The Impact of Covid-19 on International Stock Markets

Yıl 2020, Cilt: 5 Sayı: Özel Sayı, 59 - 75, 26.12.2020

Deniz Sevinç

https://doi.org/10.30784/epfad.808308

Cited By: 4

Öz

Stock markets are considered as an indicator of the economy, and social and economic problems also cause volatility in these markets. Covid-19, which emerged in China in late 2019 and turned from an epidemic to a pandemic, has affected social life, economy and financial system all over the world. The uncertainty, especially with the spread of the epidemic, caused excessive price declines and volatility in international stock markets. The purpose of this study is to examine the impact of Covid-19 on international stock markets and detect how Infectious Disease Equity Market Volatility Tracker (EMV-ID) index, the newly developed, which numerically shows the social impact of the pandemic, affects the volatility in international stock markets. In the study, it was considered 13 countries’ the stock market indices which they have the highest number of cases and deaths according to WHO data. In order to see the effect of Covid-19 more clearly, daily returns were examined between the date of the first case of each country and 30.09.2020 period. As a result of the EGARCH (1,1) model, it is concluded that different markets give different reactions, but the EMV-ID index has an increasing effect on volatility in most of the markets included in the analysis.

Anahtar Kelimeler

Covid-19, EMV-ID, Stock Market, Volatility

Covid-19'un Uluslararası Pay Piyasalarına Etkisi

Öz

Pay piyasaları, ekonominin bir göstergesi olarak sayılmakta, bunun yanında sosyal ve ekonomik sorunlar da bu piyasalarda volatiliteye neden olmaktadır. 2019’un sonlarında Çin’de ortaya çıkan ve epidemiden pandemiye dönüşen Covid-19, tüm dünyada sosyal hayatı, ekonomiyi ve finansal sistemi etkilemiştir. Özellikle salgının yayılmasıyla beraber yaşanan belirsizlik, uluslararası pay piyasalarında aşırı fiyat düşüşlerine ve volatiliteye neden olmuştur. Bu çalışmanın amacı, Covid-19’un uluslararası pay piyasalarına etkisini incelemek, yeni geliştirilen ve pandeminin toplumsal etkisini sayısal olarak gösteren “Salgın Hastalıklar Piyasa Volatilitesi Takipçisi” (Infectious Infectious Disease Equity Market Volatility Tracker – EMV-ID) endeksinin bu piyasalardaki volatiliteyi nasıl etkilediğini tespit etmektir. Çalışmada, WHO verilerine göre en fazla vaka ve ölüm sayısının olduğu 13 ülkenin pay piyasası endeksleri ele alınmıştır. Covid-19’un etkisinin daha net bir şekilde görülmesi için her ülkede ilk vakanın görüldüğü tarih ile 30.09.2020 arası dönemdeki günlük getiriler incelenmiştir. Yapılan EGARCH(1,1) modelinin sonucunda farklı piyasaların farklı tepkiler verdiği, ancak EMV-ID endeksinin analizde yer alan piyasaların birçoğunda volatiliteyi artırıcı etkiye sahip olduğu sonucuna ulaşılmıştır.

