Cross-Country Analysis of the Impact of Covid-19 on Share Markets

The negative effects on the macroeconomic indicators of the countries during the pandemic process that started with the Covid 19 epidemic made it necessary for individuals, investors, institutions, and governments to create a new policy. To determine the right policies, the effects of Covid 19 on the country's economy have been the subject of research by scientists. This study, it is aimed to investigate the effect of the pandemic on the stock market together with its sub-sectors. For this reason, in this study, the volatility of BIST100, known as the Turkish Stock Exchange, and its sub- indices, finance, service, and industry indices during the pandemic process were investigated. Working day data obtained from the Central Bank of the Republic of Turkey between 1/02/2020 10/11/2020 periods were used in the study. First, logarithmic transformation of the data was provided. Then, it was converted into a return series and included in the analysis.In order to obtain a consistent estimate, the series should not contain unit-roots. For this purpose, using the ADF unit root test, it was investigated whether the series contain unit root or not. According to the findings obtained from the study, it was determined that the most suitable variance model for BIST100 and Industrial indexes was the GARCH (1,1) model. It was found that the most suitable variance model in financial and services indices was the TARCH (1,1) model. In addition, while it is estimated that there is symmetrical volatility in BIST100 and Industrial indices, it is concluded that there are asymmetric and leverage effects in financial and services indices.

Journal

JOURNAL OF APPLIED ECONOMICS AND BUSINESS RESEARCH

Year

2021

Volume

11

Issue

2

Pages

80-89

ISSN

1927-033X

WoS UID

WOS:000715748800002