Öz
In our study, we focus on an empirical study analyzing the impact of COVID-19 pandemic on return and volatilities related to the BIST100 index, dollar, Euro, and gold, which are a significant indicator og financial markets. Also, we discuss the volatility spillover among indicators in question. The analysis, which is made by using the CCC-GARCH model and for the period between 01.01.2015 and 08.07.2020, shows that whole financial instruments out of the BIST 100 index are affected by the one-period lagged return of at least one different financial instrument. It is confirmed that the COVID-19 pandemic has a limited increasing effect on the return of the BIST100 index and gold. Also, the pandemic period increases the volatilities of the financial instruments. While there is a positive volatility spillover from Dollar to the Euro between Dollar and Euro, the highest spillover is in 2018 which is the year experienced political crisis between Turkey and the USA. The spillover effect among the financial instruments in question remains limited in the pandemic period. The coefficient related to the volatility spillover between the BIST100 index and the gold is found as negative, the investors direct to the gold as a financial instrument in the period of increasing volatilities on the index. While the highest volatility spillover among two financial instruments is seen in 2018, similarly with exchange rates, it reached the second highest spillover level on the pandemic period.
Anahtar Kelimeler
COVID-19 CCC-GARCH model Volatility spillover Exchange rates BIST100 Gold
Kaynakça
- Açıkgöz, Ö. & Günay, A. (2020). The early impact of the Covid-19 pandemic on the global and Turkish economy. Turkish Journal of Medical Sciences, 50, 520-526.
- Albulescu, C.T. (2020). COVID-19 and the United States financial markets’ volatility. Finance Research Letters (In Press).
- Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 32, 307-327.
- Bollerslev, T. (1990). Modeling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model. Review of Economics and Statistics, 72, 498-505.
- Bollerslev, T., Engle, R.F. & Wooldridge, J.M. (1988). A capital asset pricing model with time varying covariances. Journal of Political Economy, 96, 116-131.
- Chen, C.D. & Huang, B.Y. (2009). The positive and negative impacts of the SARS outbreak: A case of the Taiwan industries. Journal of Developing Areas, 43(1), 281-293.
- Corbet, S., Larkin, C. & Lucey, B. (2020). The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies. Erişim tarihi: 05.08.2020, https://ssrn.com/abstract=3564443.
- Dickey, D.A., & Fuller, W.A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072.
- Engle, R.F. (1979). A general approach to the construction of model diagnostics based upon the lagrange multiplier principle. The Warwick Economics Research Paper Series, 156, University of Warwick, Department of Economics.
- Engle, R.F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007.
- Euronews (2018). Adım adım Brunson krizi: nereden çıktı, nasıl çözüldü?. Erişim tarihi: 05.08.2020, https://tr.euronews.com/2018/10/12/adim-adim-brunson-krizi-abd-turkiye-iliskilerinde-yaptirimlar-noktasina-nasil-gelindi-.
- Gümüş, U.T. & Can Öziç, H. (2020). Investigation of the volatility structure of the BIST100 index before COVID 19 and the struggle process of COVID 19. Journal of Current Researches on Business and Economics, 10(1), 43-58.
- Hai, W., Zhao, Z., Wang, J. & Hou, Z.G. (2004). The short-term impact od SARS on the Chinese economy. Asian Economics Paper, 3(1), 57-61.
- Hanna, D. & Huang, Y. (2004). The impact of SARS on Asian economies. Asian Economic Papers, 3(1), 103-112.
- Huang, C., Wang, Y., Li, X., Ren, L., Zhao, J., Hu, Y., & Cheng, Z. (2020). Clinical features of patients infected with 2019 novel coronavirus in Wuhan, China. The Lancet, 395 (10223), 497-506.
- Kayral, İ.E. (2020). BİST sektör endekslerinde Ocak ayı anomalisinin incelenmesi. Finansal Dinamikler Küreselleşme Sürecinde Finansal Gelişmeler. 201-215. Baskı Yeri: Nobel Akademik Yayıncılık.
