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Covid-19 Pandemisinin Seçilmiş Borsa Endeksleri Üzerine Etkisinin İncelenmesi

Year 2020, Volume: 19 Issue: COVID-19 Special Issue, 59 - 70, 31.10.2020
https://doi.org/10.21547/jss.773237

Abstract

2019 yılının sonlarında Çin’in Wuhan şehrinde görülen ve tüm dünyaya yayılarak küresel bir sorun haline gelen ölümcül ve bulaşıcı özelliğe sahip Covid-19 hastalığının bireyleri, ülkeleri ve dünya ekonomisini olumsuz yönde etkileyeceği tahmin edilmektedir. Bu çalışmada Covid-19’un finansal piyasalara etkisini incelemek amacıyla vakaların ülkelerde ilk görülmeye başladığı tarihten 08.04.2020 tarihine kadar toplam vaka sayısı ve toplam ölüm sayısına göre hastalığın en fazla görüldüğü 11 ülke incelenmiştir. Covid-19 toplam vaka sayısı ile 11 ülkenin en önemli endekslerinin kapanış fiyatları arasındaki ilişki belirlemek için Bayer ve Hanck (2012) eşbütünleşme analizi kullanılmıştır. Araştırma; Çin (Shangai), ABD (DOW 30), İngiltere (FTSE 100), İtalya (FTSE MIB), İspanya (IBEX 35), Almanya (DAX), Fransa (CAC 40), Belçika (BEL 20), Hollanda (AEX), İsviçre (SMI) ve Türkiye (BIST 100) endekslerinden oluşmaktadır. Analiz sonucunda Covid-19 toplam vaka sayısı ile BİST100, FTSE MIB, IBEX35, AEX ve Shangai endeksleri arasında eşbütünleşme olduğu, DAX, CAC 40, BEL 20, SMI, FTSE 100 ve DOW 30 endeksleri arasında ise eşbütünleşme olmadığı tespit edilmiştir.

