Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey

Abstract

This study examines how the volatility of the sectoral stock returns within Borsa ˙Istanbul are affected during the COVID-19 pandemic. The analysis uses daily stock return data for four main sector indices: services, finance, industry, and technology. The sample period of the study covers 03.03.2015–11.03.2021, and 12.03.2020- 03.04.2021 is separately analyzed for the COVID-19 period. When E-GARCH models and news impact curves are analyzed, it is found that the services sector stock returns volatility differs from other sectoral stock returns.