THE EFFECT OF COVID-19 OUTBREAK ON FINANCIAL MARKETS: EVIDENCE FROM BORSA ISTANBUL

Year 2022, Volume: 7 Issue: 14, 77 - 89, 30.06.2022

Esra Karpuz , Yasemin Deniz Koç

Abstract

The purpose of the study is to measure the effects of the COVID-19

outbreak on financial markets. In this context, the impact of COVID-19 on the BIST 30 index

companies, which consist of 30 companies with the highest market value in the Borsa Istanbul stock

market, were analyzed by the Event Study method and Paired Samples t Test. As a result of the

analysis, it was found that while the virus case announced in China had no effect on the BIST 30

index returns, there is a statistically significant decrease in the cumulative abnormal returns of the

BIST 30 index with the announcement of the first virus case in Turkey. The findings are meaningful

in terms of showing the effect of systematic risk such as COVID-19 on the markets.

Keywords

COVID-19, Event Study, BIST 30 Index

COVID-19 PANDEMİSİNİN FİNANSAL PİYASALAR ÜZERİNDEKİ ETKİSİ: BORSA İSTANBUL ÖRNEĞİ

Abstract

Bu çalışmanın amacı, COVID-19 salgınının finansal piyasalar üzerindeki etkisinin
ölçülmesidir. Bu bağlamda COVID-19’un Borsa İstanbul pay piyasasında en yüksek piyasa değerine
sahip 30 şirketten oluşan BİST 30 endeksi şirketlerine olan etkisi Olay Çalışması yöntemi ve Bağımlı
Örneklem t testi ile analiz edilmektedir. Analiz bulgularında, Çin’de duyurulan virüs vakasının BİST
30 endeks getirileri üzerinde bir etkisine rastlanmazken, Türkiye’de ilk virüs vakasının duyurulması
ile BİST 30 endeksinin kümülatif anormal getirilerinde (CAR) düşüş olduğu bu düşüşün de istatistiksel
olarak anlamlı olduğu saptanmıştır. Elde edilen bulgular COVID-19 gibi sistematik riskin piyasalara
etkisini göstermesi açısından anlamlıdır.

