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The Time-Varying Impact of Covid-19 on Stock Returns: Evidence on Developed Countries from a Bootstrap Rolling Window Causality Method

Yıl 2020, Cilt: 5 Sayı: Özel Sayı, 1 - 12, 26.12.2020
https://doi.org/10.30784/epfad.781992

Öz

This study examines the time-varying impact of the Novel Coronavirus (COVID-19) on stock returns by employing the bootstrap rolling window causality test. For this purpose, we use the daily data of COVID-19 confirmed cases and stock returns of six most hard-hit developed countries from the COVID-19 pandemic, namely France, Germany, Italy, Spain, the United Kingdom, and the United States. Before investigating the time-varying impact of COVID-19 on stock returns, we first examine the long-run relationship between COVID-19 confirmed cases and stock returns with the Kao panel cointegration method and we find that there exists a long-run relationship between variables. The bootstrap rolling window causality test results show that confirmed cases of COVID-19 have a time-varying impact on stock returns for each country. We also find that among the six developed countries in this study, the impact of daily COVID-19 confirmed cases on stock returns is the least in Germany, while it is the most in Italy. These results are thought to provide important information to market participants.

Kaynakça

  • Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A. and Alhammadi, C. (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
  • Alber, N. (2020). The effect of coronavirus spread on stock markets: The case of the worst 6 countries (SSRN Working Paper No. 3578080). http://dx.doi.org/10.2139/ssrn.3578080
  • Aslan, A., Destek, M. A. and Okumus, I. (2018). Bootstrap rolling window estimation approach to analysis of the Environment Kuznets Curve hypothesis: Evidence from the USA. Environ Sci Pollut Res, 25, 2402-2408. https://doi.org/10.1007/s11356-017-0548-3
  • Bai, J. and Ng, S. (2004). A panic attack on unit roots and cointegration. Econometrica, 72(4), 1127-1177. Retrieved from https://www.jstor.org/
  • Baker, S. R., Bloom, N., Davis, S. J., Kost, K. J., Sammon, M. C. and Viratyosin, T. (2020). The unprecedented stock market impact of COVID-19 (NBER Working Paper No. w26945). http://dx.doi.org/10.3386/w26945
  • Balcilar, M., Gupta, R. and Kyei, C. (2018). Predicting stock returns and volatility with investor sentiment indices: A reconsideration using a nonparametric causality-in-quantiles test. Bulletin of Economic Research, 70(1), 74-87. https://doi.org/10.1111/boer.12119
  • Balcilar, M., Ozdemir, Z. A. and Arslanturk, Y. (2010). Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window. Energy Economics, 32(6), 1398-1410. https://doi.org/10.1016/j.eneco.2010.05.015
  • Citak, F., Bagci, B., Sahin, E. E., Hos, S. and Sakinc, İ. (2020). Review of stock markets' reaction to COVID-19 news: fresh evidence from quantile-on-quantile regression approach (SSRN Working Paper No. 3596931). Retrieved from https://www.ssrn.com
  • Estrada, M. A. R., Park, D., Koutronas, E., Khan, A. and Tahir, M. (2020). The impact of infectious and contagious diseases and its impact on the economic performance: The case of Wuhan, China (SSRN Working Paper No. 3527330). http://dx.doi.org/10.2139/ssrn.3527330
  • Goker, I. E. K., Eren, B. S. and Karaca, S. S. (2020). The impact of the COVID-19 (Coronavirus) on the Borsa Istanbul sector index returns: An event study [Special Issue]. Gaziantep University Journal of Social Sciences, 2020, 14-41. https://doi.org/10.21547/jss.731980
  • Gunay, S. (2020). A new form of financial contagion: Covid-19 and stock market responses (SSRN Working Paper No. 3585069). http://dx.doi.org/10.2139/ssrn.3584243
  • Inglesi-Lotz, R., Balcilar, M. and Gupta, R. (2014). Time-varying causality between research output and economic growth in US. Scientometrics, 100, 203-216. https://doi.org/10.1007/s11192-014-1257-z
  • Liu, G-C., Lee, C-C. and Lee, C-C. (2016). The nexus between insurance activity and economic growth: A bootstrap rolling window approach. International Review of Economics and Finance, 43, 299-319. https://doi.org/10.1016/j.iref.2015.11.004
  • Luo, S. and Tsang, K. P. (2020). China and World output impact of the Hubei lockdown during the coronavirus outbreak (SSRN Working Paper No. 3543760). http://dx.doi.org/10.1111/coep.12482
  • McKibbin, W. J. and Fernando, R. (2020). The global macroeconomic impacts of COVID-19: Seven scenarios (SSRN Working Paper No. 3547729). http://dx.doi.org/10.2139/ssrn.3547729
  • Oztürk, O., Sisman, M. Y., Uslu, H. and Citak, F. (2020). Effect of COVID-19 outbreak on Turkish stock market: A sectoral-level analysis. Hitit University Journal of Social Sciences Institute, 13(1), 56-68. https://doi.org/10.17218/hititsosbil.728146
  • Pesaran, M. H. and Yamagata, T. (2008). Testing slope homogeneity in large panels. Journal of Econometrics, 142(1), 50-93. https://doi.org/10.1016/j.jeconom.2007.05.010
  • Poon, S-H. and Granger, C. W. J. (2003). Forecasting volatility in financial markets: A review. Journal of Economic Literature, 41(2), 478-539 https://doi.org/10.1257/002205103765762743
  • Ramelli, S. and Wagner, A. (2020). What the stock market tells us about the consequences of COVID-19. In R. Baldwin and B. W. di Mauro (Eds.), Mitigating the COVID economic crisis: Act fast and do whatever it takes (pp. 63-70). London: CEPR Press.
  • Sansa, N. A. (2020). The impact of Covid-19 on the financial markets. Evidence from China and USA (SSRN Working Paper No. 3562530). http://dx.doi.org/10.2139/ssrn.3562530
  • Verheyden, T., De Moor, L. and Van den Bossche, F. (2015). Towards a new framework on efficient markets. Research in International Business and Finance, 34, 294-308. https://doi.org/10.1016/j.ribaf.2015.02.007
  • WHO. (2020a). WHO coronavirus disease (COVID-19) dashboard (Overview). Retrieved from https://covid19.who.int
  • WHO. (2020b). WHO coronavirus disease (COVID-19) dashboard [Dataset]. Retrieved from https://covid19.who.int/table
  • Yan, C. (2020). COVID-19 Outbreak and stock prices: Evidence from China (SSRN Working Paper No. 3574374). http://dx.doi.org/10.2139/ssrn.3574374
  • Zeren, F. and Hızarcı, A. E. (2020). The impact of Covid-19 coronavirus on stock markets. Evidence from selected countries. Bulletin of Accounting and Finance Reviews, 3(1), 78-84. https://doi.org/10.32951/mufider.706159

