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The Effects of Coronavirus (Covid-19) Epidemic on the Stock Market: The Case of BIST 100

Year 2020, Volume: 5 Issue: Özel Sayı, 225 - 239, 26.12.2020
https://doi.org/10.30784/epfad.811636

Abstract

The coronavirus (Covid-19) outbreak that emerged from central China in late December has spread all over the World. In addition to the negative consequences and threats of the epidemic on public health, its economic effects have also emerged rapidly. The policies implemented by the governments to prevent the spread of the epidemic and the necessary changes in people's lifestyles have affected all economic activities from production to consumption. The unexpected and rapid adversities show their economic effects on the stock markets initially. In the study, the effects of the Covid-19 outbreak on BIST 100 are examined. In analyzing the data, event study and time series (GARCH) method are used. According to the event study results, on March 10, 2020 the first day the Covid-19 pandemic emerged in Turkey, BIST 100 has an abnormal return. According to the sector index returns used in the analysis, all sectors (service, industry, finance, technology) have abnormal returns and were adversely affected during the epidemic period. Thus, it is revealed that the markets react quickly to unexpected events and are negatively affected. On the other hand, according to the time series analysis results, it is observed that the epidemic caused volatility and is effective on BIST 100.

References

  • Akça, M. (2020). Covid-19’un havacılık sektörüne etkisi. Avrasya Sosyal ve Ekonomi Araştırmaları Dergisi, 7(4), 45-64. Erişim adresi: http://www.dergipark.org.tr/tr/pub/asead
  • Akgül, I. and Sayyan, H. (2005). Forecasting volatility in ISE-30 stock returns with asymmetric conditional heteroscedasticity models. In Symposium of Traditional Finance. Symposium conducted at the meeting of the Marmara Üniversitesi Bankacılık ve Sigortacılık Yuksekokulu, Istanbul, Turkey.
  • Birgili, E., Üçay, K. ve Esen, Ö. (2015). BIST 100 (XU100) endeksinde doğrusal dışı yapılar. Bilgi Ekonomisi ve Yönetimi Dergisi, 10(2), 143-167. Erişim adresi: https://dergipark.org.tr/tr/pub/beyder
  • Bissoondoyal-Bheenick, E. and Brooks, R. (2015). Stock market impact of sovereign rating changes: alternative benchmark models. Emerging Market and Sovereign Risk, 231-252. https://doi.org/10.1057/9781137450661_13
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327. https://doi.org/10.1016/0304-4076(86)90063-1
  • Brown, S. and Warner, J. (1985). Using daily stock returns: the case of events studies. Journal of Financial Economics, 14, 3-31. https://doi.org/10.1016/0304-405X(85)90042-X
  • Chang, S. C., Chen, S. S. and Chen, L. Y. (2010). Does prior record matter in the wealth effect of open-market share repurchase announcements?. International Review of Economics & Finance, 19(3), 427-435. https://doi.org/10.1016/j.iref.2009.10.015
  • Chen, A. and Siems, T. (2004). The effects of terrorism on global capital markets. European Journal of Political Economy, 20, 349-366. https://doi.org/10.1016/j.ejpoleco.2003.12.005
  • Chen, C. R., Mohan, N. J. and Steiner, T. L. (1999). Discount rate changes, stock market returns, volatility, and trading volume: Evidence from intraday data and implications for market efficiency. Journal of Banking & Finance, 23(6), 897-924. https://doi.org/10.1016/S0378-4266(98)00118-6
