COVID-19 Döneminde Makroekonomik Değişkenlerin Borsa Üzerindeki Etkisi: Türkiye Örneği
COVID-19’un ekonomilerin geneli üzerindeki etkileri çeşitli simülasyonlar ve tahminler ile anlaşılmaya çalışılırken finansal piyasalarda yaşanan şiddetli travma piyasa verilerinde şimdiden kendini göstermiştir. Pandeminin yarattığı belirsizliğin yanı sıra makroekonomik değişkenlerdeki dalgalanmalar gelişmiş ve yükselen hisse senedi piyasalarındaki volatiliteyi arttırmıştır. Bu bağlamda çalışmanın amacı, COVID-19 öncesinde ve sırasında makroekonomik değişkenlerin BIST 100 endeksi üzerindeki etkisini incelemektir. Bu doğrultuda faiz oranı, döviz kuru, CDS primi, VIX ve petrol fiyatlarının BIST 100 üzerindeki etkisi 13 Eylül 2019 ve 11 Eylül 2020 arası dönem için zamanla değişen katsayı tahminine olanak sağlayan Esnek En Küçük Kareler yöntemiyle tahmin edilmiştir. Ampirik bulgulara göre, faiz oranı, VIX ve petrol fiyatlarının belirli dönemler için BIST 100 üzerinde anlamlı etkileri bulunmaktadır. Döviz kuru ve CDS primi ise BIST 100’ü örneklem dönemi boyunca anlamlı ve negatif yönde etkilemiştir. Bununla birlikte, katsayıların niceliksel boyutu açısından BIST 100 üzerinde en yüksek etkiye sahip makroekonomik değişken döviz kuru olmuştur.
The Impact of Macroeconomic Variables on The Stock Market in The Time of Covid-19: The Case of Turkey
Along with the ongoing efforts to understand the effects of the COVID-19 pandemic on economies through various simulations and forecasts, the severe trauma experienced in financial markets has already manifested itself in market data. Besides the uncertainty created by the pandemic, fluctuations in macroeconomic variables have increased volatility in the developed and emerging stock markets. In this context, this study aims to examine the effect of macroeconomic variables on the BIST 100 index before and during the COVID-19 pandemic. Hence, the effects of interest rate, exchange rate, CDS premium, VIX, and oil prices on BIST 100 are estimated using the Flexible Least Squares method, which allows for the time-varying coefficient estimation, for the period of 13 September 2019 to 11 September 2020. Empirical findings indicate that interest rate, VIX, and oil prices had significant effects on BIST 100 for certain periods. On the other hand, the exchange rate and CDS premium significantly and negatively affect BIST 100 in the whole sample. Moreover, it is determined that the exchange rate is the macroeconomic variable with the highest impact on BIST 100 based on the quantitative magnitude of the coefficients.
___
- Acikalin, S., Aktaş, R. and Unal, S. (2008). Relationships between stock markets and macroeconomic
variables: an empirical analysis of the Istanbul Stock Exchange. Investment Management and
Financial Innovations, 5(1), 8-16. Retrieved from https://businessperspectives.org/
- Akbaş, Y., Zeren, F. and Özekicioğlu, H. (2013). Türkiye’de parasal aktarım mekanizması: Yapısal VAR
analizi [Money transmission mechanism in Turkey: structural VAR analysis]. Cumhuriyet
Üniversitesi İktisadi ve İdari Bilimler Dergisi, 14(2), 187-198. Retrieved from
https://dergipark.org.tr/cumuiibf
- Akyol, H. ve Baltacı, N. (2018). Ülke kredi risk düzeyi, petrol fiyatları ve temel makroekonomik
göstergelerin hisse senedi getirilerine etkisi: BIST 100 örneği [Country credit risk level, oil prices
and the main macroeconomic indicators effect to stock returns: sample of BIST 100]. Kafkas
Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 22, 459-476.
http://doi.org/10.9775/kausbed.2018.030
- Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A. and Alhammadi, S. (2020). Death and contagious
infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral
and Experimental Finance, 27. https://doi.org/10.1016/j.jbef.2020.100326
- Apergis, N. and Apergis, E. (2020). The role of Covid-19 for Chinese stock returns: evidence from a
GARCHX model. Asia-Pacific Journal of Accounting & Economics, Advance online publication.
https://doi.org/10.1080/16081625.2020.1816185
- Ashraf, B. N. (2020). Stock markets’ reaction to COVID-19: Cases or fatalities?. Research in
International Business and Finance, 54. https://doi.org/10.1016/j.ribaf.2020.101249
- Boissay, F. and Rungcharoenkitkul, P. (2020). Macroeconomic effects of COVID-19: an early review
(BIS Bulletin No. 7). Retrieved from https://www.bis.org/publ/bisbull07.pdf
- Cankal, E. (2015). Relationship between stock market returns and macroeconomic variables: evidence
from Turkey. Journal of Economics and Behavioral Studies, 7(5), 6-18.
https://doi.org/10.22610/jebs.v7i5(J).601
- Cao, K. H., Li, Q., Liu, Y. and Woo, C-K. (2020). Covid-19’s adverse effects on a stock market index.