- Kayral, İ. E., & Tandoğan, N.Ş. (2020). Return and volatility spillovers between the Baltic States: an application with Mgarch and Dy model. Current Researches in Economics and Administrative Sciences. 339-355. IVPE, Cetinje-Montenegro.
- Keogh-Brown, M.R. & Smith, R.D. (2008). The economic impact of SARS: How does the reality match the predictions?. Health Policy, 88, 110-120.
- Kılıç, Y. (2020). Borsa İstanbul’da COVID-19 (Koronavirüs) etkisi. Journal of Emerging Economies and Policy, 5(1), 66-77.
- OECD (2020). The impact of the coronavirus (COVID-19) crisis on development finance. Erişim Tarihi: 15.08.2020, https://read.oecd-ilibrary.org/view/?ref=134_134569-xn1go1i113&title=The-impact-of-the-coronavirus-(COVID-19)-crisis-on-development-finance.
- Our World in Data. (2020a). Coronavirus (COVID-19) Cases. Erişim tarihi: 21.08.2020, https://ourworldindata.org/covid-cases?country=~OWID_WRL.
- Our World in Data. (2020b). Coronavirus (COVID-19) Deaths. Erişim tarihi: 21.08.2020, https://ourworldindata.org/covid-deaths?country=~OWID_WRL.
- Our World in Data. (2020c). Turkey: Coronavirus Pandemic. Erişim tarihi: 21.08.2020, https://ourworldindata.org/coronavirus/country/turkey?country=~TUR.
- Our World in Data. (2020d). Coronavirus (COVID-19) Deaths. Erişim tarihi: 21.08.2020, https://ourworldindata.org/covid-deaths?country=~TUR
- Overby, J., Rayburn, M. & Hammond, K. (2004). The China syndrome: The impact of the SARS epidemic in Southeast Asia. Asia Pacific Journal of Marketing and Logistics, 16(1), 69-94.
- Ozili, P. & Arun, T. (2020). Spillover of COVID-19: Impact on the global economy. MPRA Paper 99317.
- Öztürk, Ö., Şişman, M.Y., Uslu, H. & Çıtak, F. (2020). Effects of COVID-19 outbreak on Turkish stock market: A sectoral-level snalysis. Hitit University Journal of Social Sciences Institute, 13(1), 56-68.
- Öztürk, Ş. (2020). COVID-19 krizi ve finansal piyasalar. Para ve finans. 75-124. Baskı Yeri: IKSAD Publishing House.
- Phillips, P.C. & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
- Sansa, N.A. (2020). The impact of the COVID-19 on the financial markets: evidence from China and USA. Electronic Research Journal of Social Sciences and Humanities, 2(2), 29-39.
- Siu, A. & Wong, Y.C.R. (2004). Economic impact of SARS: The case of Hong Kong. Asian Economic Papers, 3(1), 62-83.
- Taymaz, E. (2020). Covid-19 tedbirlerinin ekonomik etkileri ve politika önerileri. Erişim Tarihi: 15.08.2020, https://sarkac.org/2020/03/covid-19-tedbirlerinin-ekonomik-etkileri-ve-politika-onerileri/ .