  • Chi, D., Lu, H. and Tsai, Z. (2010). Does stock repurchase declaration affect stock price? Differences between the electrics industry and other industries. Expert Systems with Applications, 37, 640-646. https://doi.org/10.1016/j.eswa.2009.06.027
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50, 987-1007. https://doi.org/10.2307/1912773
  • Fernandes, N. (2020). Economic effects of coronavirus outbreak (Covid-19) on the world economy. (IESE Business School Working Paper No. WP-1240-E). http://dx.doi.org/10.2139/ssrn.3557504
  • Investing. (2020). BIST 100 historical data. Erişim adresi: https://www.investing.com/indices/ise-100-historical-data
  • Maliszewska, M., Mattoo, A. and Van Der Mensbrugghe, D. (2020). The potential impact of Covid-19 on GDP and trade: a preliminary assessment (World Bank Group Policy Research Working Papers). https://doi.org/10.1596/1813-9450-9211
  • McKibbin, W. J. and Fernando, R. (2020). The global macroeconomic impacts of Covid-19: seven scenarios (CAMA Working Paper No. 19). http://dx.doi.org/10.2139/ssrn.3547729
  • Ozturk, H. (2014). The origin of bias in sovereign credit ratings: reconciling agency views with institutional quality. The Journal of Developing Areas, 48, 4, 161-188. doi:10.1353/jda.2014.0066
  • Özer, M. ve Türkyılmaz, S. (2004). Türkiye finansal piyasalarında oynaklıkların ARCH modelleri ile analizi. Eskişehir: Anadolu Üniversitesi Yayınları.
  • Ryngaert, M. and Netter, J. (1990). Shareholder wealth effects of the 1986 Ohio antitakeover law revisited: Its real effects. JL Econ & Org., 6, 253. Retrieved from https://heinonline.org/
  • Shehzad, K., Xiaoxing, L. and Kazouz, H. (2020). Covid-19 disasters are perilous than global financial crisis: a rumor or fact? Finance Research Letters, 36, 101669. doi:10.1016/j.frl.2020.101669
  • Sumner, A., Hoy, C. and Ortiz-Juarez, E. (2020). Estimates of the impact of COVID-19 on global poverty. (WIDER Working Paper 2020/43). https://doi.org/10.35188/UNU-WIDER/2020/800-9
  • Şanlı, O. (2020). Keynesyen model bağlamında Covid-19 pandeminin küresel ekonomiye muhtemel etkileri ABD ve Çin ekonomileri üzerine bir araştırma. Avrasya Sosyal ve Ekonomi Araştırmaları Dergisi, 7(5), 597-634. Erişim adresi: https://dergipark.org.tr/en/pub/asead/issue/54658/727388
  • Topcu, M. and Gulal, O. S. (2020). The impact of Covid-19 on emerging stock markets. Finance Research Letters, 36, 101691. doi:10.1016/j.frl.2020.101691
  • Verma, P. and Jackson, D. (2012). The dynamic relationship between ADRS, interest rates, exchange rates and their spillover effects. North American Journal of Finance and Banking Research, 6(6), 1. Retrieved from http://globip.com/
  • Zeren, F. and Hızarcı, A. (2020). The impact of Covid-19 coronavirus on stock markets: evidence from selected countries. Muhasebe ve Finans İncelemeleri Dergisi, 3(1), 78-84. https://doi.org/10.32951/mufider.706159
  • Zhang, D., Hu, M. and Ji, Q. (2020). Financial markets under the global pandemic of Covid-19. Finance Research Letters, 101528. doi:10.1016/j.frl.2020.101528

Koronavirüs (Covid-19) Salgınının Hisse Senedi Piyasasına Etkisi: BIST 100 Örneği

Year 2020, Volume: 5 Issue: Özel Sayı, 225 - 239, 26.12.2020
https://doi.org/10.30784/epfad.811636

