The Impact of the COVID-19 Outbreak on the Volatility of Stock Markets as an Information Channel

The COVID-19 pandemic, which caused serious depression in the whole real sector, affected the volatility of the stock markets through the information channel. In this context, the aim of the study is to investigate the presence of volatility spillover effect from information of COVID-19 to BIST sector index returns. XU100, XU30, XUSIN, XGIDA, XUTEK, XBLSM and XTRZM indices and the daily number of recovered and death patients in COVID-19 are used in the analysis. The analysis is carried out with the Diagonal VECH model for the dates 06.04.2020-01.02.2021. According to the model results, the volatility of all index returns, except XGIDA, are sensitive to good and bad information on COVID-19. However, the bad information on COVID-19 increases the volatility of BIST100, BIST30 and the whole sector index returns more than the good information.

Journal

MALIYE DERGISI

Year

2021

Issue

180

Pages

326-344

ISSN

1300-3623

WoS UID

WOS:000679680200016