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COVID-19 PANDEMİSİNİN SEÇİLİ DÜNYA BORSALARI ÜZERİNDEKİ ETKİSİ

Year 2022, Volume: 14 Issue: 27, 309 - 323, 31.07.2022
https://doi.org/10.14784/marufacd.1148493

Abstract

Bu çalışmada dünyanın en büyük borsaları arasında yer alan Borsa İstanbul, Rusya Menkul Kıymetler Borsası, Brezilya Menkul Kıymetler Borsası, Tokyo Menkul Kıymetler Borsası, Almanya Menkul Kıymetler Borsası, Amerika Birleşik Devletleri Menkul Kıymetler Borsası, New York Menkul Kıymetler Borsası, Brezilya Menkul Kıymetler Borsası ve Kore Menkul Kıymetler Borssının volatilitelerinde ve getirilerinde COVID-19’un etkili olup olmadığı tespit edilmek istenmiştir. Bu amaçla 02.01.2017 ile 17.09.2021 tarihleri arasındaki günlük veriler kullanılarak EGARCH(1,1) modeliyle analizler yapılmıştır. Analizler sonucu COVID-19 pandemisinin Borsa İstanbul ve Brezilya Menkul Kıymetler Borsası’nın getirilerini negatif etkilediğini, Rusya Menkul Kıymetler Borsası ve Tokyo Menkul Kıymetler Borsası ve Kore Menkul Kıymetler Borsası endeksi getirilerinde ise pozitif bir artışa sebep olduğu tespit edilmiştir. Ayrıca Borsa İstanbul, Almanya Menkul Kıymetler Borsası, Tokyo Menkul Kıymetler Borsası, Amerika Birleşik Devletleri Menkul Kıymetler Borsası, New York Menkul Kıymetler Borsası ve Kore Menkul Kıymetler Borsa endeksi volatilitelerinde bir artışa neden olmuştur.

