SavedAdd your journal

Journals / Istanbul Business Research / 2022 / Cilt: 51 - Sayı: 1

The Impact of Covid-19 on Selected Turkish Financial Indicators: Empirical Evidence from the Toda Yamamoto Causality Test

Sabri Burak ARZOVA
Bertaç Şakir ŞAHİN
Pages
313–326
Publication Date
2022-10-19
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, between March 2020 andJuly 2020, there is no Granger relationship between the number of COVID-19 cases and the selected financial variables.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This paper examines the impact of COVID-19 cases and deaths on selected financial indicators in Turkey between March 2020 and July 2020.
📊
Key Findings & Data:This study analyzes the causal relationship between COVID-19 and liquidity and risk perception in Turkey.
💡
Conclusion & Impact:However, between March 2020 andJuly 2020, there is no Granger relationship between the number of COVID-19 cases and the selected financial variables.
🔬Design:Research Article
📍Scope:2020 Verileri
⚙️Variables:COVID-19 · Financial Indicators · Turkey

Abstract

This paper examines the impact of COVID-19 cases and deaths on selected financial indicators in Turkey between March 2020 and July 2020. This study analyzes the causal relationship between COVID-19 and liquidity and risk perception in Turkey. To measure the impact of COVID-19 on liquidity and risk perception in Turkey, financial indicators, such as the BIST100, credit default swap, 2-year Turkish bond yields, and 10-year Turkish bond yields were examined. The stationarity of variables was tested usingunit root tests. Since all variables were stationary at the first difference, the Toda Yamamoto causality test was chosen to examine the causality relationship between variables. According to the Johansen co-integration test, there was a co-integration relationship between variables. The empirical results of the Toda Yamamoto causality test show that there was a unidirectional Granger causality from the number of COVID-19 deaths to credit default swap. Moreover, there was a unidirectional Granger causality from the Turkish bond yields (2- 10 years) to BIST 100. However, between March 2020 andJuly 2020, there is no Granger relationship between the number of COVID-19 cases and the selected financial variables.

🔖

Cite This Article

ARZOVA, S. B., ŞAHİN, B. Ş. (2022). The Impact of Covid-19 on Selected Turkish Financial Indicators: Empirical Evidence from the Toda Yamamoto Causality Test. Istanbul Business Research, Cilt: 51 - Sayı: 1, 313–326. https://ajindex.com/articles/542728

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (10)

  1. Andries, A. M., Ongena, S., & Sprincean, N. (2020). The COVID-19 pandemic and sovereign bond risk. Swiss Finance Institute Research Paper, Article No: 20-42. http://dx.doi.org/10.2139/ssrn.3605155
  2. Aydın, L., & Ari, I. (2020). The impact of Covid-19 on Turkey’s non-recoverable economic sectors compensating with falling crude oil prices: A computable general equilibrium analysis. Energy Exploration & Exploitation. 38(5),1810- 1830. https://doi.org/10.1177%2F0144598720934007
  3. Baker, S. R., Farrokhnia, R. A., Meyer, S., Pagel, M., & Yannelis, C. (2020). How does household spending respond to an epidemic? consumption during the 2020 COVID-19 pandemic. National Bureau of Economic Research Working Paper, Article No. w26949. https://www.nber.org/system/files/working_papers/w26949/w26949.pdf
  4. Barnett, T., Whiteside, A., Khodakevich, L., Kruglov, Y., & Steshenko, V. (2000). The HIV/AIDS epidemic in Ukraine: its potential social and economic impact. Social Science & Medicine, 51(9), 1387-1403. doi: 10.1016/s0277-9536(00)00104-0.
  5. Bartik, A. W., Bertrand, M., Cullen, Z. B., Glaeser, E. L., Luca, M., & Stanton, C. T. (2020). How are small businesses adjusting to COVID-19 ? early evidence from a survey National Bureau of Economic Research Working Paper. Article No. 26989. https://www.nber.org/system/files/working_papers/w26989/w26989.pdf
  6. Bloom, D. E., and J. D. Sachs, 1998.
  7. Geography, Demography, and Economic Growth in Africa. Brookings Papers on Economic Activity, 1998(2), 207-73. https://www.earth.columbia.edu/sitefiles/file/about/director/documents/BPEA19982_000.pdf
  8. Bloom, E., V. d. Wit, et al., Bloom, E., De Wit, V., & Carangal-San Jose, M. J. (2005) Potential economic impact of an Avian Flu pandemic on Asia. Asian Development Bank ERD Policy Brief Series, No. 42. https://www.think-asia.org/bitstream/handle/11540/2165/pb042.pdf?sequence=1 Bureau of Economic Analysis U.S. Department of Commerce. 2020. Gross Domestic Product, 2nd Quarter 2020. Retrieved September 2, 2020 from https://www.bea.gov/news/2020/gross-domestic-product-2nd-quarter-2020-advance-estimate-and-annual-update.
  9. Cakmakli, C., Demiralp, S., Ozcan, S. K., Yesiltas, S. & Yildirim, M. A. (2020). COVID-19 and emerging markets: The case of Turkey, Koç University-TUSIAD Economic Research Forum Working Papers, No: 2011. https://ideas.repec.org/p/koc/wpaper/2011.html#download
  10. Chaouachi, M., & Chaouachi, S. (2020). Current COVID-19 Impact on Saudi Stock Market: evidence from an ARDL Model. International Journal o