COVID-19'un Hisse Senedi Getirileri Üzerindeki Zamanla Değişen Etkisi: Gelişmiş Ülkeler Üzerinde Bootstrap Rolling Window Nedensellik Yönteminden Kanıtlar

Yıl 2020, Cilt: 5 Sayı: Özel Sayı, 1 - 12, 26.12.2020
https://doi.org/10.30784/epfad.781992

Öz

Bu çalışma, yeni Coronavirüs’ün (COVID-19) hisse senedi getirileri üzerindeki zaman içinde değişen etkisini bootstrap rolling window nedensellik testini kullanarak incelemektedir. Bu amaç için, Fransa, Almanya, İtalya, İspanya, Birleşik Krallık ve Amerika Birleşik Devletleri olmak üzere COVID-19 pandemisinden en çok etkilenen altı gelişmiş ülkenin COVID-19 teyit edilen vakaları ile hisse senedi getirilerinin günlük verileri kullanılmıştır. COVID-19'un hisse senedi getirileri üzerindeki zaman içinde değişen etkisi araştırılmadan önce, ilk olarak COVID-19 teyit edilmiş vakalar ile hisse senedi getirileri arasındaki uzun vadeli ilişki Kao panel eşbütünleşme yöntemi ile incelenmiş ve değişkenler arasında uzun vadeli bir ilişki olduğu bulunmuştur. Bootstrap rolling window nedensellik testi sonuçları, COVID-19 teyit edilmiş vakaların her ülke için hisse senedi getirileri üzerinde zaman içinde değişen bir etkiye sahip olduğunu göstermiştir. Ayrıca, bu çalışmadaki altı gelişmiş ülke arasında, günlük COVID-19 teyit edilen vakaların hisse senedi getirileri üzerindeki etkisinin Almanya'da en az, İtalya'da ise en fazla olduğu belirlenmiştir. Bu sonuçların piyasa katılımcılarına önemli bilgiler sağlayacağı düşünülmektedir.