Applied Economics Letters, 1-5. https://doi.org/10.1080/13504851.2020.1803481
- Capelle-Blancard, G. and Desroziers, A. (2020). The stock market is not the economy? Insights from the
Covid-19 crisis. Covid Economics: Vetted and Real-Time Papers, 28, 29-69. Retrieved from
https://cepr.org/
- Çatık, A. N. (2020). A time-varying VAR investigation of the relationship among electricity, fossil fuel
prices and exchange rate in Turkey. Romanian Journal of Economic Forecasting, 23(3), 60-77.
Retrieved from http://www.rjef.ro/
- Central Bank of the Republic of Turkey. (2020a). Inflation report (Publication No. 2020-II). Retrieved
from https://www.tcmb.gov.tr/wps/wcm/connect/fe3277ec-764f-4943-ac87-
1b3b1e99dfc4/full_2020_ii.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-fe3277ec764f-4943-ac87-1b3b1e99dfc4-n9qlmr5
- Central Bank of the Republic of Turkey. (2020b). Securities portfolio of non-residents [Dataset].
Retrieved from https://evds2.tcmb.gov.tr/index.php?/evds/serieMarket
- Central Bank of the Republic of Turkey. (2020c). Foreign exchange deposits held by residents [Dataset].
Retrieved from https://evds2.tcmb.gov.tr/index.php?/evds/serieMarket
- Da Silva, P. P. (2014). Sovereign credit risk and stock markets-does the markets’ dependency increase
with financial distress?. International Journal of Financial Studies, 2(1), 145-167.
https://doi.org/10.3390/ijfs2010145
- Darvas, Z. and Varga, B. (2014). Inflation persistence in central and eastern European countries. Applied
Economics, 46(13), 1437-1448. https://doi.org/10.1080/00036846.2013.875113
- Dayıoğlu, T. and Aydın, Y. (2019). Relationship between the volatility of stock returns and the volatility
of macroeconomic variables: A case of Turkey. American Journal of Theoretical and Applied
Business, 5(2), 40-46. http://doi.org/10.11648/j.ajtab.20190502.13
- Dornbusch, R. and Fischer, S. (1980). Exchange rates and the current account. The American Economic
Review, 70(5), 960-971. Retrieved from https://www.jstor.org/
- Ertuğ, D., Özlü, P., Özmen, M. U. and Yüncüler, Ç. (2020). The role of imported inputs in pass-through
dynamics (CBRT Working Paper No. 20/03). Retrieved from
https://www.tcmb.gov.tr/wps/wcm/connect/f1f1e78b-9d9b-4bc0-85b9-
75ff8b55cbe9/wp2003.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-f1f1e78b-9d9b4bc0-85b9-75ff8b55cbe9-n0pGiEG
- Fattah, A. S. F. ve Kocabıyık, T. (2020). Makroekonomik değişkenlerin borsa endeksleri üzerine etkisi:
Türkiye ve ABD karşılaştırması [Impact of macroeconomic variables on stock markets: Turkey
and USA comparison]. Finansal Araştırmalar ve Çalışmalar Dergisi, 12(22), 116-151.
https://doi.org/10.14784/marufacd.691108
- Gopinath, G. (2020, 14 April). The great lockdown: worst economic downturn since the great depression.
