COVID-19 ve Seçilmiş BIST Sektör İndeksleri İlişkisinde Sıcaklığın Moderatör Etkisi

Virüslerin enfektivitesi sıcaklıktaki değişikliklerden etkilenmekte ve koronavirüs hastalığına neden olan COVID-19, bir istisna olmamaktadır. SARS-CoV-2'nin normal çekirdek vücut sıcaklığına yakın sıcaklıklarda stabilitesi, sıcaklığın COVID-19'un iletiminde ve şiddetinde özellikle önemli bir rol oynayabileceği noktasında bilim insanlarını düşündürmektedir. COVID-19 salgınının küresel çapta hızla yayılması, finansal piyasalar üzerinde dramatik etkilere neden olmuştur. Eşi görülmemiş bir risk algısı, COVID-19 salgını süresince oluşmuş ve yatırımcıların önemli ölçüde kayıplar yaşayarak piyasadan çekilmelerine kaynaklık etmiştir. Öte yandan, borsa getirileri, büyük olaylara tepki vermektedir. Bu bağlamda çalışmanın amacı, Covid-19’un Borsa istanbul’un bazı alt endeksleri ilişkisini ve bu ilişkide hava sıcaklığının etkisinin ölçülmesidir. Bu amaçla, 10 Mart 2020-15 Haziran 2020 şeklinde 65 günlük veri bu çalışmada kullanılmıştır. Çalışmada değişkenler arasındaki eş bütünleme ilişkisi, Fourier ADL eş bütünleşme testi ile incelenmiştir. Fourier ADL eş bütünleşme testi sonuçlarına göre, BISTtüm, BIST100, BIST30, BISTkimya, BISTulaştırma ve BISTyiyecek endeksleri ile vaka sayıları arasında uzun dönem ilişkisi tespit edilmiştir. Buna karşın, BISTturizm endeksi ile vaka sayıları arasında ise uzun dönem ilişkisi tespit edilememiştir. Uzun dönem katsayıları ise DOLS tahmincisi ile tahmin edilmiş olup, bulgulara göre BISTtüm, BIST100, BIST30, BISTkimya ve BISTyiyecek ve vaka sayıları arasında pozitif ilişki olduğu görülmüştür. BISTulaştırma endeksi ve vaka sayıları arasındaki uzun dönem katsayısının ise istatistiki olarak anlamsız olduğu belirlenmiştir. Diğer yandan, moderatör değişkenin ise vaka sayıları ve BIST endeksleri arasındaki ilişkiyi güçlendirdiği kanıtlanmıştır.

Moderator Effect of Temperature in The Relationship between COVID-19 and Selected BIST Sector Indices

The infectivity of viruses is affected by changes in temperature, and COVID-19, which causes coronavirus disease, is no exception. The stability of COVID-19 at temperatures close to normal core body temperature suggests scientists that temperature can play a particularly important role in the transmission and severity of COVID-19. The rapid spread of the COVID-19 outbreak globally had dramatic effects on the financial markets. An unprecedented risk perception occurred during the COVID-19 outbreak and caused investors to suffer significant losses and withdraw from the market. On the other hand, stock market returns react to big events. In this context, the purpose of the study is to measure the relationship between Covid-19 and some sub-indices of Borsa Istanbul and the effect of air temperature in this relationship. For this purpose, the data of 65 days as 10 March 2020-15 June 2020 were used in this study. In the study, the cointegration relationship between the variables was examined with Fourier ADL cointegration test. According to the results of Fourier ADL cointegration test, a long-term relationship between BISTtüm, BIST100, BIST30, BISTkimya, BISTulaştırma and BISTyiyecek indexes and case numbers was determined. However, the long term relationship between the BISTturizm index and the number of cases could not be detected. Long-term coefficients were estimated by DOLS estimator, and according to the findings, there was a positive relationship between BISTtüm, BIST100, BIST30, BISTkimya and BISTyiyecek and the number of cases. The long-term coefficient between the BISTulaştırma index and the number of cases was found to be statistically insignificant. On the other hand, the moderator variable was proved to strengthen the relationship between the number of cases and BIST indices.

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