Impact of COVID-19 Pandemic on Return and Volatilities of BIST100 Index, Exchange Rates and Gold

Year 2020, Volume: 19 Issue: COVID-19 Special Issue, 687 - 701, 31.10.2020

İhsan Erdem Kayral , Nisa Şansel Tandoğan

https://doi.org/10.21547/jss.786384

Cited By: 16

Abstract

In our study, we focus on an empirical study analyzing the impact of COVID-19 pandemic on return and volatilities related to the BIST100 index, dollar, Euro, and gold, which are a significant indicator og financial markets. Also, we discuss the volatility spillover among indicators in question. The analysis, which is made by using the CCC-GARCH model and for the period between 01.01.2015 and 08.07.2020, shows that whole financial instruments out of the BIST 100 index are affected by the one-period lagged return of at least one different financial instrument. It is confirmed that the COVID-19 pandemic has a limited increasing effect on the return of the BIST100 index and gold. Also, the pandemic period increases the volatilities of the financial instruments. While there is a positive volatility spillover from Dollar to the Euro between Dollar and Euro, the highest spillover is in 2018 which is the year experienced political crisis between Turkey and the USA. The spillover effect among the financial instruments in question remains limited in the pandemic period. The coefficient related to the volatility spillover between the BIST100 index and the gold is found as negative, the investors direct to the gold as a financial instrument in the period of increasing volatilities on the index. While the highest volatility spillover among two financial instruments is seen in 2018, similarly with exchange rates, it reached the second highest spillover level on the pandemic period.

Keywords

COVID-19, CCC-GARCH model, Volatility spillover, Exchange rates, BIST100, Gold

BİST100, Döviz Kurları ve Altının Getiri ve Volatilitesinde COVID-19 Etkisi

Abstract

Çalışmamızda, Türkiye’de para ve sermaye piyasaları açısından önemli göstergeler arasında yer alan BİST100 endeksi, Dolar, Euro ve altın fiyatlarına ait getiri ve volatilitelerin COVID-19 pandemisinden etkilenme düzeyleri ile söz konusu göstergeler arasındaki volatilite yayılımının araştırıldığı bir ampirik çalışma gerçekleştirilmiştir. 01.01.2015 – 08.07.2020 döneminde CCC-GARCH modeli kullanılarak gerçekleştirilen çalışmada, BİST100 endeksi dışında kalan tüm yatırım araçlarının en az bir farklı yatırım aracının bir dönem gecikmeli getirisinden etkilendiği sonucuna ulaşılmıştır. Aynı zamanda, COVID-19 pandemisinin BİST100 endeksi ve altın getirilerini sınırlı düzeyde de olsa artırıcı etkisinin bulunduğu tespit edilmiştir. Ayrıca, pandemi sürecinin yatırım araçlarının volatilitelerini artırdığı sonucuna ulaşılmıştır. Dolar ile Euro arasında Dolar’dan Euro’ya doğru pozitif volatilite yayılımı bulunurken, en yüksek yayılımın Türkiye’nin ABD ile politik kriz yaşadığı 2018 yılında görüldüğü tespit edilmiştir. Söz konusu yatırım araçları arasındaki yayılım pandemi sürecinde sınırlı kalmıştır. BİST100 endeksi ile altın arasındaki volatilite yayılımına ilişkin katsayı ise negatif bulunmuş, yatırımcıların endekste volatilitelerin arttığı dönemde yatırım aracı olarak altına yöneldikleri sonucuna ulaşılmıştır. İki yatırım aracı arasındaki en yüksek volatilite yayılımı döviz kurlarına benzer şekilde 2018 yılında görülürken, pandemi sürecinde en yüksek ikinci yayılım düzeyine ulaşıldığı belirlenmiştir.

Keywords

COVID-19, CCC-GARCH modeli, Volatilite yayılımı, Döviz kurları, BİST100, Altın

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