Anahtar Kelimeler

EMV-ID, Pay Piyasası, Covid-19, Volatilite

Kaynakça

• Adıgüzel, M. (2020). Covid-19 pandemisinin Türkiye ekonomisine etkilerinin makroekonomik analizi. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 19(37), 191–221. Erişim adresi: https://dergipark.org.tr/tr/pub/iticusbe
• Albulescu, C. (2020). Coronavirus and financial volatility: 40 days of fasting and fear. Capital Markets: Asset Pricing & Valuation eJournal, 1-7. doi:10.2139/ssrn.3550630
• Albuquerque, R. A., Koskinen, Y. J., Yang, S. and Zhang, C. (2020). Love in the time of COVID-19: The resiliency of environmental and social stocks (CEPR Discussion Paper No. DP14661). doi:10.2139/ssrn.3583611
• Alfaro, L., Chari, A., Greenland, A. and Schott, P. (2020). Aggregate and firm-level stock returns during pandemics, in real time (NBER Working Paper No. 26950). doi:10.3386/w26950
• Ali, M., Alam, N. and Rizvi, S. A. R. (2020). Coronavirus (COVID-19) - An epidemic or pandemic for financial markets. Journal of Behavioral and Experimental Finance, 27, 100341. doi:10.1016/j.jbef.2020.100341
• Altig, D., Baker, S., Barrero, J. M., Bloom, N., Bunn, P., Chen, S., Davis, S., ... Thwaites, G. (2020). Economic uncertainty before and during the COVID-19 pandemic (NBER Working Paper No. 27418). doi:10.3386/w27418
• Ashraf, B. N. (2020). Stock markets’ reaction to COVID-19: Cases or fatalities? Research in International Business and Finance, 54, 101249. doi:10.1016/j.ribaf.2020.101249
• Bai, L., Wei, Y., Wei, G., Li, X. and Zhang, S. (2020). Infectious disease pandemic and permanent volatility of international stock markets: A long-term perspective. Finance Research Letters, 101709. doi:10.1016/j.frl.2020.101709
• Baker, S., Bloom, N., Davis, S., Kost, K., Sammon, M. and Viratyosin, T. (2020). The Unprecedented Stock Market Impact of COVID-19 (NBER Working Paper No. 26945). doi:10.3386/w26945
• Barut, A. ve Yerdelen Kaygın, C. (2020). Covid-19 pandemisinin seçilmiş borsa endeksleri üzerine etkisinin incelenmesi [Özel Sayı]. Gaziantep Üniversitesi Sosyal Bilimler Dergisi, 19(COVID-19 Özel Sayısı), 59–70. doi:10.21547/jss.773237
• Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. doi:10.1016/0304-4076(86)90063-1
• Breinlich, H., Leromain, E., Novy, D., Sampson, T. and Usman, A. (2018). The economic effects of Brexit: Evidence from the stock market. Fiscal Studies, 39(4), 581–623. doi:10.1111/1475-5890.12175
• Brooks, C. (2014). Intoductry econometrics for finance (3rd Edition). Cambridge, MA: Cambridge University Press.
• Burggraf, T., Fendel, R. and Huynh, T. L. D. (2020). Political news and stock prices: Evidence from Trump’s trade war. Applied Economics Letters, 27(18), 1485–1488. doi:10.1080/13504851.2019.1690626
• Campello, M., Kankanhalli, G. and Muthukrishnan, P. (2020). Corporate hiring under COVID-19: labor market concentration, downskilling, and income inequality (NBER Working Paper No. 27208). doi:10.3386/w27208
• Capelle-Blancard, G. and Desroziers, A. (2020). The stock market is not the economy? Insights from the COVID-19 crisis. CEPR Covid Economics, 28, 29-69. https://dx.doi.org/10.2139/ssrn.3638208
• Çetin, A. C. (2020). Koronavirüs (Covid-19) salgınının türkiye’de genel ekonomik faaliyetlere ve hisse senedi borsa endeksine etkisi. Mehmet Akif Ersoy Üniversitesi Uygulamalı Bilimler Dergisi, 4(2), 341–362. doi:10.31200/makuubd.766901
• Corbet, S., Larkin, C. and Lucey, B. (2020). The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies. Finance Research Letters, 35, 101554. doi:10.1016/j.frl.2020.101554
• Demir, E., Bilgin, M. H., Karabulut, G. and Doker, A. C. (2020). The relationship between cryptocurrencies and COVID-19 pandemic. Eurasian Economic Review, 10, 349-360. doi:10.2139/ssrn.3585147
• Dickey, D. A. and Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072. doi:10.2307/1912517
• Duran, M. S. ve Acar, M. (2020). Bir virüsün dünyaya ettikleri: Covid-19 pandemisinin makroekonomik etkileri. International Journal of Social and Economic Sciences, 10(1), 54–67. Retrieved from http://www.ijses.org/
• Enders, W. and Lee, J. (2012). A unit root test using a fourier series to approximate smooth breaks. Oxford Bulletin of Economics and Statistics, 74(4), 574–599. doi:10.1111/j.1468-0084.2011.00662.x
• Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007. doi:10.2307/1912773
• Fernandes, N. (2020). Economic effects of Coronavirus outbreak (COVID-19) on the World economy (IESE Business School Working Paper No. WP-1240-E). doi:10.2139/ssrn.3557504
• Goodell, J. W. (2020). COVID-19 and finance: Agendas for future research. Finance Research Letters, 35, 101512. doi:10.1016/j.frl.2020.101512