References

  • Alam, Z. ve Rashid, K. (2014). Time series analysis of the relationship between macroeconomic factors and the stock market returns in Pakistan. Journal of Yasar University, 9(36), 6261-6380. doi: 10.19168/jyu.55431
  • Ali, R. ve Afzal, M. ( 2012). Impact of global financial crisis on stock markets: Evidence from Pakistan and India. Journal of Business Management and Economics, 3(7), 275-282. corpus id: 9746695
  • Almumani, M.A (2014). Determinants of equity share prices of the listed banks in Amman Stock Exchange: Quantitative approach. International Journal of Business and Social Science, 5(1), 91-104. corpus id: 16627980
  • Al-Tamimi, H. A. H., Alwan, A.A. ve Rahman, A. A. (2011). Factors affecting stock prices in the UAE fmnancial Markets. Journal of transnational management, 16:1, 3-19. doi: 10.1080/15475778.2011.549441
  • Banerjee, A., Dolado, J. J. ve Mestre, R. (1998). Error-correction mechanism tests for cointegration in a single-equation framework. Journal of Time Series Analysis, 19, 267-283. https://doi.org/10.1111/1467-9892.00091
  • Bayer, C., & Hanck, C. (2012). Combining non‐cointegration tests. Journal of Time Series Analysis, 34(1), 83-95. https://doi.org/10.1111/j.1467-9892.2012.00814.x
  • Boardman, A. E. ve Laurin, C. (2000). Factors affecting the stock price performance of share issued privatizations. Applied Economics, 32(11), 1451-1464. https://doi.org/10.1080/00036840050151520
  • Boswijk, H. P. (1994). Testing for an unstable root in conditional and structural error correction models. Journal of Econometrics, 63, 37-60 https://doi.org/10.1016/0304-4076(93)01560-9
  • Bratamanggala, R. (2018). The factors affecting board stock price of Lq45 stock exchange 2012-2016: Case of Indonesia. European Research Studies Journal, 21(1), 115-124. doi:10.35808/ersj/934
  • Chhipa, M.A. ve Nabi, A.A. (2016). Factors affecting share prices of banking sector of Pakistan. Journal of Economic Info 3(1), 1-5. doi:10.31580/jei.v3i1.82 Dickey, D. A. & Fuller W. A. (1981). Likelihood ratıo statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072. doi: 10.2307/1912517
  • Dickey, D. A. ve Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427-431. doi: 10.2307/2286348
  • Engle, R. F. ve Granger, C. W. J. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica, 55, 251-276. doi:10.2307/1913236 Govindaraju, V. C. ve Tang, C. F. (2013). The dynamic links between CO2 emissions, economic growth and coal consumption in China and India. Applied Energy, 104, 310-318. doi: 10.1016/j.apenergy.2012.10.042
  • Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12, 231-254. https://doi.org/10.1016/0165-1889(88)90041-3
  • Khan,M. ve Amanullah. (2012). Determinants of Share Prices at Karachi Stock Exchange. International Journal of Business & Management Studies, 4(1), 111-120. http://dergipark.org.tr/en/download/article-file/255844
  • Ligocká, M., Pražák, T. ve Stavárek, D. (2016). The Effect of Macroeconomic Factors on Stock Prices of Swiss Real Estate Companies. Article in Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 64(6), 2015-2024. doi:10,11118 / actaun201664062015
  • Malhotra, N. ve Tandon, K. (2013). Determinants of Stock Prices: Empirical Evidence from NSE 100 Companies. International Journal of Research in Management & Technology, 3(3), 86-95. corpus id: 59378350
  • Menike, L.M.C.S. (2006). The Effect of Macroeconomic Variables on Stock Prices in Emerging Sri Lankan Stock Market. Sabaragamuwa University Journal, 6(1), 50-67. 1689-6041-2-PB%20(4).pdf
  • Naseem, S., Fu, G.L., Lan, V.T., Momsin, M. ve Zia-Ur-Rehman, M. (2019). Macroeconomic Variables and the Pakistan Stock Market: Exploring Long and Short-Run Relationships. Pacific Business Review International, 1187, 62-72. http://www.pbr.co.in/2019/2019_month/Jan/7.pdf
  • Newey, W. K. ve West, K. D. (1994). Automatic lag selection in covariance matrix estimation. The Review of Economic Studies, 61(4), 631-653. https://doi.org/10.2307/2297912
  • Ouma, W. N. ve Muriu, P. (2014). The Impact of Macroeconomic Variables on Stock Market Returns in Kenya. International Journal of Business and Commerce, 3(11), 1-31. https://www.ijbcnet.com/3-11/IJBC-14-31001.pdf
  • Özlen, Ş. Ve Ergun, U. (2012). Internal Determinants of the Stock Price Movements on Sector Basis. International Research Journal of Finance and Economics, 9, 111-117. http://www.internationalresearchjournaloffinanceandeconomics.com/
  • Paul, S. ve Mallik, G. (2003). Macroeconomic factors and bank and financial stock prices: the Australian experience. Economic Analysis and Policy, 33, 23‐30. https://doi.org/10.1016/S0313-5926(03)50002-9
  • Peiró, A. (2016). Stock Pices and Macroeconomic Factors: Some European Evidence, International Review of Economics & Finance, 41, 287-294. https://doi.org/10.1016/j.iref.2015.08.004
  • Rjoub, H., Türsoy, T. ve Günsel, N. (2009). The effects of macroeconomic factors on stock returns: Istanbul Stock Market. Studies in Economics and Finance, 26(1), 36-45. doi: 10.1108/10867370910946315
  • Sansa, N. A. (2020). The Impact of the COVID-19 on the Financial Markets: Evidence from China and USA. Available at SSRN: https://ssrn.com/abstract=3562530 or http://dx.doi.org/10.2139/ssrn.3562530, 1-26.
  • Sharif, T., Purohit, H. & Pillai, R. (2015). Analysis of Factors Affecting Share Prices: The Case of Bahrain Stock Exchange. International Journal of Economics and Finance, 7(3), 207-216.doi: 10,5539 / ijef.v7n3p207
  • Sharma, G. D. ve Mahendru, M. (2010). Impact of Macro-Economic Variables on Stock Prices in India. Global Journal of Management and Business Research, 10(7), 1-18. https://ssrn.com/abstract=1827462
  • Zeren, F. ve Hızarcı, A. E. (2020). The Impact of Covid-19 Coronavirus on Stock Markets: Evidence from Selected Countries. Muhasebe ve Finans İncelemeleri Dergisi, 3 (1), 78-84. doi:10.32951/mufider.706159