Öz
Çalışmamızda, Türkiye’de para ve sermaye piyasaları açısından önemli göstergeler arasında yer alan BİST100 endeksi, Dolar, Euro ve altın fiyatlarına ait getiri ve volatilitelerin COVID-19 pandemisinden etkilenme düzeyleri ile söz konusu göstergeler arasındaki volatilite yayılımının araştırıldığı bir ampirik çalışma gerçekleştirilmiştir. 01.01.2015 – 08.07.2020 döneminde CCC-GARCH modeli kullanılarak gerçekleştirilen çalışmada, BİST100 endeksi dışında kalan tüm yatırım araçlarının en az bir farklı yatırım aracının bir dönem gecikmeli getirisinden etkilendiği sonucuna ulaşılmıştır. Aynı zamanda, COVID-19 pandemisinin BİST100 endeksi ve altın getirilerini sınırlı düzeyde de olsa artırıcı etkisinin bulunduğu tespit edilmiştir. Ayrıca, pandemi sürecinin yatırım araçlarının volatilitelerini artırdığı sonucuna ulaşılmıştır. Dolar ile Euro arasında Dolar’dan Euro’ya doğru pozitif volatilite yayılımı bulunurken, en yüksek yayılımın Türkiye’nin ABD ile politik kriz yaşadığı 2018 yılında görüldüğü tespit edilmiştir. Söz konusu yatırım araçları arasındaki yayılım pandemi sürecinde sınırlı kalmıştır. BİST100 endeksi ile altın arasındaki volatilite yayılımına ilişkin katsayı ise negatif bulunmuş, yatırımcıların endekste volatilitelerin arttığı dönemde yatırım aracı olarak altına yöneldikleri sonucuna ulaşılmıştır. İki yatırım aracı arasındaki en yüksek volatilite yayılımı döviz kurlarına benzer şekilde 2018 yılında görülürken, pandemi sürecinde en yüksek ikinci yayılım düzeyine ulaşıldığı belirlenmiştir.
Anahtar Kelimeler
COVID-19 CCC-GARCH modeli Volatilite yayılımı Döviz kurları BİST100 Altın
Kaynakça
- Açıkgöz, Ö. & Günay, A. (2020). The early impact of the Covid-19 pandemic on the global and Turkish economy. Turkish Journal of Medical Sciences, 50, 520-526.
- Albulescu, C.T. (2020). COVID-19 and the United States financial markets’ volatility. Finance Research Letters (In Press).
- Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 32, 307-327.
- Bollerslev, T. (1990). Modeling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model. Review of Economics and Statistics, 72, 498-505.
- Bollerslev, T., Engle, R.F. & Wooldridge, J.M. (1988). A capital asset pricing model with time varying covariances. Journal of Political Economy, 96, 116-131.
- Chen, C.D. & Huang, B.Y. (2009). The positive and negative impacts of the SARS outbreak: A case of the Taiwan industries. Journal of Developing Areas, 43(1), 281-293.
- Corbet, S., Larkin, C. & Lucey, B. (2020). The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies. Erişim tarihi: 05.08.2020, https://ssrn.com/abstract=3564443.
- Dickey, D.A., & Fuller, W.A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072.
- Engle, R.F. (1979). A general approach to the construction of model diagnostics based upon the lagrange multiplier principle. The Warwick Economics Research Paper Series, 156, University of Warwick, Department of Economics.
- Engle, R.F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007.
- Euronews (2018). Adım adım Brunson krizi: nereden çıktı, nasıl çözüldü?. Erişim tarihi: 05.08.2020, https://tr.euronews.com/2018/10/12/adim-adim-brunson-krizi-abd-turkiye-iliskilerinde-yaptirimlar-noktasina-nasil-gelindi-.
- Gümüş, U.T. & Can Öziç, H. (2020). Investigation of the volatility structure of the BIST100 index before COVID 19 and the struggle process of COVID 19. Journal of Current Researches on Business and Economics, 10(1), 43-58.
- Hai, W., Zhao, Z., Wang, J. & Hou, Z.G. (2004). The short-term impact od SARS on the Chinese economy. Asian Economics Paper, 3(1), 57-61.
- Hanna, D. & Huang, Y. (2004). The impact of SARS on Asian economies. Asian Economic Papers, 3(1), 103-112.
- Huang, C., Wang, Y., Li, X., Ren, L., Zhao, J., Hu, Y., & Cheng, Z. (2020). Clinical features of patients infected with 2019 novel coronavirus in Wuhan, China. The Lancet, 395 (10223), 497-506.
