.463.
  • Khanthavit, A. (2020). World and national stock market reactions to COVID-19. ABAC Journal, 40(2), 1–20. Erişim adresi: https://www.researchgate.net/publication/342551816.
  • Kılıç, Y. (2020). Borsa İstanbul’da COVID-19 (Koronavirüs) Etkisi. Journal of Emerging Economies and Policy, 5, 66-77. Erişim adresi: https://dergipark.org.tr/tr/pub/joeep/issue/53777/734904.
  • Kumari, S. & Sahu, P. (2018). Modelling stock return volatility in India. Munich Personal RePEc Archive, No: 86676. Erişim adresi: https://mpra.ub.uni-muenchen.de/86674.
  • Liu, H., A., Mazoor, C.Y., Wang, L., Zhang, & Z., Mazoor (2020). The COVID-19 outbreak and affected countries stock markets response. International Journal of Environmental Research and Public Health, (17). 2-19. https://www.mdpi.com/1660-4601/17/8/2800.
  • Lütkepohl, H. & Krätzig, M. (Ed.). (2004). Applied time series econometrics. New York: Cambridge University Press.
  • Mazur, M., M., Dang & M., Vega (2020). COVID-19 and the March 2020 stock market crash. evidence from S&P1500. Financial Research Letters, Makale yayın sürecindedir. https://www.sciencedirect.com/science/article/pii/S1544612320306668.
  • Nelson, D. B. (1991). Contidional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347-370. https://www.jstor.org/stable/2938260.
  • Onali, E. (2020). Covid-19 and stock market volatility. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3571453.
  • Orhan, Z.H. & Tırman, N. (2020). Analysis of the impact of Covid-19 on different sectors in Turkey during early periods of the pandemic. İşletme Araştırmaları Dergisi, 12(2), 2312-2326. https://doi.org/10.2139/isarder.2020.978.
  • Schwert, G.W. (1990). Stock volatility and the crash of '87. Review of Financial Studies. 3, 77-102. Erişim adresi: https://www.nber.org/papers/w2954.
  • Shen, D. & Zhang, W. (2020). Stay at home stocks versus go outside stocks: The impacts of COVID 19 on the Chinese stock market. Asia-Pacific Financial Markets, 1-14. https://doi.org/10.20491/s10690-020-09322-4.
  • Şenol, Z. & Zeren, F. (2020). Coronavırus (Covıd-19) and stock markets: The effects of the pandemic on the global economy. Avrasya Sosyal ve Ekonomi Araştırmaları Dergisi, 7(4), 1-16. http://www.dergipark.org.tr/tr/pub/asead/issue/54055/721871.
  • Ural, M. ve Adakale, T. (2009). Beklenen kayıp yöntemi ile riske maruz değer analizi. Akdeniz İ.İ.B.F. Dergisi, 17, 23-39. Erişim adresi: https://dergipark.org.tr/tr/download/article-file/372656.
  • Yousef, I. (2020). Spillover of COVID-19: Impact on stock market volatility. International Journal of Psychosocial Rehabilitation, 24(6), 18069-18081. Erişim adresi: https://www.researchgate.net/publication/341134119.
  • Verma, D. & P.K., Sinha (2020). Has COVID 19 infected Indian stock market volatility? Evidence from NSE. AAYAM: AKGIM Journal of Management, 10(1). 25-35. Erişim adresi: https://search.proquest.com/docview/2438621854.
  • Zaremba, A., Kizsy, R., Aharon, D. Y. & Demir, E. (2020). Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe, Finance Research Letters, 35, 1-7. Erişim adresi: https://www.sciencedirect.com/science/article/pii/S1544612320306310.
  • Zeren, F. & Hızarcı, A.E. (2020). The Impact of Covid-19 coronavırıs on stock markets: Evidence from selected countries. Muhasebe ve Finans İncelemeleri Dergisi, 3(1), 78-84. Erişim adresi: www.dergipark.gov.tr/mufider. ş
  • Zhang, D., Hu, M. & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36, 1-6. Erişim adresi: https://www.sciencedirect.com/science/article/abs/pii/S1544612320304050.
There are 37 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Sinem Atıcı Ustalar 0000-0001-8475-2581

Selim Şanlısoy 0000-0002-0629-0905

Publication Date October 13, 2021
Submission Date November 17, 2020
Acceptance Date April 5, 2021
Published in Issue Year 2021 Volume: 14 Issue: 4

Cite

APA Atıcı Ustalar, S., & Şanlısoy, S. (2021). Covid-19 Küresel Salgınının hisse senedi piyasası oynaklığı üzerindeki etkisi: BIST100 uygulaması. Ömer Halisdemir Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 14(4), 1143-1158. https://doi.org/10.25287/ohuiibf.827464

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