Keywords

COVID-19, Olay Çalışması, BİST 30 Endeksi

References

• Akarim, Y. D. (2013). Uluslararası Çapraz Kotasyonun Risk ve Getiri Üzerine Etkisi: Türkiye Örneği. Muhasebe ve Finansman Dergisi, 137–148.
• Alber, N. (2020). The Effect of Coronavirus Spread on Stock Markets: The Case of the Worst 6 Countries. SSRN Electronic Journal, 1–11. https://doi.org/10.2139/ssrn.3578080
• Albulescu, C. (2020). Coronavirus and Financial Volatility: 40 Days of Fasting and Fear. SSRN Electronic Journal, 1-7 https://doi.org/10.2139/ssrn.3550630
• Armien, B., Suaya, J. A., Quiroz, E., Sah, B. K., Bayard, V., Marchena, L., Campos, C., & Shepard, D. S. (2008). Clinical Characteristics and National Economic Cost of the 2005 Dengue Epidemic in Panama. American Journal of Tropical Medicine and Hygiene, 79(3), 364–371. https://doi.org/10.4269/ajtmh.2008.79.364
• Armitage, S., (1995). Event Study Methods and Evidence on Their Performance, Journal of Economic Surveys, Vol.8, No.4, pp.25-52.
• Brown, S.J., & Warner, J.B. (1985), Using daily stock returns: The case of event studies. Journal of Financial Economics, 14(1), 3-31.
• Carpenter, T. E., O’Brien, J. M., Hagerman, A. D., & Mccarl, B. A. (2011). Epidemic and Economic Impacts of Delayed Detection of Foot-And-Mouth Disease: A Case Study of a Simulated Outbreak in California. Journal of Veterinary Diagnostic Investigation, 23(1), 26–33. https://doi.org/10.1177/104063871102300104
• CEIC (2020). The Global Impact of COVID-19 on Financial Markets. CEIC Economic Impact of COVID-19: High-Frequency Indicators extract. Available online: https://info.ceicdata.com/theglobal-economic-impact-of-covid-19-on-financial-markets
• Chen, C., Tang, W.-W., & Haung, B.-Y. (2009). The Positive and Negative Impacts of the Sars Outbreak : A Case of the Taiwan Industries. The Journal of Developing Areas, 43(1), 281–293.
• Çelik, M. S. & Koç, R. (2019). Türkiye ve Rusya Arasındaki Uçak Krizinin Borsa İstanbul (BİST) Turizm ve Enerji Şirket Hisselerine Etkisi Üzerine Bir Event Study Analizi, Niğde Ömer Halisdemir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 1(1), 1-15.
• Fama, E., Fisher, L., Jensen, M., Roll, R. 1969. The Adjustment of Stock Prices to New Information. International Economic Review, 10(1).
• Göker Kandil, İ. E., Eren, B., & Karaca, S. S. (2020). The Impact of the COVID-19 ( Coronavirus ) on The Borsa Istanbul Sector Index Returns : An Event Study. Gaziantep University Journal Of Social Sciences, 19, 14–41.
• Jiang, Y., Zhang, Y., Ma, C., Wang, Q., Xu, C., Donovan, C., Ali, G., Xu, T., & Sun, W. (2017). H7N9 Not Only Endanger Human Health but Also Hit Stock Marketing. Advances in Disease Control and Prevention, 2(1), 1–7. https://doi.org/10.25196/adcp201711
• Kayali, M. M., & Çelik, S. (2009). The Impact Of International Cross Listings On Risk And Return: Evidence From Turkey. Muhasebe ve Finansman Dergisi, 8(7), 656–664.
• Kazan, H. (2020). Covıd-19’un Pay Piyasası ve İşletmeler Üzerindeki Etkisi. In Covıd-19 Pandemisinin Ekonomik, Toplumsal ve Siyasal Etkileri (pp. 263–293). Istanbul University Press. https://doi.org/10.26650/B/SS46 .2020.005.17
• Korkmaz, T., Yaman, S., & Metin, S. (2017). Ülke Kredi Notlarının Pay Getirileri Üzerindeki Etkileri: Bist 30 Endeksi Üzerinde Bir Event Study (Olay Çalışması) Analizi. Namık Kemal Üniversitesi Sosyal Bilimler Metinleri Icomep Özel Sayısı, 171-187.
• Loh, E. (2006). The Impact of SARS on the Performance and Risk Profile of Airline Stocks. International Journal of Transport Economics, 33(3), 401–422. https://www.jstor.org/stable/pdf/42747811.pdf?refreqid=excelsior%3Ae47689d8966e0ec350a8584898d9382b
• Luo, S., & Tsang, K. P. (2020). China and World Output Impact of the Hubei Lockdown During the Coronavirus Outbreak. Contemporary Economic Policy. https://doi.org/10.1111/coep.12482
• Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The COVID-19 Outbreak and Affected Countries Stock Markets Response. International Journal of Environmental Research and Public Health, 17, 1–19. https://doi.org/10.3390/ijerph17082800
• Nippani, S., & Washer, K. M. (2004). SARS: A Non-event for Affected Countries’ Stock Markets? Applied Financial Economics, 14, 1105–1110. https://doi.org/10.1080/0960310042000310579
• Peckham, R. (2013). Economies of Contagion: Financial Crisis and Pandemic. Economy and Society, 42(2), 226–248. https://doi.org/10.1080/03085147. 2012.718626
• Ru, H., Yang, E., & Zou, K. (2020). What Do We Learn from SARS-CoV-1 to SARS-CoV-2: Evidence from Global Stock Markets. Working Paper, NTU.
• Sharif, A., Aloui, C., & Yarovaya, L. (2020). COVID-19 Pandemic, Oil Prices, Stock Market and Policy Uncertainty Nexus in the US Economy: Fresh Evidence from the Wavelet-Based Approach. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.3574699
• Sperling, W., & Biermann, T. (2009). Influenza H1N1 and The World wide Economic Crisis - A Model of Coherence? Medical Hypotheses, 73(5), 664–666. https://doi.org/10.1016/j.mehy.2009.05.011
• Şenol, Z., & Zeren, F. (2020). Coronavirus (COVID-19) and Stock Markets: The Effects of the Pandemic on the Global Economy. Eurasian Journal of Researches in Social and Economics, 7(4), 1–16. www.asead.com
• Zeren, F., & Hızarcı, A. E. (2020). The Impact of COVID-19 Coronavirus on Stock Markets: Evidence From Selected Countries. Muhasebe ve Finans İncelemeleri Dergisi, 3(1), 78–84. https://doi.org/10.32951/mufider.706159
• Yang, P. C., Chu, R. M., Chung, W. B. and Sung, H. T. (1999). Epidemiological Characteristics and Financial Cost of the 1997 Foot-And-Mouth Disease Epidemic in Taiwan, Veterinary Record, 145, 731-734.
• Pendell, D. L., & Cho, C. (2013). Stock Market Reactions to Contagious Animal Disease Outbreaks: An Event Study in Korean Foot-and-Mouth Disease Outbreaks. Agribusiness, 29(4), 455–468. https://doi.org/10.1002/agr.21346
• World Health Organization- WHO (2021). COVID-2019 Situation Reports.