Abstract

Çin’de aralık ayı sonlarında ortaya çıkan korona virüs (Covid-19) salgını, bütün dünyaya yayılmıştır. Salgının toplum sağlığı üzerindeki olumsuz sonuçları ve tehditlerine ek olarak, ekonomik etkileri de hızla ortaya çıkmıştır. Yönetimlerin salgının yayılmasını engellemek için uyguladığı politikalar ve insanların yaşam şekillerinde meydana gelen zorunlu değişiklikler, üretimden tüketime bütün ekonomik faaliyetleri etkilemiştir. Beklenmedik ve hızlı bir şekilde ortaya çıkan olumsuzluklar ekonomik etkilerini ilk olarak borsalarda göstermektedir. Çalışmada, Covid-19 salgınının BIST 100 üzerindeki etkileri incelenmektedir. Verilerin analizinde, olay çalışması ve zaman serisi (GARCH) yöntemleri kullanılmıştır. Olay çalışması sonuçlarına göre Türkiye'de Covid-19 salgınının ortaya çıktığı ilk gün olan 10 Mart 2020'de BIST 100 anormal getiriye sahiptir. Analizde kullanılan sektör endeks getirilerine göre, bütün sektörler (hizmet, sınai, mali, teknoloji) anormal getirilere sahiptir ve salgın döneminde olumsuz etkilenmişlerdir. Böylece, piyasaların beklenmeyen olaylara hızlı tepki verdiği ve olumsuz etkilendiği ortaya koyulmaktadır. Öte yandan, zaman serisi analiz sonuçlarına göre, salgının BIST 100 üzerinde oynaklığa yol açtığı ve etkili olduğu anlaşılmaktadır.

