Journals / Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2022 / Cilt: 40 - Sayı: 1

The Effect of the Coronavirus (SARS-CoV-2) Outbreak on Borsa İstanbul Indices: Evidence from Empirical Analysis with Multiple Structural Breaks

Koronavirüs (SARS-CoV-2) Salgınının Borsa İstanbul Endeksleri Üzerindeki Etkisi: Çoklu Yapısal Kırılmalı Ampirik Analizlerden Kanıtlar

Pages
87–120
Publication Date
2022-10-18
DOI
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AI Summary & Key Takeaways

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

According to the results obtained from the FMOLS estimator, the effects of increases both in dollar exchange rate (representing, the exchange rate) and in BIST overnight repo interest rate (representing, the interest rate) on entire of BIST indices are negative and generally significant.

📌 3 Key Takeaways

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Objective & Hypothesis:In this study, the effects of cases and deaths caused from coronavirus, as well as exchange rate and interest rate on Borsa İstanbul indices between 17.03.2020-02.04.2021 are examined by using empirical methods that consider multiple structural breaks.
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Key Findings & Data:The graphical analysis demonstrates that the reactions of the major stock markets to the pandemic are generally similar, and the world stock markets were surprisingly little affected by this unprecedented chaotic situation in history, except for the first periods of the pandemic.
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Conclusion & Impact:According to the results obtained from the FMOLS estimator, the effects of increases both in dollar exchange rate (representing, the exchange rate) and in BIST overnight repo interest rate (representing, the interest rate) on entire of BIST indices are negative and generally significant.
🔬Design:Research Article
📍Scope:2020 Verileri
⚙️Variables:Domain Parameters

Abstract

In this study, the effects of cases and deaths caused from coronavirus, as well as exchange rate and interest rate on Borsa İstanbul indices between 17.03.2020-02.04.2021 are examined by using empirical methods that consider multiple structural breaks. Furthermore, the effect of the pandemic on the world's major stock markets and BIST indices is also analyzed graphically. The graphical analysis demonstrates that the reactions of the major stock markets to the pandemic are generally similar, and the world stock markets were surprisingly little affected by this unprecedented chaotic situation in history, except for the first periods of the pandemic. Unlike other studies, in this study, important structural break dates in the Covid-19 related case and death data were found by multiple structural break unit root analysis proposed Carrion-i-Silvestre et al. (2009) and empirical evidence for the course of the pandemic is presented in Turkey. Maki (2012) Cointegration Test performed afterwards demonstrates that there is a long-term relationship between the variables. According to the results obtained from the FMOLS estimator, the effects of increases both in dollar exchange rate (representing, the exchange rate) and in BIST overnight repo interest rate (representing, the interest rate) on entire of BIST indices are negative and generally significant. A 1% increase in the dollar exchange rate decreases the BIST-100 index by approximately 0.89%, while a 1% increase in BIST overnight repo interest rates decreases the BIST-100 index by approximately 0.10%. Although the effect of percentage changes in the number of patients and deaths caused by coronavirus on BIST indices is positive, the results are statistically insignificant. Therefore, the results emphasize that priority policy implementations should be on the axis of exchange rate and interest.

Özet

Bu çalışmada Koronavirüs kaynaklı vaka ve ölümlerin yanı sıra döviz kuru ve faiz oranının 17.03.2020-02.04.2021 arasında Borsa İstanbul endekslerine etkisi, çoklu yapısal kırılmaları dikkate alan ampirik yöntemlerle incelenmektedir. Ek olarak, salgının dünyanın önemli borsaları ve BIST endekslerine etkisi grafiksel olarak da analiz edilmektedir. Grafiksel analiz borsaların salgına karşı reaksiyonlarının genel olarak benzer olduğunu, dünya borsalarının tarihte eşi görülmemiş bu kaotik durumdan -salgının ilk dönemleri hariç- şaşırtıcı bir şekilde az etkilendiğini göstermektedir. Diğer çalışmalardan farklı olarak bu çalışmada Covid-19 kaynaklı vaka ve ölüm verilerindeki önemli yapısal kırılma tarihleri Carrion-i-Silvestre vd. (2009) tarafından önerilen çoklu yapısal kırılmalı birim kök analiziyle tespit edilerek, salgının Türkiye’deki seyrine yönelik ampirik kanıtlar sunulmaktadır. Ardından gerçekleştirilen Maki (2012) Eşbütünleşme Testi değişkenler arasında eşbütünleşmenin varlığını göstermektedir. FMOLS tahmincisinden elde edilen sonuçlara göre, dolar kuru (döviz kurunu temsilen) ve BIST gecelik repo faiz oranındaki (faiz oranını temsilen) artışların BIST endeksleri üzerindeki etkisi negatif ve anlamlıdır. Dolar kurundaki %1 artış BIST-100 endeksini yaklaşık olarak %0.89 düşürürken, BIST gecelik repo faiz oranlarında %1 artış yaklaşık olarak %0.10 düşürmektedir. Koronavirüs kaynaklı hasta ve vefat sayılarındaki yüzde değişimlerin BIST endeksleri üzerindeki etkisi pozitif olmakla birlikte sonuçlar istatistiki olarak anlamsızdır. Dolayısıyla sonuçlar öncelikli politika uygulamalarının döviz kuru ve faiz ekseninde olması gerektiğini vurgulamaktadır.

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Cite This Article

Kartal, G. (2022). The Effect of the Coronavirus (SARS-CoV-2) Outbreak on Borsa İstanbul Indices: Evidence from Empirical Analysis with Multiple Structural Breaks. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt: 40 - Sayı: 1, 87–120. https://ajindex.com/articles/532832

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