References

  • ALEXANDER, Carol. (2009). Practical Financial Econometrics. John Wiley & Sons, Ltd.
  • ALEXANDER, Carol ve LAZAR, Emese. (2006). Normal Mixture GARCH (1, 1): Application To Exchange Rate Modeling. Journal of Applied Econometrics Economic Review, 885-905.
  • ALGAN, Neşe, BALCILAR, Mehmet, BAL, Harun, ve MANGA, Müge (2016). Terörizmin Finansal Piyasalara Etkisi: Türkiye Örneği. International Conference On Eurasian Economies, 624-631.
  • ASHRAF, Badar Nadeem (2020). Stock Markets Reaction To Covid-19: Cases Or Fatalities? Research in International Business and Finance, 101249–101249.
  • BARUT, Abdülkadir ve YERDELEN KAYGIN, Ceyda (2020). Covid-19 Pandemisinin Seçilmiş Borsa Endeksleri Üzerine Etkisinin İncelenmesi. Gaziantep Unıversity Journal Of Social Sciences, 59-70.
  • BAYRAMOĞLU, Mehmet Fatih ve ABASIZ, Tezcan (2017). Gelişmekte Olan Piyasa Endeksleri Arasında Volatilite Yayılım Etkisinin Analizi. Muhasebe ve Finansman Dergisi, 183-199.
  • BOLLERSLEV, Tim (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 307-327.
  • BUSZKO, Michal, ORZESZKO, Witold ve STAWARZ, Marcin. (2021). Covid-19 Pandemic and Stability Of Stock Market A Sectoral Approach. PLOS ONE, 1-26.
  • CAPELLE BLANCARD, Gunther ve DESROZİERS, Adrien (2020). The Stock Market is Not The Economy? Insights From The Covid-19 Crisis. CEPR Covid Economics, 1-40.
  • CHARLES, Amelie ve DARNÉ, Olivier. (2006). Large Shocks and The September 11th Terrorist Attacks on International Stock Markets. Econpapers, 683-698.
  • CHEN, Andrew. H. ve SİEMS, Thomas (2004). The Effects Of Terrorism On Global Capital Markets. Econpapers, 349-366.
  • CHRISTIE, Andrew A. (1982). The Stochastic Behavior Of Common Stock Variances: Value, Leverage And İnterest Rate Effects. Journal of Financial Economics, 407-432.
  • ÇİL, Nilgün (2015). Finansal Ekonometri. İstanbul: DER.
  • DEMİRDÖĞEN, Oğuzhan ve YORULMAZ, Recep (2020). Kovid-19 Salgınının Dünya Ekonomilerine Etkileri. Ankara: Ortadoğu Araştırmaları Merkezi.
  • DRAKOS, Anastassios A, KOURETAS, Georgios. P. ve ZARANGAS, Leonidas P. (2010). Forcasting Financial Volatility Of The Athens Stock Exchange Daily Returns: An Application Of The Asymmetric Normal Mixture
  • GARCH Model. International Journal of Finance and Economics, 1-4.
  • ENGLE, Robert F. (1982). Autoregressive Conditional Heteroscedasticity With Estimates Of The Variance Of United Kingdom İnflation. Econometrica, 987-1007.
  • FAQUE, Mustapher ve HACIOĞLU, Ümit (2021). Investigating The İmpact Of Covid-19 Pandemic On Stock Markets. Financial and Economic Studies, 199-219.
  • GOPİNATH, Gita (2020, Nisan 14). The Great Lockdown: Worst Economic Downturn Since The Great Depression. IMF Blog: https://blogs.imf.org/2020/04/14/the-great-lockdown-worst-economic-downturn-since-the-great-depression/
  • GUİDOLİN, Massimo ve FERRARA, Eliana La (2010). The Economic Effects Of Violent Conflict: Evidence From Asset Market Reactions. Journal of Peace Research, 671-684.
  • GÜRİŞ, Selahattin ve ÇAĞLAYAN, Ebru (2010). Ekonometri Temel Kavramlar. İstanbul: DER.
  • HACIEVLİYAGİL, Nuri ve GÜMÜŞ, Arif (2020). Covid-19’un En Etkili Olduğu Ülkelerde Salgın-Borsa İlişkisi. Gaziantep University Journal Of Social Sciences, 354-364.