References

  • Akça, M. (2020). Covid-19’un havacılık sektörüne etkisi. Avrasya Sosyal ve Ekonomi Araştırmaları Dergisi, 7(4), 45-64. Erişim adresi: http://www.dergipark.org.tr/tr/pub/asead
  • Akgül, I. and Sayyan, H. (2005). Forecasting volatility in ISE-30 stock returns with asymmetric conditional heteroscedasticity models. In Symposium of Traditional Finance. Symposium conducted at the meeting of the Marmara Üniversitesi Bankacılık ve Sigortacılık Yuksekokulu, Istanbul, Turkey.
  • Birgili, E., Üçay, K. ve Esen, Ö. (2015). BIST 100 (XU100) endeksinde doğrusal dışı yapılar. Bilgi Ekonomisi ve Yönetimi Dergisi, 10(2), 143-167. Erişim adresi: https://dergipark.org.tr/tr/pub/beyder
  • Bissoondoyal-Bheenick, E. and Brooks, R. (2015). Stock market impact of sovereign rating changes: alternative benchmark models. Emerging Market and Sovereign Risk, 231-252. https://doi.org/10.1057/9781137450661_13
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327. https://doi.org/10.1016/0304-4076(86)90063-1
  • Brown, S. and Warner, J. (1985). Using daily stock returns: the case of events studies. Journal of Financial Economics, 14, 3-31. https://doi.org/10.1016/0304-405X(85)90042-X
  • Chang, S. C., Chen, S. S. and Chen, L. Y. (2010). Does prior record matter in the wealth effect of open-market share repurchase announcements?. International Review of Economics & Finance, 19(3), 427-435. https://doi.org/10.1016/j.iref.2009.10.015
  • Chen, A. and Siems, T. (2004). The effects of terrorism on global capital markets. European Journal of Political Economy, 20, 349-366. https://doi.org/10.1016/j.ejpoleco.2003.12.005
  • Chen, C. R., Mohan, N. J. and Steiner, T. L. (1999). Discount rate changes, stock market returns, volatility, and trading volume: Evidence from intraday data and implications for market efficiency. Journal of Banking & Finance, 23(6), 897-924. https://doi.org/10.1016/S0378-4266(98)00118-6
  • Chi, D., Lu, H. and Tsai, Z. (2010). Does stock repurchase declaration affect stock price? Differences between the electrics industry and other industries. Expert Systems with Applications, 37, 640-646. https://doi.org/10.1016/j.eswa.2009.06.027
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50, 987-1007. https://doi.org/10.2307/1912773
  • Fernandes, N. (2020). Economic effects of coronavirus outbreak (Covid-19) on the world economy. (IESE Business School Working Paper No. WP-1240-E). http://dx.doi.org/10.2139/ssrn.3557504
  • Investing. (2020). BIST 100 historical data. Erişim adresi: https://www.investing.com/indices/ise-100-historical-data
  • Maliszewska, M., Mattoo, A. and Van Der Mensbrugghe, D. (2020). The potential impact of Covid-19 on GDP and trade: a preliminary assessment (World Bank Group Policy Research Working Papers). https://doi.org/10.1596/1813-9450-9211
  • McKibbin, W. J. and Fernando, R. (2020). The global macroeconomic impacts of Covid-19: seven scenarios (CAMA Working Paper No. 19). http://dx.doi.org/10.2139/ssrn.3547729
  • Ozturk, H. (2014). The origin of bias in sovereign credit ratings: reconciling agency views with institutional quality. The Journal of Developing Areas, 48, 4, 161-188. doi:10.1353/jda.2014.0066
  • Özer, M. ve Türkyılmaz, S. (2004). Türkiye finansal piyasalarında oynaklıkların ARCH modelleri ile analizi. Eskişehir: Anadolu Üniversitesi Yayınları.
  • Ryngaert, M. and Netter, J. (1990). Shareholder wealth effects of the 1986 Ohio antitakeover law revisited: Its real effects. JL Econ & Org., 6, 253. Retrieved from https://heinonline.org/
  • Shehzad, K., Xiaoxing, L. and Kazouz, H. (2020). Covid-19 disasters are perilous than global financial crisis: a rumor or fact? Finance Research Letters, 36, 101669. doi:10.1016/j.frl.2020.101669
  • Sumner, A., Hoy, C. and Ortiz-Juarez, E. (2020). Estimates of the impact of COVID-19 on global poverty. (WIDER Working Paper 2020/43). https://doi.org/10.35188/UNU-WIDER/2020/800-9
  • Şanlı, O. (2020). Keynesyen model bağlamında Covid-19 pandeminin küresel ekonomiye muhtemel etkileri ABD ve Çin ekonomileri üzerine bir araştırma. Avrasya Sosyal ve Ekonomi Araştırmaları Dergisi, 7(5), 597-634. Erişim adresi: https://dergipark.org.tr/en/pub/asead/issue/54658/727388
  • Topcu, M. and Gulal, O. S. (2020). The impact of Covid-19 on emerging stock markets. Finance Research Letters, 36, 101691. doi:10.1016/j.frl.2020.101691
  • Verma, P. and Jackson, D. (2012). The dynamic relationship between ADRS, interest rates, exchange rates and their spillover effects. North American Journal of Finance and Banking Research, 6(6), 1. Retrieved from http://globip.com/
  • Zeren, F. and Hızarcı, A. (2020). The impact of Covid-19 coronavirus on stock markets: evidence from selected countries. Muhasebe ve Finans İncelemeleri Dergisi, 3(1), 78-84. https://doi.org/10.32951/mufider.706159
  • Zhang, D., Hu, M. and Ji, Q. (2020). Financial markets under the global pandemic of Covid-19. Finance Research Letters, 101528. doi:10.1016/j.frl.2020.101528
There are 25 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Makaleler
Authors

Utku Ölmez 0000-0003-0631-8311

Alper Aykut Ekinci 0000-0002-3141-3380

Publication Date December 26, 2020
Acceptance Date December 10, 2020
Published in Issue Year 2020 Volume: 5 Issue: Özel Sayı

Cite

APA Ölmez, U., & Ekinci, A. A. (2020). Koronavirüs (Covid-19) Salgınının Hisse Senedi Piyasasına Etkisi: BIST 100 Örneği. Ekonomi Politika Ve Finans Araştırmaları Dergisi, 5(Özel Sayı), 225-239. https://doi.org/10.30784/epfad.811636

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