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Dergiler / Gaziantep Üniversitesi Sosyal Bilimler Dergisi / 2020 / Cilt: 19 - Sayı: COVID-19 Special Issue

The Impact of the Covid-19 Crisis on Financial Markets: The Case of Turkey

Orhan ÇOBAN
Özer COŞKUN
Ayşe ÇOBAN
Sayfa
506–519
Yayın Tarihi
2020-10-31
DOI
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

According to the Toda-Yamamoto causality test results, a statistically significant causality was determined from the number of cases to the Euro and USD (Dollar) exchange rate.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:The main purpose of this study, the example of Turkey Covid-19 is analyzing the effects of the financial market crisis.
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Temel Bulgular & Veri:In this way, it has been tried to contribute to the literature on the effects of Covid-19 on the markets.
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Sonuç & Katkı:According to the Toda-Yamamoto causality test results, a statistically significant causality was determined from the number of cases to the Euro and USD (Dollar) exchange rate.
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:2020 Verileri
⚙️Değişkenler:Covid-19 Krizi · Finansal Piyasalar · Toda-Yamamoto nedensellik testi

Abstract

The main purpose of this study, the example of Turkey Covid-19 is analyzing the effects of the financial market crisis. In this way, it has been tried to contribute to the literature on the effects of Covid-19 on the markets. Daily data for the period 16.03.2020-21.08.2020 were taken into account in the analyzes. In analyzing the relationships between variables, besides ADF Unit Root Test, Zivot-Andrews Unit Root Test with structural break and Toda-Yamamoto Causality Test were used. According to the ADF unit root test results, all variables were found to be stationary at the first level. According to the Zivot-Andrews test, although the degree of stability of the GOLD series is 2, when the correlogram of the series is examined, it is determined that the first difference is stationary. Bivariate VAR models, one of which is the CASE (VAKA) variable and the other the financial variable, were created to determine the causality relationships between Covid-19 daily case numbers (VAKA) and other financial indicators. Schwarz Information Criterion (SIC) was used to determine lag lengths related to Toda-Yamamoto causality tests. According to the Toda-Yamamoto causality test results, a statistically significant causality was determined from the number of cases to the Euro and USD (Dollar) exchange rate.

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Bu Makaleye Atıf Yap

ÇOBAN, O., COŞKUN, Ö., ÇOBAN, A. (2020). The Impact of the Covid-19 Crisis on Financial Markets: The Case of Turkey. Gaziantep Üniversitesi Sosyal Bilimler Dergisi, Cilt: 19 - Sayı: COVID-19 Special Issue, 506–519. https://ajindex.com/articles/70128

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Kaynakça (13)

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