[Blog post]. Retrieved from https://blogs.imf.org/2020/04/14/the-great-lockdown-worst-economicdownturn-since-the-greatdepression/#:~:text=In%20addition%2C%20many%20countries%20now,which%20interact%20in
%20complex%20ways.&text=This%20makes%20the%20Great%20Lockdown,than%20the%20Gl
obal%20Financial%20Crisis
- Gourinchas, P. O. (2020, 3 June). Flattening the pandemic and recession curves [Blog post]. Retrieved
from https://voxeu.org/article/flattening-pandemic-and-recession-curves
- Gülhan, Ü. (2020). Covid-19 pandemisine BIST 100 reaksiyonu: ekonometrik bir analiz [The reaction of
BIST 100 to Covid-19 pandemic: An econometric analysis]. Turkish Studies, 15(4), 497-509.
https://dx.doi.org/10.7827/TurkishStudies.44122
- Hajilee, M. and Al Nasser, O. M. (2014). Exchange rate volatility and stock market development in
emerging economies. Journal of Post Keynesian Economics, 37(1), 163-180.
https://doi.org/10.2753/PKE0160-3477370110
- Hancı, G. (2014). Kredi temerrüt takasları ve BİST-100 arasındaki ilişkinin incelenmesi [Analyzing the
relationship between the credit default swaps and BIST-100]. Maliye Finans Yazıları, 28(102), 9-
22. Retrieved from https://dergipark.org.tr/mfy
- Hatipoğlu, M. and Tekin, B. (2017). The effects of VIX index, exchange rate & oil prices on the BIST
100 index: A quantile regression approach. Ordu Üniversitesi Sosyal Bilimler Araştırmaları
Dergisi, 7(3), 627-634. Retrieved from https://dergipark.org.tr/odusobiad
- He, Q., Liu, J., Wang, S. and Yu, J. (2020). The impact of COVID-19 on stock markets. Economic and
Political Studies, 275-288. https://doi.org/10.1080/20954816.2020.1757570
- Huang, R. D., Masulis, R. W. and Stoll, H. R. (1996). Energy shocks and financial markets. The Journal
of Futures Markets, 16(1), 1-27. https://doi.org/10.1002/(SICI)1096-9934(199602)16:1<1::AIDFUT1>3.0.CO;2-Q
- International Monetary Fund. (2020a). Global financial stability report: markets in the time of COVID19. Retrieved from https://www.imf.org/en/Publications/GFSR/Issues/2020/04/14/globalfinancial-stability-report-april-2020
- International Monetary Fund. (2020b). World economic outlook update. Retrieved from
https://www.imf.org/en/Publications/WEO/Issues/2020/06/24/WEOUpdateJune2020
- Kalaba, R. and Tesfatsion, L. (1989). Time-varying linear regression via flexible least squares. Computers
& Mathematics with Application 17(8-9), 1215-1245. https://doi.org/10.1016/0898-
1221(89)90091-6
- Kandil Göker, İ. E., Eren, B. S. and Karaca, S. S. (2020). The impact of the COVID-19 (Coronavirus) on
the Borsa Istanbul sector index returns: an event study [Special Issue]. Gaziantep University
Journal of Social Sciences, 14-41. Retrieved from https://dergipark.org.tr/jss
- Kandir, S. Y. (2008). Macroeconomic variables, firm characteristics and stock returns: evidence from
Turkey. International Research Journal of Finance and Economics, 16, 35-45. Retrieved from
https://www.internationalresearchjournaloffinanceandeconomics.com/
- Kaya, A. ve Coşkun, A. (2015). VIX endeksi menkul kıymet piyasalarının bir nedeni midir? Borsa
İstanbul örneği [Is VIX index causality stock exchange? Istanbul stock exchange example].
Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 16(1), 175-186. Retrieved from
https://dergipark.org.tr/cumuiibf
- Kaya, V., Çömlekçi, İ. ve Kara, O. (2013). Hisse senedi getirilerini etkileyen makroekonomik değişkenler
2002-2012 Türkiye örneği. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 35, 167-176.
Retrieved from https://dergipark.org.tr/dpusbe
- Keleş, E. (2020). COVID-19 ve BİST-30 endeksi üzerine kısa dönemli etkileri [COVID-19 and its shortterm impacts on BIST-30 index]. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 42(1),
91-105. https://doi.org/10.14780/muiibd.763962
- Khan, K., Zhao, H., Zhang, H., Yang, H., Shah, M. H. and Jahanger, A. (2020). The impact of COVID-19
pandemic on stock markets: an empirical analysis of world major stock indices. Journal of Asian
Finance, Economics and Business, 7(7), 463-474.
https://doi.org/10.13106/jafeb.2020.vol7.no7.463
- Kılıç, Y. (2020). Borsa İstanbul’da COVID-19 (Koronavirüs) etkisi [The effect of COVID-19
(Coronavirus) in Borsa Istanbul]. Journal of Emerging Economies and Policy, 5(1), 66-77.