  • HATMANU, Mariana ve CAUTİSANU, Cristina (2021). The İmpact Of Covid-19 Pandemic On Stock Market: Evidence From Romania. International Journal Of Environmental Research and Public Health. https://doi.org/10.3390/ijerph18179315
  • JİANG, Yan, ZHANG, Yi, MA, Chunna, WANG, Qanyi, XU, Chao, DONOVAN, Connor, ALİ,Gloham, XU, Tan, ve SUN, Wenjie (2017). H7N9 Not Only Endanger Human Health But Also Hit Stock Marketing. Advances İn Disease Control And Prevention: https://doi.org/10.25196/adcp201711
  • JONES, Steven ve BANNING, Kevin (2009). US Elections And Monthly Stock Market Returns. Journal of Economics and Finance, 273-287.
  • JUST, Małgorzata ve ECHAUSTB, Krzysztof (2020). Stock Market Returns, Volatility, Correlation And Liquidity During The COVID-19 Crisis: Evidence From The Markov Switching Approach. Finance Research Letters, 1-8.
  • KHAN, Kamarat, ZHAO, Huawei, ZHANG, Han, YANG, Huilin, MUHAMMAD HAROON, Shah ve JAHANGER, Atif (2020). The İmpact Of Covid-19 Pandemic On Stock Markets: An Empirical Analysis Of World Major Stock İndices. Journal of Asian Finance, Economics and Business, 463-474.
  • KHANTHAVIT, Anya (2021). Measuring Covid-19 Effects On World And National Stock Market Returns. Journal of Asian Finance, Economics and Business, 1-13.
  • KONAK, Fatih ve DUMAN, Dilek (2019). Terör Saldırılarının Finansal Piyasalara Etkisi: Borsa İstanbul 100 Endeksi Üzerine Bir Çalışma. Üçüncü Sektör Sosyal Ekonomi Dergisi, 874-896.
  • MCKİBBİN, Warwick J. ve SİDORENKO, Alexandra A. (2006). Global Macroeconomic Consequences Of Pandemic İnfluenza. Centre for Applied Macroeconomic Analysis, 1-81.
  • NELSON, Daniel B. (1991). Conditional Heteroskedasticity İn Asset Returns: A New Approach. Econometrica, 347-370.
  • CEPOİ, Cosmin Octavian (2020). Asymmetric Dependence Between Stock Market Returns And News During COVID-19 Financial Turmoil. Finance Research Letters, 1-6.
  • OMAR, Ayman. M., WİSNİEWSKİ, Tomasz Piotry ve NOLTE, Sandra (2017). Diversifying Away The Risk Of War And Cross-Border Political Crisis. Energy Economics, 494-510.
  • SEVİNÇ, Deniz (2020). Covid-19’un Uluslararası Pay Piyasalarına Etkisi. Ekonomi, Politika & Finans Araştırmaları Dergisi, 59-75.
  • SMALES, Lee A. (2015). Better The Devil You Know: The İnfluence Of Political İncumbency On Australian Financial. Research In International Business and Finance, 59-74.
  • SOY TEMUR, Ayşe (2021). Koronavirüs Covid-19’un Dünya Borsaları Üzerine Etkisi Ve Bist-Perakende Sektöründeki Hisse Senetlerinin Bu Süreçteki Davranışları. Finansal Araştırmalar ve Çalışmalar Dergisi, 773-797.
  • SU, Dongwei ve FLEİSHER, Belton M. (1998). (1998) “Risk, Return And Regulation İn Chinese Stock Market. Journal of Econometric and Business, 239-256.
  • UDDİN, Moshfique, CHOWDHURY, Anup, ANDERSON, Keith ve CHAUDHURİ, Kausik (2021). The Effect Of COVID – 19 Pandemic On Global Stock Market Volatility: Can Economic Strength Help To Manage The Uncertainty? Journal of Business Research, 31-44.
  • WAGNER, Alexender F., ZECKHAUSER, Richard J. ve ZİEGLER, Alexandre. (2018). Company Stock Price Reactions To The 2016 Election Shock: Trump, Taxes, And Trade. Journal Of Financial Economics, 428-451.
  • WANG, Kai-Li ve FAWSON, Chris (2001). Modeling Asian Stock Returns With a More General Parametric GARCH Specification. Journal of Financial Studies, 21-52.
Year 2022, Volume: 14 Issue: 27, 309 - 323, 31.07.2022
https://doi.org/10.14784/marufacd.1148493

