SavedAdd your journal

Journals / Maliye Dergisi / 2021 / Sayı: 180

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

Bilgi Kanalı Olarak COVID-19 Salgınının Hisse Senedi Piyasalarının Oynaklığı Üzerindeki Etkisi

Yusuf AKAN
Sinem ATICI USTALAR
Pages
326–344
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

However, the bad information on COVID-19 increases the volatility of BIST100, BIST30 and the whole sector index returns more than the good information.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The COVID-19 pandemic, which caused serious depression in the whole real sector, affected the volatility of the stock markets through the information channel.
📊
Key Findings & Data: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.
💡
Conclusion & Impact:However, the bad information on COVID-19 increases the volatility of BIST100, BIST30 and the whole sector index returns more than the good information.
🔬Design:Modeling & Simulation
📍Scope:2020 Verileri
⚙️Variables:Domain Parameters

Abstract

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.

Özet

Tüm reel sektörde ciddi daralmalara yol açan COVID-19 salgını, bilgikanalı ile hisse senedi piyasalarının oynaklığını etkilemiştir. Bu bağlamdaçalışmanın amac, COVID-19 kaynaklı bilgiden BIST sektör endeksgetirilerine doğru oynaklık yayılım etkisinin varlığını araştırmaktır. AnalizdeXUSIN, XGIDA, XUTEK, XBLSM, XTRZM, BIST100 ve BIST30 endeksleriile COVID-19 günlük iyileşen ve vefat eden hasta sayıları kullanılmıştır.Analiz Diyagonal VECH modeli ile 06.04.2020-01.02.2021 tarihleri içingerçekleştirilen model sonuçlarına göre, XGIDA hariç, tüm endeksgetirilerinin oynaklıkları COVID-19 kaynaklı iyi ve kötü bilgiye karşıduyarlıdır. Fakat COVID-19 kaynaklı kötü bilgi, iyi bilgiye göre, BIST100,BIST30 ve tüm sektör endeks getirilerinin oynaklıklarını daha fazlaarttırmaktadır.

🔖

Cite This Article

AKAN, Y., USTALAR, S. A. (2021). The Impact of the COVID-19 Outbreak on the Volatility of Stock Markets as an Information Channel. Maliye Dergisi, Sayı: 180, 326–344. https://ajindex.com/articles/357363

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (15)

  1. Al-Awadhi, A., Alsaifi, K., Al-Awadhi, A. ve Alhammadi, S. (2020), “Death and Contagious Infectious Diseases: Impact of the COVID-19 Virus on Stock Market Returns”, Journal of Behavioral and Experimental Finance, 27, 1-5.
  2. Alber, N. (2020), “The Effect of Coronavirus Spread on Stock Markets: The Case of the Worst 6 Countries”, SSRN, 3578080, 1-11.
  3. Ali, M., Alam, N. ve Rizvi, S.A.R. (2020), “Coronavirus (COVID-19)-An Epidemic or Pandemic for Financial Markets”, Journal of Behavioral and Experimental Finance, 27, 1-6.
  4. Ambros, M., Frenkel, M., Huynh, T.L.D. ve Kilinc, M. (2020), “COVID-19 Pandemic News and Stock Market Reaction During the Onset of the Crisis: Evidence from High-Frequency Data”, Applied Economics Letters, 1-4.
  5. Arouri, M. ve Nguyen, D. (2010), “Oil Prices, Stock Markets and Portfolio Investment: Evidence from Sectoral Analysis in Europe over the Last Decade”, Energy Policy, 38, 4528-4539.
  6. Azimli, A. (2020a), “The Oil Price Risk and Global Stock Return”, Energy, 198(8), 1-9.
  7. Azimli, A. (2020b), “The Impact of COVID-19 on the Degree of Dependence and Structure of Risk-Return Relationship: A Quantile Regression Approach”, Finance Research Letters, 36, 1-13.
  8. Baek, S., Mohanty, S.K. ve Glambosky, M. (2020), “COVID-19 and Stock Market Volatility: An Industry Level Analysis”, Finance Research Letters, 37, 1-10.
  9. Baek, S. ve Lee, K.Y. (2021), “ The Risk Transmission of COVID-19 in the US Stock Market”, Applied Economics, 1-15.
  10. Baker, S.R., Bloom, N., Davis, S.J. ve Terry, S.J. (2020), “COVID-Induced Economic Uncertainty”, NBER Working Paper, 26983,1-17.
  11. Bekaert, G., Engstrom, E. ve Ermolov, A. (2015), “Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model”, Journal of Econometrics, 186, 258-275.
  12. Bauwens, L., Laurent, S. ve Rombouts, J.V.K. (2006), “Multivariate GARCH Models: A Survey”, Journal of Applied Econometrics, 21, 79-109. BenSaïda, A. (2019), “Good and Bad Volatility Spillovers: An Asymmetric Connectedness”, Journal of Financial Markets, 43, 78-95.
  13. Black, F. (1976), Studies of Stock Price Volatility Changes, Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economical Statistics Section, American Statistical Association, 77-181, https://www.scirp.org/ (Erişim Tarihi: 16/01/2021)
  14. Breitmayer, B., Massari, F. ve Pelster, M. (2019), “Swarm İntelligence? Opinion of the Crowd and Stock Returns”, International Economics and Finance, 64, 443-464.
  15. Bollerslev T., Engle R.F. ve Wooldridge J.M. (