Kaynakça

  • Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A. and Alhammadi, C. (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
  • Alber, N. (2020). The effect of coronavirus spread on stock markets: The case of the worst 6 countries (SSRN Working Paper No. 3578080). http://dx.doi.org/10.2139/ssrn.3578080
  • Aslan, A., Destek, M. A. and Okumus, I. (2018). Bootstrap rolling window estimation approach to analysis of the Environment Kuznets Curve hypothesis: Evidence from the USA. Environ Sci Pollut Res, 25, 2402-2408. https://doi.org/10.1007/s11356-017-0548-3
  • Bai, J. and Ng, S. (2004). A panic attack on unit roots and cointegration. Econometrica, 72(4), 1127-1177. Retrieved from https://www.jstor.org/
  • Baker, S. R., Bloom, N., Davis, S. J., Kost, K. J., Sammon, M. C. and Viratyosin, T. (2020). The unprecedented stock market impact of COVID-19 (NBER Working Paper No. w26945). http://dx.doi.org/10.3386/w26945
  • Balcilar, M., Gupta, R. and Kyei, C. (2018). Predicting stock returns and volatility with investor sentiment indices: A reconsideration using a nonparametric causality-in-quantiles test. Bulletin of Economic Research, 70(1), 74-87. https://doi.org/10.1111/boer.12119
  • Balcilar, M., Ozdemir, Z. A. and Arslanturk, Y. (2010). Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window. Energy Economics, 32(6), 1398-1410. https://doi.org/10.1016/j.eneco.2010.05.015
  • Citak, F., Bagci, B., Sahin, E. E., Hos, S. and Sakinc, İ. (2020). Review of stock markets' reaction to COVID-19 news: fresh evidence from quantile-on-quantile regression approach (SSRN Working Paper No. 3596931). Retrieved from https://www.ssrn.com
  • Estrada, M. A. R., Park, D., Koutronas, E., Khan, A. and Tahir, M. (2020). The impact of infectious and contagious diseases and its impact on the economic performance: The case of Wuhan, China (SSRN Working Paper No. 3527330). http://dx.doi.org/10.2139/ssrn.3527330
  • Goker, I. E. K., Eren, B. S. and Karaca, S. S. (2020). The impact of the COVID-19 (Coronavirus) on the Borsa Istanbul sector index returns: An event study [Special Issue]. Gaziantep University Journal of Social Sciences, 2020, 14-41. https://doi.org/10.21547/jss.731980
  • Gunay, S. (2020). A new form of financial contagion: Covid-19 and stock market responses (SSRN Working Paper No. 3585069). http://dx.doi.org/10.2139/ssrn.3584243
  • Inglesi-Lotz, R., Balcilar, M. and Gupta, R. (2014). Time-varying causality between research output and economic growth in US. Scientometrics, 100, 203-216. https://doi.org/10.1007/s11192-014-1257-z
  • Liu, G-C., Lee, C-C. and Lee, C-C. (2016). The nexus between insurance activity and economic growth: A bootstrap rolling window approach. International Review of Economics and Finance, 43, 299-319. https://doi.org/10.1016/j.iref.2015.11.004
  • Luo, S. and Tsang, K. P. (2020). China and World output impact of the Hubei lockdown during the coronavirus outbreak (SSRN Working Paper No. 3543760). http://dx.doi.org/10.1111/coep.12482
  • McKibbin, W. J. and Fernando, R. (2020). The global macroeconomic impacts of COVID-19: Seven scenarios (SSRN Working Paper No. 3547729). http://dx.doi.org/10.2139/ssrn.3547729
  • Oztürk, O., Sisman, M. Y., Uslu, H. and Citak, F. (2020). Effect of COVID-19 outbreak on Turkish stock market: A sectoral-level analysis. Hitit University Journal of Social Sciences Institute, 13(1), 56-68. https://doi.org/10.17218/hititsosbil.728146
  • Pesaran, M. H. and Yamagata, T. (2008). Testing slope homogeneity in large panels. Journal of Econometrics, 142(1), 50-93. https://doi.org/10.1016/j.jeconom.2007.05.010
  • Poon, S-H. and Granger, C. W. J. (2003). Forecasting volatility in financial markets: A review. Journal of Economic Literature, 41(2), 478-539 https://doi.org/10.1257/002205103765762743
  • Ramelli, S. and Wagner, A. (2020). What the stock market tells us about the consequences of COVID-19. In R. Baldwin and B. W. di Mauro (Eds.), Mitigating the COVID economic crisis: Act fast and do whatever it takes (pp. 63-70). London: CEPR Press.
  • Sansa, N. A. (2020). The impact of Covid-19 on the financial markets. Evidence from China and USA (SSRN Working Paper No. 3562530). http://dx.doi.org/10.2139/ssrn.3562530
  • Verheyden, T., De Moor, L. and Van den Bossche, F. (2015). Towards a new framework on efficient markets. Research in International Business and Finance, 34, 294-308. https://doi.org/10.1016/j.ribaf.2015.02.007
  • WHO. (2020a). WHO coronavirus disease (COVID-19) dashboard (Overview). Retrieved from https://covid19.who.int
  • WHO. (2020b). WHO coronavirus disease (COVID-19) dashboard [Dataset]. Retrieved from https://covid19.who.int/table
  • Yan, C. (2020). COVID-19 Outbreak and stock prices: Evidence from China (SSRN Working Paper No. 3574374). http://dx.doi.org/10.2139/ssrn.3574374
  • Zeren, F. and Hızarcı, A. E. (2020). The impact of Covid-19 coronavirus on stock markets. Evidence from selected countries. Bulletin of Accounting and Finance Reviews, 3(1), 78-84. https://doi.org/10.32951/mufider.706159
Toplam 25 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Finans
Bölüm Makaleler
Yazarlar

Türker Şimşek 0000-0001-7581-7590

Oktay Özkan 0000-0001-9419-8115

Yayımlanma Tarihi 26 Aralık 2020
Kabul Tarihi 26 Ekim 2020
Yayımlandığı Sayı Yıl 2020 Cilt: 5 Sayı: Özel Sayı

Kaynak Göster

APA Şimşek, T., & Özkan, O. (2020). The Time-Varying Impact of Covid-19 on Stock Returns: Evidence on Developed Countries from a Bootstrap Rolling Window Causality Method. Ekonomi Politika Ve Finans Araştırmaları Dergisi, 5(Özel Sayı), 1-12. https://doi.org/10.30784/epfad.781992