COVID-19’un Küresel Hisse Senedi Piyasalarının Hareketleri Üzerindeki Etkisi ve Türkiye Piyasası Üzerine Bir Inceleme*

Year 2022, Volume: 8 Issue: 1, 41 - 51, 21.07.2022

Hazar Altınbaş

https://doi.org/10.51803/yssr.1146870

Cited By: 1

Abstract

Finansal küreselleşme, 1980’li yıllarda gelişmiş ülkelerde ve 1990’lı yıllarda gelişmekte olan ülkelerde ortaya çıkan sermaye hareket serbestlikleri ile birlikte önemli bir aşamaya geçmiştir. Bu aşamada sistemik risk unsurları artmış, olumsuz gelişme ve beklentiler tüm piyasalara hızla yayılarak etki edebilir hale gelmiştir. Hisse senedi piyasaları özelinde bakıldığında çok sayıda ülke piyasasının “küresel” piyasaya hızlı bir şekilde entegre olduğu görülmüş ancak söz konusu entegrasyonun düzeyi, tüm ülke piyasalarının güçlü bir şekilde birlikte hareket edecekleri seviyelere ulaşmamıştır. Yaşanan krizler karşısında kısa dönemde benzer reaksiyonlar gözleniyor olsa da şoklar sonrası hareketlilikler önemli farklılıklar gösterebilmektedir. Bu çerçevede, COVID-19 hastalığının Dünya Sağlık Örgütü tarafından 11 Mart 2020 tarihinde küresel ölçekte salgın ilan edilmesi ile hisse senedi piyasalarının birlikte hareketlerinde bir değişim olup olmadığı, olduysa değişimin ne şekilde olduğu temel bileşenler analizi ve değişim noktası analizi ile araştırılmıştır. Analizde 31.12.2020 tarihine kadar gerçekleşen günlük endeks hareketleri kullanılmıştır ve Türkiye ile birlikte 20 ülke piyasası dâhil edilmiştir. Ayrıca Türkiye hisse senedi piyasasının, ülkede salgının seyrine ilişkin açıklanan sayı ve kısıtlamalardan ne düzeyde etkilendiği de incelenmiştir.

Keywords

Salgın, hisse senedi piyasaları, birlikte hareket

COVID-19’s Impact on Global Stock Market Movements and an Examination on Turkish Market

Abstract

inancial globalization has entered to an important phase, after capital account liberalizations in 1980s for developed countries, and in 1990s for developing countries. In this phase, systemic risk factors are increased, negative events and expectations became more likely to spread and effect all markets. Particularly in stock markets, it is seen that markets of many countries integrated with “global” market rapidly, but level of this integration has not reached to remarkably high levels and does not result with strong co-movements. Even faced crises cause similar reactions in stock markets in short-term, after-shock movements may show distinct characteristics. In this framework, possible effects of World Health Organization’s pandemic announcement for the disease COVID-19, which is made on 11 March 2020, on the changes in co-movements of stock markets are investigated by using Principal Component Analysis and a change point detection analysis. Daily index movements until the date 31.12.2020 of 20 stock markets, including Turkey are used in analyses. Additionally, impact of pandemic related local numbers and restriction levels on Turkish stock market is examined.