Examining The Impact of Covid-19 Pandemics Upon Selected Share Indices

Year 2020, Volume: 19 Issue: COVID-19 Special Issue, 59 - 70, 31.10.2020
https://doi.org/10.21547/jss.773237

Abstract

Appearing in the city of Wuhan, China in the late by the end of 2019 and becoming a global problem by spreading all over the world, the disease of Covid-19, with its features of being deadly and contagious, is estimated to influence individuals, countries and global economy negatively. In the present study, eleven countries where the highest rate of cases was experienced in accordance with total number of cases and total number of deaths were examined from the date when the cases were first observed to April, 8, 2020 with the aim of analyzing the effects of Covid-19 upon financial markets. So as to determine the relationship between total number of cases resulting from Covid-19 and closing prices of the most significant indices belonging to those eleven countries, the present study utilized from Bayer and Hanck (2012) cointegration analysis. The research involved the indices of China (Shangai), the USA (DOW 30), England (FTSE 100), Italy (FTSE MIB), Spain (IBEX 35), Germany (DAX), France (CAC 40), Belgium (BEL 20), Netherlands (AEX), Switzerland (SMI) and Turkey (BIST 100). The analysis results revealed that a cointegration existed between total number of cases resulting from Covid-19 and the indices of BIST100, FTSE MIB, IBEX35, AEX and Shangai while no cointegration was observed with those of DAX, CAC 40, BEL 20, SMI, FTSE 100 and DOW 30.

