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Dergiler / BDDK Bankacılık ve Finansal Piyasalar Dergisi / 2021 / Cilt: 15 - Sayı: 1

Volatility of BIST 100 Returns After 2020, Calendar Anomalies and COVID-19 Effect

2020 Sonrası BIST 100 Getiri Volatilitesi, Takvim Anomalileri ve COVID-19 Etkisi

ALİ ÇELİK
Sayfa
61–81
DOI
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

Accordingly, Friday’s anomaly, Public Holidays, and the COVID-19 pandemic create negative shocks on the volatility movements of the return series, increase the volatility movements, and consequently, asymmetric and leverage effect emerged.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:Market actors define the volatility in financial markets as a measure of risk.
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Temel Bulgular & Veri:This study aims to investigate the volatility movements in the return series calculated on the clos- ing values of the BIST 100 index between 01.Jan.2020-11.Feb.2021.
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Sonuç & Katkı:Accordingly, Friday’s anomaly, Public Holidays, and the COVID-19 pandemic create negative shocks on the volatility movements of the return series, increase the volatility movements, and consequently, asymmetric and leverage effect emerged.
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:2020 Verileri
⚙️Değişkenler:Alan Parametreleri

Özet

Market actors define the volatility in financial markets as a measure of risk. This study aims to investigate the volatility movements in the return series calculated on the clos- ing values of the BIST 100 index between 01.Jan.2020-11.Feb.2021. In addition, the days of the week anomaly, the dates of public holiday, and COVID-19 pandemic effect were used as dummy variable in the econometric model. The findings showed that the EGARCH (3,3) model is to be the best performing model. Accordingly, Friday’s anomaly, Public Holidays, and the COVID-19 pandemic create negative shocks on the volatility movements of the return series, increase the volatility movements, and consequently, asymmetric and leverage effect emerged.

Abstract

Volatilite, piyasa aktörleri tarafından riskin ölçütü olarak tanımlanır. Çalışmanınn amacı 01.01.2020 ve 11.02.2021 tarihleri arasında BIST 100 kapanış değerleri üzerinden he- saplanan getiri serisinin volatilite düzeyini ARCH-GARCH tipi modeller ile test etmektir. Ayrıca söz konusu modellerde takvim anomalileri ve KOVİD-19’un volatiliteye etkisi sına- nacaktır. Çalışmanın sonucunda, EGARCH (3,3) modelinin en iyi performansı sergileyen model olduğu tespit edilmektedir. Buna göre, Cuma günü anomalisinin, Resmi Tatillerin ve COVID-19 pandemisinin getiri serisinin volatilite hareketleri üzerinde negatif şoklar yarattığı, volatilite hareketlerini arttırdığı, netice itibariyle asimetrik ve kaldıraç etkisi ya- rattığı sonucuna ulaşılmaktadır

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Bu Makaleye Atıf Yap

ÇELİK, A. (2021). Volatility of BIST 100 Returns After 2020, Calendar Anomalies and COVID-19 Effect. BDDK Bankacılık ve Finansal Piyasalar Dergisi, Cilt: 15 - Sayı: 1, 61–81. https://ajindex.com/articles/414337

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Kaynakça (16)

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