Retrieved from https://dergipark.org.tr/joeep
- Konuşkan, A. ve Kocabıyık, T. (2019). Altın, petrol, döviz ve borsa endeksi arasındaki ilişkinin
nedensellik analizi ile keşfi: Türkiye örneği [Discovery of interdependence among gold, oil,
foreign exchange and stock market index: the case of Turkey]. International Journal of Business,
Economics and Management Perspectives, 3(1), 1-19. Retrieved from http://www.ijbemp.com/
- Lee, K. Y-M., Jais, M. and Chan, C-W. (2020). Impact of COVID-19: evidence from Malaysian stock
market. International Journal of Business and Society, 21(2), 607-628. Retrieved from
http://www.ijbs.unimas.my/
- Lumsdaine, R. L. and Papell, D. H. (1997). Multiple trend breaks and the unit root hypothesis. The
Review of Economics and Statistics, 79(2), 212-218. Retrieved from https://www.jstor.org/
- Maysami, R. C., Howe, L. C. and Hamzah, M. A. (2004). Relationship between macroeconomic variables
and stock market indices: Cointegration Evidence from Stock Exchange of Singapore’s all-s sector
indices. Jurnal Pengurusan, 24, 47-77. Retrieved from http://ejournal.ukm.my/
- Mishra, A. K. (2004). Stock market and foreign exchange market in India: Are they related?. South Asia
Economic Journal, 5(2), 209-232. https://doi.org/10.1177/139156140400500202
- Montana, G., Triantafyllopoulos, K. and Tsagaris, T. (2009). Flexible least squares for temporal data
mining and statistical arbitrage. Expert Systems with Applications, 36, 2819-2830.
https://doi.org/10.1016/j.eswa.2008.01.062
- Ocakverdi, E. (2019, 1 February). Time varying parameter estimation with flexible least squares and the
tvpuni add-in [Blog post]. Retrieved from http://blog.eviews.com/2019/02/time-varyingparameter-estimation-with.html
- Öztürk, Ö., Şişman, M. Y., Uslu, H. and Çıtak, F. (2020). Effects of COVID-19 outbreak on Turkish
stock market: A sectoral-level analysis. Hitit University Journal of Social Sciences Institute, 13(1),
56-68. https://doi.org/10.17218/hititsosbil.728146
- Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6),
1361-1401. Retrieved from https://www.jstor.org/
- Poyraz, E. ve Tepeli, Y. (2015). Seçilmiş makro ekonomik göstergelerin Borsa İstanbul Xu100 endeksi
üzerindeki etkisinin analizi [Analysis of the impact of selected macroeconomic indicators on
Istanbul stock exchange Xu100 index]. PARADOKS Ekonomi, Sosyoloji ve Politika Dergisi, 11(2),
102-128. Retrieved from https://dergipark.org.tr/paradoks
- Sakarya, Ş. ve Akkuş, H. T. (2018). BİST-100 ve BİST sektör endeksleri ile VIX endeksi arasındaki
ilişkisinin analizi [Analysis of relationship between BIST-100 and BIST sector indices with VIX
index]. Balıkesir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 21(40), 351-373.
http://doi.org/10.31795/baunsobed.492470
- Sancar, C., Uğur, A. ve Akbaş, Y. E. (2017). Hisse senedi fiyat endeksi ile makroekonomik değişkenler
arasındaki ilişkinin analizi: Türkiye örneği [The analysis of the relationship between stock price
index and the macroeconomic variables: Turkey example]. International Journal of Social
Sciences and Education Research, 3(5), 1774-1786. Retrieved from https://dergipark.org.tr/ijsser
- Sandal, M., Çemrek, F. ve Yıldız, Z. (2017). BİST 100 endeksi ile altın ve petrol fiyatları arasındaki
nedensellik ilişkisinin incelenmesi [Analysis on the causality relationship between gold and oil
prices and the BIST 100 index]. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 26(3),
155-170. Retrieved from https://dergipark.org.tr/cusosbil
- Sevinç, E. (2014). Makroekonomik değişkenlerin, BIST-30 endeksinde işlem gören hisse senedi getirileri
üzerindeki etkilerinin arbitraj fiyatlama modeli kullanarak belirlenmesi [Determination of the
impact of macroeconomic variables on stock returns traded on BIST-30 by using arbitrage pricing
theory]. İstanbul Üniversitesi İşletme Fakültesi Dergisi, 43(2), 271-292. Retrieved from
https://dergipark.org.tr/ibr
- Sharma, N., Yadav, S., Mangla, M., Mohanty, A. and Mohanty, S. N. (2020). Multivariate analysis of
COVID-19 on stock, commodity & purchase manager indices: a global perspective. Research
Square. https://doi.org/10.21203/rs.3.rs-68388/v1
- Shear, F. and Butt, H. A. (2017). Relationship between stock and the sovereign CDS markets: A panel
VAR based analysis. South Asian Journal of Management Sciences, 11(1), 52-67.