- Kayral, İ.E. (2020). BİST sektör endekslerinde Ocak ayı anomalisinin incelenmesi. Finansal Dinamikler Küreselleşme Sürecinde Finansal Gelişmeler. 201-215. Baskı Yeri: Nobel Akademik Yayıncılık.
- Kayral, İ. E., & Tandoğan, N.Ş. (2020). Return and volatility spillovers between the Baltic States: an application with Mgarch and Dy model. Current Researches in Economics and Administrative Sciences. 339-355. IVPE, Cetinje-Montenegro.
- Keogh-Brown, M.R. & Smith, R.D. (2008). The economic impact of SARS: How does the reality match the predictions?. Health Policy, 88, 110-120.
- Kılıç, Y. (2020). Borsa İstanbul’da COVID-19 (Koronavirüs) etkisi. Journal of Emerging Economies and Policy, 5(1), 66-77.
- OECD (2020). The impact of the coronavirus (COVID-19) crisis on development finance. Erişim Tarihi: 15.08.2020, https://read.oecd-ilibrary.org/view/?ref=134_134569-xn1go1i113&title=The-impact-of-the-coronavirus-(COVID-19)-crisis-on-development-finance.
- Our World in Data. (2020a). Coronavirus (COVID-19) Cases. Erişim tarihi: 21.08.2020, https://ourworldindata.org/covid-cases?country=~OWID_WRL.
- Our World in Data. (2020b). Coronavirus (COVID-19) Deaths. Erişim tarihi: 21.08.2020, https://ourworldindata.org/covid-deaths?country=~OWID_WRL.
- Our World in Data. (2020c). Turkey: Coronavirus Pandemic. Erişim tarihi: 21.08.2020, https://ourworldindata.org/coronavirus/country/turkey?country=~TUR.
- Our World in Data. (2020d). Coronavirus (COVID-19) Deaths. Erişim tarihi: 21.08.2020, https://ourworldindata.org/covid-deaths?country=~TUR
- Overby, J., Rayburn, M. & Hammond, K. (2004). The China syndrome: The impact of the SARS epidemic in Southeast Asia. Asia Pacific Journal of Marketing and Logistics, 16(1), 69-94.
- Ozili, P. & Arun, T. (2020). Spillover of COVID-19: Impact on the global economy. MPRA Paper 99317.
- Öztürk, Ö., Şişman, M.Y., Uslu, H. & Çıtak, F. (2020). Effects of COVID-19 outbreak on Turkish stock market: A sectoral-level snalysis. Hitit University Journal of Social Sciences Institute, 13(1), 56-68.
- Öztürk, Ş. (2020). COVID-19 krizi ve finansal piyasalar. Para ve finans. 75-124. Baskı Yeri: IKSAD Publishing House.
- Phillips, P.C. & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.
- Sansa, N.A. (2020). The impact of the COVID-19 on the financial markets: evidence from China and USA. Electronic Research Journal of Social Sciences and Humanities, 2(2), 29-39.
- Siu, A. & Wong, Y.C.R. (2004). Economic impact of SARS: The case of Hong Kong. Asian Economic Papers, 3(1), 62-83.
- Taymaz, E. (2020). Covid-19 tedbirlerinin ekonomik etkileri ve politika önerileri. Erişim Tarihi: 15.08.2020, https://sarkac.org/2020/03/covid-19-tedbirlerinin-ekonomik-etkileri-ve-politika-onerileri/ .
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Konular | Finans |
| Bölüm | İşletme Finans |
| Yazarlar | |
| Yayımlanma Tarihi | 31 Ekim 2020 |
| Gönderilme Tarihi | 27 Ağustos 2020 |
| Kabul Tarihi | 25 Ekim 2020 |
| Yayımlandığı Sayı | Yıl 2020 Cilt: 19 Sayı: COVID-19 Special Issue |