Keywords

Pandemic, stock markets, co-movements

References

• Adler, M., & Qi, R. (2003). Mexico’s integration into the North American capital market. Emerging Markets Review, 4, 91–120. [CrossRef]
• Akbari, A., Ng, L., & Solnik, B. (2020). Akbari, A., Ng, L., & Solnik, B. (2020). Emerging markets are catching up: economic or financial integration? Journal of Financial and Quantitative Analysis, 55(7), 2270–2303. [CrossRef]
• Akhtaruzzaman, M., Boubaker, S., & Sensoy, A. (2021). Financial contagion during COVID–19 crisis. Finance Research Letters, 38, Article 101604. [CrossRef]
• Albulescu, C. T. (2021). COVID-19 and the United States financial markets’ volatility. Finance Research Letters, 38. https://doi.org/10.1016/j.frl.2020.101699. [CrossRef]
• Alexakis, P., & Vasila, A. (2013). On the integration of European capital markets. Managerial Finance, 39(9), 825–836. [CrossRef]
• Altinbas, H. (2020). Examining Time-varying integrity and interrelationships among global stock markets. International Journal of Economic Sciences, 9(1), 1–24. [CrossRef]
• Altınbaş, H., Pacelli, V., & Sica, E. (2018). The determinants of sovereign bond yields in the EMU: New empirical evidence. International Journal of Economics and Finance, 10(5), 41. [CrossRef]
• Altınbaş, H., Pacelli, V., & Sica, E. (2021). An empirical assessment of the contagion determinants in the Euro Area in a period of sovereign debt risk. Italian Economic Journal, doi:10.1007/s40797-021-00147-2 [Online ahead of print] [CrossRef]
• Altunbas, Y., Gambacorta, L., & Marqués-Ibáñez, D. (2010). Does Monetary Policy affect bank risk-taking? Working Paper, (No. 1166). [CrossRef]
• Angeloni, I., Central Bank, E., Faia, B. E., Lo, M., European, D., & Bank, C. (2015). Monetary Policy and Risk Taking. Journal of Economic Dynamics and Control, 52, 285–307. [CrossRef]
• Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. [CrossRef]
• Bekaert, G., Harvey, C. R., Lundblad, C. T., & Siegel, S. (2011). What segments equity markets? Review of Financial Studies, 24(12), 3841–3890. [CrossRef]
• Bekaert, G., & Mehl, A. (2019). On the global financial market integration “swoosh” and the trilemma. Journal of International Money and Finance, 94, 227–245. [CrossRef]
• Bernanke, B. S., & Kuttner, K. N. (2005). What explains the stock market’s reaction to federal reserve policy? Journal of Finance, 60(3), 1221–1257. [CrossRef]
• Carrieri, F., Errunza, V., & Hogan, K. (2007). Characterizing World Market Integration through Time. Source: The Journal of Financial and Quantitative Analysis, 42(4), 915–940. [CrossRef]
• Contuk, F. Y. (2021). Covid -19’un Borsa İstanbul üzerindeki etkisi: Bir ARDL sınır testi modeli. Muhasebe ve Finansman Dergisi, 89, 101–112. [CrossRef]
• Cox, J., Greenwald, D. L., & Ludvigson, S. C. (2020). What Explains the COVID-19 Stock Market? Working Paper, (No. 27784). [CrossRef]
• Demirguc-Kunt, A., Pedraza, A., & Ruiz-Ortega, C. (2020). Banking Sector Performance During the COVID-19 Crisis. Working Paper, (No. 9363). [CrossRef]
• Ehrmann, M., & Fratzscher, M. (2004). Taking Stock: Monetary Policy Transmission to Equity Markets. Journal of Money, Credit and Banking, 36(4), 719–737. [CrossRef]
• Engelhardt, N., Krause, M., Neukirchen, D., & Posch, P. (2020). What drives stocks during the corona-crash? News attention vs. rational expectation. Sustainability (Switzerland), 12(12), 5014. [CrossRef]
• Everaert, G., & Pozzi, L. (2016). Time-varying stock market integration and institutions in Europe: a Bayesian dynamic factor analysis *. http://people.few.eur.nl/pozzi Accessed on Apr 19, 2022.
• Frijns, B., Tourani-Rad, A., & Indriawan, I. (2012). Political crises and the stock market integration of emerging markets. Journal of Banking and Finance, 36(3), 644–653. [CrossRef]
• Giese, J., & Haldane, A. (2020). COVID-19 and the financial system: A tale of two crises. Oxford Review of Economic Policy, 36, S200–S214. [CrossRef]
• Gombay, E., & Serban, D. (2009). Monitoring parameter change in AR (p) time series models. Journal of Multivariate Analysis, 100(4), 715–725. [CrossRef]
