Covid-19 Küresel Salgınının hisse senedi piyasası oynaklığı üzerindeki etkisi: BIST100 uygulaması

COVID-19 küresel salgını kısa sürede yalnızca bir sağlık krizini değil, aynı zamanda da ekonomik krizi beraberinde getirmiştir. Bir yandan salgın süreci diğer yandan ekonomik faaliyetlerdeki istikrarsızlık beraberinde ekonomik sürece ilişkin belirsizliği artırmıştır. Artan belirsizlik ve risk ekonomilerdeki hem kaynak dağılımını olumsuz etkilemiş hem de finansal piyasalar üzerinde etkili olmuştur. Yaşanan belirsizlik ortamı finansal yatırımcıların da getiri beklentilerini ve dolayısıyla da hisse senedi piyasalarının oynaklığını etkilemiştir. Bu bağlamda çalışmamızda küresel salgının Borsa İstanbul 100 endeksinin getiri oynaklığı üzerindeki etkisi analiz edilmiştir. Analizde günlük BIST100 endeksi günlük kapanış fiyatları ve COVID-19 günlük toplam vaka sayıları kullanılmıştır. Analizde Genelleştirilmiş Otoregresif Koşullu Değişen Varyans (GARCH) modelleri kullanılmıştır. Ayrıca Asimetrik şokların etkisini dikkate alarak Temel Asimetrik ARCH (SAGARCH) ve Üssel GARCH (EGARCH) modelleri de kullanılarak analiz genişletilmiştir. Analiz sonuçlarına göre simetrik ve asimetrik şokların etkisi kontrol edildiğinde günlük toplam vaka sayılarındaki artış BIST100 endeks getirisinin oynaklığını arttırmaktadır. COVID-19 salgını da hisse senedi piyasa oynaklığını arttıran temel belirleyenlerden biridir. Bu çerçevede pandeminin gerek reel sektör gerekse finansal sektör üzerindeki etkilerinin azaltılabilmesi pandemiye yönelik olarak alınacak sağlık tedbirlerinin yanı sıra ekonomik tedbirler ile risk ve belirsizliği azaltıcı yönde alınacak kararlarla mümkün olacaktır.

The impact of Covid-19 global outbreak on stock market volatility: The BIST100 application

The COVID-19 pandemic brought not only a health crisis but also an economic crisis in a short time. The epidemic process and the uncertainty regarding the economic process increased the instability in economic activities. The increasing uncertainty and risk both negatively affected the resource allocation in economies and had an impact on the financial markets. The uncertainty environment experienced has also affected the return expectations of financial investors and thus the volatility of stock markets. In this context, the effect of the global epidemic on the average return and volatility of the Borsa Istanbul 100 was analyzed. Daily closing prices BIST100 and Turkey’s COVID19 daily total number of cases were used in the analysis. Generalized Autoregressive Conditional Heterokedasticity (GARCH) models were used in the analysis. In addition, taking into account the effect of asymmetric shocks, the analysis has been expanded using the Basic Asymmetric ARCH (SAGARCH) and Exponential GARCH (EGARCH) models. According to the analysis results, when the effects of symmetric and asymmetric shocks are controlled, the increase in the daily total number of cases increases the volatility of the BIST100 index return. The COVID-19 outbreak is also one of the main determinants of stock market volatility. In this context, reducing the effects of the pandemic on both the real sector and the financial sector will be possible with the health measures to be taken against the pandemic, as well as economic measures and decisions to reduce risk and uncertainty.

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