COVID-19 Salgını ve Spekülatif Davranışlar: Hisse Senedi Piyasalarından Ampirik Bir Kanıt

Year 2022, Volume: 11 Issue: 2, 462 - 479, 29.09.2022

Emrah Doğan , Onur Özdemir , Başak Özarslan Doğan

https://doi.org/10.53306/klujfeas.1126962

Cited By: 1

Abstract

Son yaşanan ekonomik gelişmeler ve sonuçlar COVID-19 pandemisinin finansal piyasalar ve dolayısıyla finansal sistem ile yüksek oranda ancak aynı zamanda olumsuz yönde ilişkili olduğunu göstermiştir. Bu durum ise ekonomide belirsizlik ve kırılganlığın artmasına neden olmuştur. Bu anlamda bu çalışma, 13 büyük ülkede COVID-19 salgınında ortaya çıkan spekülatif davranışların finansal piyasalar üzerindeki etkisinin olup olmadığını belirlemeyi amaçlamaktadır. Finansal piyasalarda spekülatif davranışların etkilerini değerlendirmek için 1 Kasım 2019 ile 23 Ekim 2020 arasındaki döneme ait günlük veriler kullanılmıştır. Ampirik tahmin stratejisi, the Supremum Augmented Dickey-Fuller (SADF) testine ve Generalized Supremum Augmented Dickey-Fuller (GSADF) testine dayalı olarak oluşturulmuştur. Tahmin sonuçlarına göre SADF ve GSADF test istatistikleri, verilen 13 borsa endeksi için tahminlerin istatistiki anlamlı olduğunu göstermektedir. Elde edilen bu ampirik sonuç, COVID -19 salgınının, verilen örnekleme döneminde balon oluşumuna yol açan farklı finansal piyasa türleri üzerinde bulaşıcı etkileri olduğu ortaya koymaktadır.

Keywords

Finansal Piyasalar, COVID-19, Spekülatif Davranışlar, Balonlar, SADF, GSADF

COVID-19 Pandemic and Speculative Behaviors: An Empirical Evidence of Stock Markets

Abstract

The recent economic developments and outcomes have shown that the COVID-19 pandemic has been highly, but also negatively, correlated with financial markets and thus the financial system. This situation led to an increase in uncertainty and fragility in the economy. In this sense, this study aims to assess the speculative price behavior that occurred during the COVID-19 outbreak in the stock markets of 13 major countries. Daily data for the period between November 1, 2019 and October 23, 2020 are used to assess speculative price behavior. The empirical estimation strategy is based on the Supremum Augmented Dickey-Fuller (SADF) test and the Generalized Supremum Augmented Dickey-Fuller (GSADF) test. According to the estimation results, the SADF and GSADF test statistics show that the estimates are significant for the 13 specified stock market indexes. This empirical result shows that the COVID-19 pandemic has contagion effects on various types of financial markets, leading to bubble formation during the given sample period.

Keywords

Financial Markets, COVID-19, Speculative Behaviors, Bubbles, SADF, GSADF

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