Abstract

References

  • ALEXANDER, Carol. (2009). Practical Financial Econometrics. John Wiley & Sons, Ltd.
  • ALEXANDER, Carol ve LAZAR, Emese. (2006). Normal Mixture GARCH (1, 1): Application To Exchange Rate Modeling. Journal of Applied Econometrics Economic Review, 885-905.
  • ALGAN, Neşe, BALCILAR, Mehmet, BAL, Harun, ve MANGA, Müge (2016). Terörizmin Finansal Piyasalara Etkisi: Türkiye Örneği. International Conference On Eurasian Economies, 624-631.
  • ASHRAF, Badar Nadeem (2020). Stock Markets Reaction To Covid-19: Cases Or Fatalities? Research in International Business and Finance, 101249–101249.
  • BARUT, Abdülkadir ve YERDELEN KAYGIN, Ceyda (2020). Covid-19 Pandemisinin Seçilmiş Borsa Endeksleri Üzerine Etkisinin İncelenmesi. Gaziantep Unıversity Journal Of Social Sciences, 59-70.
  • BAYRAMOĞLU, Mehmet Fatih ve ABASIZ, Tezcan (2017). Gelişmekte Olan Piyasa Endeksleri Arasında Volatilite Yayılım Etkisinin Analizi. Muhasebe ve Finansman Dergisi, 183-199.
  • BOLLERSLEV, Tim (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 307-327.
  • BUSZKO, Michal, ORZESZKO, Witold ve STAWARZ, Marcin. (2021). Covid-19 Pandemic and Stability Of Stock Market A Sectoral Approach. PLOS ONE, 1-26.
  • CAPELLE BLANCARD, Gunther ve DESROZİERS, Adrien (2020). The Stock Market is Not The Economy? Insights From The Covid-19 Crisis. CEPR Covid Economics, 1-40.
  • CHARLES, Amelie ve DARNÉ, Olivier. (2006). Large Shocks and The September 11th Terrorist Attacks on International Stock Markets. Econpapers, 683-698.
  • CHEN, Andrew. H. ve SİEMS, Thomas (2004). The Effects Of Terrorism On Global Capital Markets. Econpapers, 349-366.
  • CHRISTIE, Andrew A. (1982). The Stochastic Behavior Of Common Stock Variances: Value, Leverage And İnterest Rate Effects. Journal of Financial Economics, 407-432.
  • ÇİL, Nilgün (2015). Finansal Ekonometri. İstanbul: DER.
  • DEMİRDÖĞEN, Oğuzhan ve YORULMAZ, Recep (2020). Kovid-19 Salgınının Dünya Ekonomilerine Etkileri. Ankara: Ortadoğu Araştırmaları Merkezi.
  • DRAKOS, Anastassios A, KOURETAS, Georgios. P. ve ZARANGAS, Leonidas P. (2010). Forcasting Financial Volatility Of The Athens Stock Exchange Daily Returns: An Application Of The Asymmetric Normal Mixture
  • GARCH Model. International Journal of Finance and Economics, 1-4.
  • ENGLE, Robert F. (1982). Autoregressive Conditional Heteroscedasticity With Estimates Of The Variance Of United Kingdom İnflation. Econometrica, 987-1007.
  • FAQUE, Mustapher ve HACIOĞLU, Ümit (2021). Investigating The İmpact Of Covid-19 Pandemic On Stock Markets. Financial and Economic Studies, 199-219.
  • GOPİNATH, Gita (2020, Nisan 14). The Great Lockdown: Worst Economic Downturn Since The Great Depression. IMF Blog: https://blogs.imf.org/2020/04/14/the-great-lockdown-worst-economic-downturn-since-the-great-depression/
  • GUİDOLİN, Massimo ve FERRARA, Eliana La (2010). The Economic Effects Of Violent Conflict: Evidence From Asset Market Reactions. Journal of Peace Research, 671-684.
  • GÜRİŞ, Selahattin ve ÇAĞLAYAN, Ebru (2010). Ekonometri Temel Kavramlar. İstanbul: DER.
  • HACIEVLİYAGİL, Nuri ve GÜMÜŞ, Arif (2020). Covid-19’un En Etkili Olduğu Ülkelerde Salgın-Borsa İlişkisi. Gaziantep University Journal Of Social Sciences, 354-364.
  • HATMANU, Mariana ve CAUTİSANU, Cristina (2021). The İmpact Of Covid-19 Pandemic On Stock Market: Evidence From Romania. International Journal Of Environmental Research and Public Health. https://doi.org/10.3390/ijerph18179315
