Causality Change Between BIST 100 Index and USD, Gold, and BITCOIN Before and After the COVID-19 Pandemic: A Historical Analysis with a Fourier Function on Turkiye

Year 2023, Volume: 7 Issue: 3, 1813 - 1836, 18.09.2023

Hasan Kazak

https://doi.org/10.25295/fsecon.1261953

Abstract

The aim of this study is to present guiding data in the decisions of the affected parties in the financial system and contribute to the literature by revealing the changes in investor decisions during the COVID-19 pandemic period as pre-pandemic and post-pandemic periods. The study covers the period of 01/01/2018-24/02/2023 with the latest updated values, including before and after the COVID-19 pandemic, over the case of Turkiye. Analyzes were performed using a causality test that enriched the Toda-Yamamoto procedure with the Fourier function (FTY). The study period was divided into four sub-periods with the Chow structural break test. In the study, the causality relationship between USD, Gold (AU) and that between Bitcoin variables and BIST100 index were analyzed. The results of the analysis showed that the pre-pandemic and post-pandemic period revealed quite different causality relationships in that gold emerged as a safe haven in the first shock wave of the pandemic, and gold lost this feature in the ongoing pandemic process and the causality between all the variables discussed became clear. In the post-pandemic period, compared to the pre-pandemic one, it was observed that the causality relationship between the BIST100 variable of USD and Bitcoin, which are the other variables that only gold has a one-sided causality relationship in the same way, disappeared completely. The study makes an important contribution to the literature in terms of analyzing investor behavior at each stage of crisis periods.

Keywords

Covid-19, Financial Indicators, Causality, Fourier Function, Toda–Yamamoto

BIST 100 Endeksi ile USD, Altın ve BITCOIN Arasında COVID-19 Pandemisi Öncesi ve Sonrasında Nedensellik Değişimi: Türkiye Üzerine Fourier İşlevli Bir Tarihsel Analiz

Abstract

Bu çalışmanın amacı COVID-19 pandemisi döneminde yatırımcı kararlarında meydana gelen değişimleri pandemi öncesi ve sonrası dönemler şeklinde ortaya koyarak finansal sistem içerisinde yer alan ve etkilenen tarafların kararlarında yol gösterici veriler ortaya koymak ve literatüre katkıda bulunmaktır. Çalışma Türkiye örneği üzerinden COVID-19 pandemisi öncesi ve sonrasını içerecek şekilde ve en son güncel değerlerle 01/01/2018-24/02/2023 dönemini kapsamaktadır. Analizler Toda-Yamamoto prosedürünü Fourier fonksiyonu (FTY) ile zenginleştiren bir nedensellik testi kullanılarak yapılmıştır. Çalışma yapılan dönem Chow yapısal kırılma testi ile dört alt döneme ayrılmıştır. Çalışmada USD, Altın (AU) ve Bitcoin değişkenleri ile BIST 100 endeksi arasındaki nedensellik ilişkisi analiz edilmiştir. Yapılan analiz sonuçları pandemi öncesi ve sonrası dönemin birbirinden oldukça farklı nedensellik ilişkileri ortaya koyduğunu, pandeminin ilk şok dalgasında altının güvenli liman özelliğinin ortaya çıktığını, devam eden pandemi sürecinde ise altının bu özelliğini kaybettiği ve ele alınan tüm değişkenler arasındaki nedenselliklerin belirginleştiği görülmüştür. Pandemi sonrası dönemde ise pandemi öncesi döneme kıyasla sadece altının aynı şekilde tek taraflı nedensellik ilişkisine sahip olduğu diğer değişkenler olan USD ve Bitcoin’in BIST100 değişkeniyle nedensellik ilişkisinin tamamen kaybolduğu görülmüştür. Çalışma kriz dönemlerinin her bir aşamasında yatırımcı davranışlarının analiz edilmesi açısından literatüre önemli bir katkı sunmaktadır.

Keywords

Covid-19, Finansal Göstergeler, Nedensellik, Fourier Fonksiyon, Toda–Yamamoto

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