https://doi.org/10.21621/sajms.2017111.04
- Soybilgen, B. and Eroğlu, B. A. (2019). Time-varying Taylor rule estimation for Turkey with flexible
least square method. Bogazici Journal Review of Social, Economic and Administrative Studies,
33(2), 1-20. https://doi.org/10.21773/boun.33.2.3
- Tayar, T., Gümüştekin, E., Dayan, K. ve Mandi, E. (2020). Covid-19 krizinin Türkiye’deki sektörler
üzerinde etkileri: Borsa İstanbul sektör endeksleri araştırması [The effects of Covid-19 crisis on
industries in Turkey: The study of Borsa Istanbul industrial indices]. Van Yüzüncü Yıl Üniversitesi
Sosyal Bilimler Enstitüsü Dergisi, Special Issue, 293-320. Retrieved from
https://dergipark.org.tr/yyusbed
- Tekin-Koru, (2020, 14 May). COVID-19 and industrial production in Turkey [Blog post]. Retrieved from
https://voxeu.org/article/covid-19-and-industrial-production-turkey
- Topaloğlu, E. E. ve Ege, İ. (2020). Kredi temerrüt swapları (CDS) ile Borsa İstanbul 100 endeksi
arasındaki ilişki: kısa ve uzun dönemli zaman serisi analizleri [The relationship between credit
default swaps and Borsa Istanbul 100 index: the short and long term time series analysis]. İşletme
Araştırmaları Dergisi, 12(2), 1373-1393. https://doi.org/10.20491/isarder.2020.918
- Topcu, M. and Gulal, O. S. (2020) The impact of COVID-19 on emerging stock markets. Finance
Research Letters, Advance online publication. https://doi.org/10.1016/j.frl.2020.101691
- Uslu, H. ve Uzkaralar, Ö. (2020). Arbitraj fiyatlama teorisinin Türkiye ekonomisinde geçerliliği: Küresel
ekonomik kriz bağlamında ampirik bir analiz [Validity of the arbitrage pricing theory in Turkey’s
economy: An empirical analysis in the context of global economic crisis]. Gazi İktisat ve İşletme
Dergisi, 6(2), 179-195. https://doi.org/10.30855/gjeb.2020.6.2.006
- Whaley, R. E. (2009). Understanding VIX. The Journal of Portfolio Management, 35(3), 98-106.
https://doi.org/10.3905/JPM.2009.35.3.098
- Wongbangpo, P. and Sharma, S. C. (2002). Stock market and macroeconomic fundamental dynamic
interactions: ASEAN-5 countries. Journal of Asian Economics, 13, 27-51.
https://doi.org/10.1016/S1049-0078(01)00111-7
- World Health Organization. (2020a). WHO Director-General’s opening remarks at the media briefing on
COVID-19. Retrieved from https://www.who.int/dg/speeches/detail/who-director-general-sopening-remarks-at-the-media-briefing-on-covid-19---11-march-2020
- World Health Organization. (2020b). WHO coronavirus disease (COVID-19) dashboard [Dataset].
https://covid19.who.int/
- Yiğiter, Ş. Y., Karabulut, T. ve Sarı, S. S. (2018). Sınai endeksini etkileyen makroekonomik faktörler ve
arbitraj fiyatlama modeli: Borsa İstanbul örneği [Macroeconomics factors affecting industrial
index and arbitrage pricing theory: sample of Istanbul stock exchange]. International Journal of
Economic Studies, 4(1), 21-28. Retrieved from https://dergipark.org.tr/ead
- Yıldırım Tıraşoğlu, B. (2014). Yapısal kırılmalı birim kök testleri ile OECD ülkelerinde satın alma gücü
paritesi geçerliliğinin testi. Ekonometri ve İstatistik e-Dergisi, 20, 68-87. Retrieved from
https://dergipark.org.tr/ekoist
- Zhang, D., Hu, M. and Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance
Research Letters, Advance online publication. https://doi.org/10.1016/j.frl.2020.101528
- Zivot, E. and Andrews, D. W. K. (1992). Further evidence on the great crash, the oil-price shock, and the
unit-root hypothesis. Journal of Business & Economic Statistics, 10(3), 251-270. Retrieved from
https://www.jstor.org/