  • JİANG, Yan, ZHANG, Yi, MA, Chunna, WANG, Qanyi, XU, Chao, DONOVAN, Connor, ALİ,Gloham, XU, Tan, ve SUN, Wenjie (2017). H7N9 Not Only Endanger Human Health But Also Hit Stock Marketing. Advances İn Disease Control And Prevention: https://doi.org/10.25196/adcp201711
  • JONES, Steven ve BANNING, Kevin (2009). US Elections And Monthly Stock Market Returns. Journal of Economics and Finance, 273-287.
  • JUST, Małgorzata ve ECHAUSTB, Krzysztof (2020). Stock Market Returns, Volatility, Correlation And Liquidity During The COVID-19 Crisis: Evidence From The Markov Switching Approach. Finance Research Letters, 1-8.
  • KHAN, Kamarat, ZHAO, Huawei, ZHANG, Han, YANG, Huilin, MUHAMMAD HAROON, Shah ve JAHANGER, Atif (2020). The İmpact Of Covid-19 Pandemic On Stock Markets: An Empirical Analysis Of World Major Stock İndices. Journal of Asian Finance, Economics and Business, 463-474.
  • KHANTHAVIT, Anya (2021). Measuring Covid-19 Effects On World And National Stock Market Returns. Journal of Asian Finance, Economics and Business, 1-13.
  • KONAK, Fatih ve DUMAN, Dilek (2019). Terör Saldırılarının Finansal Piyasalara Etkisi: Borsa İstanbul 100 Endeksi Üzerine Bir Çalışma. Üçüncü Sektör Sosyal Ekonomi Dergisi, 874-896.
  • MCKİBBİN, Warwick J. ve SİDORENKO, Alexandra A. (2006). Global Macroeconomic Consequences Of Pandemic İnfluenza. Centre for Applied Macroeconomic Analysis, 1-81.
  • NELSON, Daniel B. (1991). Conditional Heteroskedasticity İn Asset Returns: A New Approach. Econometrica, 347-370.
  • CEPOİ, Cosmin Octavian (2020). Asymmetric Dependence Between Stock Market Returns And News During COVID-19 Financial Turmoil. Finance Research Letters, 1-6.
  • OMAR, Ayman. M., WİSNİEWSKİ, Tomasz Piotry ve NOLTE, Sandra (2017). Diversifying Away The Risk Of War And Cross-Border Political Crisis. Energy Economics, 494-510.
  • SEVİNÇ, Deniz (2020). Covid-19’un Uluslararası Pay Piyasalarına Etkisi. Ekonomi, Politika & Finans Araştırmaları Dergisi, 59-75.
  • SMALES, Lee A. (2015). Better The Devil You Know: The İnfluence Of Political İncumbency On Australian Financial. Research In International Business and Finance, 59-74.
  • SOY TEMUR, Ayşe (2021). Koronavirüs Covid-19’un Dünya Borsaları Üzerine Etkisi Ve Bist-Perakende Sektöründeki Hisse Senetlerinin Bu Süreçteki Davranışları. Finansal Araştırmalar ve Çalışmalar Dergisi, 773-797.
  • SU, Dongwei ve FLEİSHER, Belton M. (1998). (1998) “Risk, Return And Regulation İn Chinese Stock Market. Journal of Econometric and Business, 239-256.
  • UDDİN, Moshfique, CHOWDHURY, Anup, ANDERSON, Keith ve CHAUDHURİ, Kausik (2021). The Effect Of COVID – 19 Pandemic On Global Stock Market Volatility: Can Economic Strength Help To Manage The Uncertainty? Journal of Business Research, 31-44.
  • WAGNER, Alexender F., ZECKHAUSER, Richard J. ve ZİEGLER, Alexandre. (2018). Company Stock Price Reactions To The 2016 Election Shock: Trump, Taxes, And Trade. Journal Of Financial Economics, 428-451.
  • WANG, Kai-Li ve FAWSON, Chris (2001). Modeling Asian Stock Returns With a More General Parametric GARCH Specification. Journal of Financial Studies, 21-52.
There are 40 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Süreyya İmre Bıyıklı

Early Pub Date July 25, 2022
Publication Date July 31, 2022
Submission Date January 5, 2022
Published in Issue Year 2022 Volume: 14 Issue: 27

Cite

APA İmre Bıyıklı, S. (2022). COVID-19 PANDEMİSİNİN SEÇİLİ DÜNYA BORSALARI ÜZERİNDEKİ ETKİSİ. Finansal Araştırmalar Ve Çalışmalar Dergisi, 14(27), 309-323. https://doi.org/10.14784/marufacd.1148493