• Gurbaxani, A., & Gupte, R. (2021). A study on the impact of covid-19 on investor behaviour of individuals in a small town in the state of Madhya Pradesh, India. Australasian Accounting, Business and Finance Journal, 15(1 Special Issue), 70–92. [CrossRef]
• Hardouvelis, G. A., Malliaropulos, D., & Priestley, R. (2006). EMU and European stock market integration. Journal of Business, 79(1), 365–391. [CrossRef]
• Hussain, S. I., & Li, S. (2018). The dependence structure between Chinese and other major stock markets using extreme values and copulas. International Review of Economics & Finance, 56, 421−437. [CrossRef]
• Ioannidis, C., & Kontonikas, A. (2008). The impact of monetary policy on stock prices. Journal of Policy Modeling, 30(1), 33–53. [CrossRef]
• Jach, A. (2017). International stock market comovement in time and scale outlined with a thick pen. Journal of Empirical Finance, 43, 115–129. [CrossRef]
• Killick, R., Fearnhead, P., & Eckley, I. A. (2012). Optimal detection of changepoints with a linear computational cost. Journal of the American Statistical Association, 107(500), 1590–1598. [CrossRef]
• Killick, Rebecca, & Eckley, I. A. (2014). changepoint: An R package for changepoint analysis. Journal of Statistical Software, 58(3), 1–19. [CrossRef]
• Kılıç, Y. (2020). Borsa İstanbul’da COVID-19 (Koronavirüs) etkisi. Journal of Emerging Economies and Policy, 5(1), 66–77.
• Luo, Y., Chen, Y., & Lin, J.-C. (September 9, 2020). Emotions and Inventor Productivity: Evidence from Terrorist Attacks. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3321554#:~:text=We%20find%20that%20high%2Dfatality,productivity%20following%20high%2Dfatality%20attacks Accessed on Apr 19, 2022.
• Mosser, P. C. (2020). Central bank responses to COVID-19. Business Economics, 55(4), 191–201. [CrossRef]
• Okorie, D. I., & Lin, B. (2021). Stock markets and the COVID-19 fractal contagion effects. Finance Research Letters, 38, Article 101640. [CrossRef]
• Ortmann, R., Pelster, M., & Wengerek, S. T. (2020). COVID-19 and investor behavior. Finance Research Letters, 37, Article 101717. [CrossRef]
• Özkan, O. (2020). Volatility jump: The effect of COVID-19 on Turkey stock market. Gaziantep University Journal of Social Sciences, Special Issue, 386–397. [CrossRef]
• Padhan, R., & Prabheesh, K. P. (2021). The economics of COVID-19 pandemic: A survey. Economic Analysis and Policy, 70, 220–237. [CrossRef]
• Pukthuanthong, K., & Roll, R. (2009). Global market integration: An alternative measure and its application. Journal of Financial Economics, 94(2), 214–232. [CrossRef]
• Rebucci, A., Hartley, J. S., & Jimenez, D. (2021). An event study of COVID-19 central bank quantitative easing in advanced and emerging economies. Working Paper, (No 27339). [CrossRef]
• Tayar, T., Gümüştekin, E., Dayan, K., & Mandi, E. (2020). Covid-19 krizinin Türkiye’deki sektörler üzerinde etkileri: Borsa İstanbul sekör endeksleri araştırması. Van Yüzüncü Yıl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, Salgın Hastalıklar Özel Sayı, 293–320.
• Thorbecke, W. (1997). On stock market returns and monetary policy. Journal of Finance, 52(2), 635–654. [CrossRef]
• Topcu, M., & Gulal, O. S. (2020). The impact of COVID-19 on emerging stock markets. Finance Research Letters, 36, Article 101691. [CrossRef]
• Wang, A. Y., & Young, M. (2020). Terrorist attacks and investor risk preference: Evidence from mutual fund flows. Journal of Financial Economics, 137(2), 491–514.
• Yağlı, İ. (2020). The impact of COVID-19 on emerging stock market volatility: Empirical evidence from Borsa Istanbul. Ekonomi, Politika & Finans Araştırmaları Dergisi, 5(Özel Sayı), 269–279.
• Youssef, M., Mokni, K., & Ajmi, A. N. (2021). Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter? Financial Innovation, 7(1), 13. [CrossRef]
• Zervou, A. S. (2013). Financial market segmentation, stock market volatility and the role of monetary policy. European Economic Review, 63, 256–272. [CrossRef]
• Zhang, C.-S., Zhang, D.-Y., & Breece, J. (2011). Financial Crisis, Monetary Policy, and Stock Market Volatility in China *. Annals of Economics and Finance, 12(2), 371–388.
• Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36, Article 101528. [CrossRef]