References

  • Alam, Z. ve Rashid, K. (2014). Time series analysis of the relationship between macroeconomic factors and the stock market returns in Pakistan. Journal of Yasar University, 9(36), 6261-6380. doi: 10.19168/jyu.55431
  • Ali, R. ve Afzal, M. ( 2012). Impact of global financial crisis on stock markets: Evidence from Pakistan and India. Journal of Business Management and Economics, 3(7), 275-282. corpus id: 9746695
  • Almumani, M.A (2014). Determinants of equity share prices of the listed banks in Amman Stock Exchange: Quantitative approach. International Journal of Business and Social Science, 5(1), 91-104. corpus id: 16627980
  • Al-Tamimi, H. A. H., Alwan, A.A. ve Rahman, A. A. (2011). Factors affecting stock prices in the UAE fmnancial Markets. Journal of transnational management, 16:1, 3-19. doi: 10.1080/15475778.2011.549441
  • Banerjee, A., Dolado, J. J. ve Mestre, R. (1998). Error-correction mechanism tests for cointegration in a single-equation framework. Journal of Time Series Analysis, 19, 267-283. https://doi.org/10.1111/1467-9892.00091
  • Bayer, C., & Hanck, C. (2012). Combining non‐cointegration tests. Journal of Time Series Analysis, 34(1), 83-95. https://doi.org/10.1111/j.1467-9892.2012.00814.x
  • Boardman, A. E. ve Laurin, C. (2000). Factors affecting the stock price performance of share issued privatizations. Applied Economics, 32(11), 1451-1464. https://doi.org/10.1080/00036840050151520
  • Boswijk, H. P. (1994). Testing for an unstable root in conditional and structural error correction models. Journal of Econometrics, 63, 37-60 https://doi.org/10.1016/0304-4076(93)01560-9
  • Bratamanggala, R. (2018). The factors affecting board stock price of Lq45 stock exchange 2012-2016: Case of Indonesia. European Research Studies Journal, 21(1), 115-124. doi:10.35808/ersj/934
  • Chhipa, M.A. ve Nabi, A.A. (2016). Factors affecting share prices of banking sector of Pakistan. Journal of Economic Info 3(1), 1-5. doi:10.31580/jei.v3i1.82 Dickey, D. A. & Fuller W. A. (1981). Likelihood ratıo statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072. doi: 10.2307/1912517
  • Dickey, D. A. ve Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427-431. doi: 10.2307/2286348
  • Engle, R. F. ve Granger, C. W. J. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica, 55, 251-276. doi:10.2307/1913236 Govindaraju, V. C. ve Tang, C. F. (2013). The dynamic links between CO2 emissions, economic growth and coal consumption in China and India. Applied Energy, 104, 310-318. doi: 10.1016/j.apenergy.2012.10.042
  • Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12, 231-254. https://doi.org/10.1016/0165-1889(88)90041-3
  • Khan,M. ve Amanullah. (2012). Determinants of Share Prices at Karachi Stock Exchange. International Journal of Business & Management Studies, 4(1), 111-120. http://dergipark.org.tr/en/download/article-file/255844
  • Ligocká, M., Pražák, T. ve Stavárek, D. (2016). The Effect of Macroeconomic Factors on Stock Prices of Swiss Real Estate Companies. Article in Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 64(6), 2015-2024. doi:10,11118 / actaun201664062015
  • Malhotra, N. ve Tandon, K. (2013). Determinants of Stock Prices: Empirical Evidence from NSE 100 Companies. International Journal of Research in Management & Technology, 3(3), 86-95. corpus id: 59378350
  • Menike, L.M.C.S. (2006). The Effect of Macroeconomic Variables on Stock Prices in Emerging Sri Lankan Stock Market. Sabaragamuwa University Journal, 6(1), 50-67. 1689-6041-2-PB%20(4).pdf
  • Naseem, S., Fu, G.L., Lan, V.T., Momsin, M. ve Zia-Ur-Rehman, M. (2019). Macroeconomic Variables and the Pakistan Stock Market: Exploring Long and Short-Run Relationships. Pacific Business Review International, 1187, 62-72. http://www.pbr.co.in/2019/2019_month/Jan/7.pdf
  • Newey, W. K. ve West, K. D. (1994). Automatic lag selection in covariance matrix estimation. The Review of Economic Studies, 61(4), 631-653. https://doi.org/10.2307/2297912
  • Ouma, W. N. ve Muriu, P. (2014). The Impact of Macroeconomic Variables on Stock Market Returns in Kenya. International Journal of Business and Commerce, 3(11), 1-31. https://www.ijbcnet.com/3-11/IJBC-14-31001.pdf
  • Özlen, Ş. Ve Ergun, U. (2012). Internal Determinants of the Stock Price Movements on Sector Basis. International Research Journal of Finance and Economics, 9, 111-117. http://www.internationalresearchjournaloffinanceandeconomics.com/
  • Paul, S. ve Mallik, G. (2003). Macroeconomic factors and bank and financial stock prices: the Australian experience. Economic Analysis and Policy, 33, 23‐30. https://doi.org/10.1016/S0313-5926(03)50002-9
  • Peiró, A. (2016). Stock Pices and Macroeconomic Factors: Some European Evidence, International Review of Economics & Finance, 41, 287-294. https://doi.org/10.1016/j.iref.2015.08.004
  • Rjoub, H., Türsoy, T. ve Günsel, N. (2009). The effects of macroeconomic factors on stock returns: Istanbul Stock Market. Studies in Economics and Finance, 26(1), 36-45. doi: 10.1108/10867370910946315
  • Sansa, N. A. (2020). The Impact of the COVID-19 on the Financial Markets: Evidence from China and USA. Available at SSRN: https://ssrn.com/abstract=3562530 or http://dx.doi.org/10.2139/ssrn.3562530, 1-26.
  • Sharif, T., Purohit, H. & Pillai, R. (2015). Analysis of Factors Affecting Share Prices: The Case of Bahrain Stock Exchange. International Journal of Economics and Finance, 7(3), 207-216.doi: 10,5539 / ijef.v7n3p207
  • Sharma, G. D. ve Mahendru, M. (2010). Impact of Macro-Economic Variables on Stock Prices in India. Global Journal of Management and Business Research, 10(7), 1-18. https://ssrn.com/abstract=1827462
  • Zeren, F. ve Hızarcı, A. E. (2020). The Impact of Covid-19 Coronavirus on Stock Markets: Evidence from Selected Countries. Muhasebe ve Finans İncelemeleri Dergisi, 3 (1), 78-84. doi:10.32951/mufider.706159
There are 28 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Business
Authors

Abdulkadir Barut 0000-0001-8315-9727

Ceyda Yerdelen Kaygın 0000-0001-9544-9991

Publication Date October 31, 2020
Submission Date July 24, 2020
Acceptance Date September 8, 2020
Published in Issue Year 2020 Volume: 19 Issue: COVID-19 Special Issue

Cite

APA Barut, A., & Yerdelen Kaygın, C. (2020). Covid-19 Pandemisinin Seçilmiş Borsa Endeksleri Üzerine Etkisinin İncelenmesi. Gaziantep University Journal of Social Sciences, 19(COVID-19 Special Issue), 59-70. https://doi.org/10.21547/jss.773237

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