• Gopinath, G. (2020). The great lockdown: worst economic downturn since the Great Depression (IMF Press Release No. 20/98). Retrieved from https://blogs.imf.org/2020/04/14/the-great-lockdown-worst-economic-downturn-since-the-great-depression/
• Gupta, R., Subramaniam, S., Bouri, E. and Ji, Q. (2021). Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities. International Review of Economics & Finance, 71, 289–298. doi:10.1016/j.iref.2020.09.019
• Hacıevliyagil, N. ve Gümüş, A. (2020). Covid-19’un en etkili olduğu ülkelerde salgın-borsa ilişkisi [Özel Sayı]. Gaziantep Üniversitesi Sosyal Bilimler Dergisi, 19(COVID-19 Özel Sayı), 354-364. doi:10.21547/jss.742893
• Haroon, O. and Rizvi, S. A. R. (2020). COVID-19: Media coverage and financial markets behavior—A sectoral inquiry. Journal of Behavioral and Experimental Finance, 27, 100343. doi:10.1016/j.jbef.2020.100343
• Harvey, C. (2020). The economic and financial implications of COVID-19 [Video]. https://www.fma.org/virtual-seminar
• Ichev, R. and Marinč, M. (2018). Stock prices and geographic proximity of information: Evidence from the Ebola outbreak. International Review of Financial Analysis, 56, 153–166. doi:10.1016/j.irfa.2017.12.004
• Kargar, M., Lester, B., Lindsay, D., Liu, S., Weill, P. O. and Zúñiga, D. (2020). Corporate bond liquidity during the COVID-19 crisis (NBER Working Paper No. 27355). doi:10.3386/w27355
• Keleş, E. (2020). Covid-19 ve BİST-30 endeksi üzerine kısa dönemli etkileri. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 42(1), 91-105. doi:10.14780/muiibd.763962
• Kenourgios, D., Dadinakis, E. and Tsakalos, I. (2020). Brexit referendum and European stock markets: A sector analysis. Managerial Finance, 46(7), 913–933. doi:10.1108/MF-07-2019-0366
• Kwan, S. H. and Mertens, T. M. (2020). Market assessment of COVID-19 ( FRBSF Economic Letter No: 2020–14). Retrieved from https://www.frbsf.org/economic-research/
• Li, Y., Liang, C., Ma, F. and Wang, J. (2020). The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic. Finance Research Letters, 36, 101749. doi:10.1016/j.frl.2020.101749
• Mishra, A. K., Rath, B. N. and Dash, A. K. (2020). Does the indian financial market nosedive because of the COVID-19 outbreak, in comparison to after demonetisation and the GST? Emerging Markets Finance and Trade, 56(10), 2162–2180. doi:10.1080/1540496X.2020.1785425
• Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. doi:10.2307/2938260
• Nippani, S. and Washer, K. M. (2004). SARS: A non-event for affected countries’ stock markets? Applied Financial Economics, 14(15), 1105–1110. doi:10.1080/0960310042000310579
• Özden, Ü. H. (2008). İMKB bileşik 100 endeksi getiri volatilitesinin analizi. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 7(13), 339–350. .Erişim adresi: https://www.ticaret.edu.tr/
• Phillips, P. C. B. and Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. doi:10.1093/biomet/75.2.335
• Risteski, D., Sadoghi, A. and Davcev, D. (2013). Improving Predicting Power of EGARCH models for financial time series volatility by using google trend. Paper presented at the Proceedings of 2013 International Conference on Frontiers of Energy,Environmental Materials and Civil Engineering. Shangai, China. Retrieved from http://cstm.cnki.net/stmt/TitleBrowse/KnowledgeNet/XYSW201311001052?db=STMI8319
• Sharif, A., Aloui, C. and Yarovaya, L. (2020). COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach. International Review of Financial Analysis, 70, 101496. doi:10.1016/j.irfa.2020.101496
• Soylu, Ö. B. (2020). Türkiye ekonomisinde Covid-19’un sektörel etkileri. Avrasya Sosyal ve Ekonomi Araştırmaları Dergisi, 7(6), 169–185. Erişim adresi: https://dergipark.org.tr/tr/pub/asead
• Tayar, T., Gümüştekin, E., Dayan, K. ve Mandi, E. (2020). Covid-19 krizinin Türkiye’deki sektörler üzerinde etkileri: Borsa İstanbul sektör endeksleri araştırması [Özel Sayı]. Yüzüncü Yıl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 1(6), 293–320. Erişim adresi: https://dergipark.org.tr/en/pub/yyusbed
• Wagner, A., Zeckhauser, R. and Ziegler, A. (2017). Company stock reactions to the 2016 election shock: Trump, taxes and trade (NBER Working Paper No. 23152). Retrieved from https://www.nber.org/system/files/working_papers/w23152/w23152.pdf
• Zeren, F. ve Hızarcı, A. (2020). Covid-19 Coronavirüsün hisse senedi piyasalarına etkisi: seçilmiş ülkelerden kanıtlar. Muhasebe ve Finans İncelemeleri Dergisi, 3(1), 78–84. doi:10.32951/mufider.706159
• Zhang, D., Hu, M. and Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36, 101528. doi:10.1016/j.frl.2020.101528