Covid-19’dan Türkiye Borsası Kendi Özelinden mi, Yoksa Küresel Ölçekten mi Daha Fazla Etkileniyor?

Yıl 2021, Cilt: 17 Sayı: Pandemi Özel Sayısı, 3869 - 3891, 30.04.2021

Ziya Çağlar Yurttançıkmaz , Dilek Özdemir , Ömer Yalçınkaya , Ömer Selçuk Emsen

https://doi.org/10.26466/opus.870980

Cited By: 1

Öz

Ekonomide belirsizliklerin bekle-gör politikaları dahilinde hem reel hem de finansal ekonomik kararlarda yavaşlamayı gündeme taşımaktadır. Belirsizliğin arızi olarak ortaya çıkan savaş ve afet gibi durumlarda derinleştiği dikkate alınırsa, halihazırda düyayı saran Covid-19’un da belirsizliği derinleştirici etkiler yaptığı gözlenmektedir. Diğer taraftan ülkeler bu sağlık problemleri ile mücadele ederken, sosyo-ekonomik yapıya etkilerini minimize etmek amacıyla Keynesyen politikalara rücu edilmekte; ekonomiler genişlemeci para ve maliye politikaları uygulamaları ile hem reel hem de finansal ekonomileri rahatlatmaya çalışmaktadırlar. Covid-19’daki derinleşmelerin yarattığı olumsuzluklara karşı hükümetlerin genişlemeci politikalarla müdahaleleri birbirine ters etkiler yaratmaktadır. Bu çalışmada Türkiye ekonomisinin önemli göstergelerinden biri olan BİST-100 endeksinin ulusal ve küresel Covid göstergeleri karşısındaki salınımları inceleme konusu yapılmıştır. Genişlemeci politikalar bağlamında uygulanan politikalar ile borsa alternatiflerinin kontrol değişken olarak kullanıldığı bu çalışmada 2019/12/31-2020/06/30 dönemi için MS-VAR analizlerine gidilmiştir. Analizlerde BİST-100'ün hem ulusal hem de küresel düzeydeki Covid göstergelerinden etkilendiği gözlenirken, bunun genişleme ve daralma evreleri şeklinde salınım gösterdiği tespit edilmiştir. Bu sonuçlar, Türkiye'de para ve maliye politikalarının küresel ve ulusal düzeyde Covid kaynaklı belirsizliklerin, iktisadi aktörlerin reel ve özellikle finansal kararları üzerindeki bekle ve gör etkisini mümkün olabildiğince minimize edebilecek proaktif bir anlayışla tasarlanmasının gerekli olduğuna işaret etmektedir.

Anahtar Kelimeler

Covid-19,, Türkiye Ekonomisi,, MS-VAR Analizi, BIST Endeksi, Doğrusal Olmayan Zaman Serisi

Is Turkey's Stock Market More Affected by Covid-19 Indicators at National Scales or Global Scales

Öz

In the context of wait-and-see policies due to uncertainties in the economy, both real and financial economic decisions bring to the agenda a slowdown. Considering that uncertainty gets ever deeper in accidental situations like wars and disasters, we observe that Covid-19 has not only surrounded the world, but has also further deepened this uncertainty. On the other hand, countries continue to struggle with health problems, while receding back to Keynesian economics to minimize the effects on their socio-economic structure, as economies try to relieve both real and financial economies by implementing expansionary monetary and financial policies. These expansionary policies and interventions by governments against such negativities have created opposite effects. This study examines the oscillations regarding the BIST-100 index, an important indicator of the Turkish economy, against national and global Covid indicators. Using policies expansionary policies and stock exchange alternatives as control variables, this study included MS-VAR analyses for the period of 2019/12/31-2020/06/30. It was observed that BIST-100 was affected by Covid indicators at both national and global levels and that it showed oscillations in the form of expansion and shrinking. These findings indicate that the monetary and fiscal policies in Turkey should be designed based on a proactive approach to minimize the wait-and-see effects of global and national uncertainties on the real and particularly the financial decisions of economic actors.

Anahtar Kelimeler

Covid-19, Turkish Economy, Stock Market Index, MS-VAR Analyses, Non-Linear Time Series.

Kaynakça

• Al-Awadhi, A.M., Alsaifi, K., Al-Awadhi, A. and Alhammadi, S., (2020). Death and contagious infectious diseases: impact of the covid-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 27, https://doi.org/10.1016/j.jbef.2020.100326
• Al-Tamimi, H. A. H., Alwan, A. A., and Abdel Rahman, A. A. (2011). Factors Affecting Stock Prices in the UAE Financial Markets. Journal of Transnational Management, 16(1), 3-19.
• Arouri, M., Estay, C., Rault, C. and Roubaud, D. (2016). Economic policy uncertainty and stock markets: Long- run evidence from the US. Finance Research Letters, 18, 136-141.
• Ashraf, B. N. (2020). Stock markets’ reaction to covid-19: Cases or fatalities? Europe PMC, (Date of access: 12- 08-2020) https://europepmc.org/article/pmc/pmc7244441
• Baker, S. R., Bloom, N. and Davis, S. J. (2013). Measuring economic policy uncertainty. Date of access: 06-05- 2020 https://www.policyuncertainty.com/media/EPU_BBD_2013.pdf
• Barro, R. J., Ursúa, J. F. , and Weng, J. (2020). The coronavirus and the great influenza pandemic: Lessons from the “Spanish Flu” for the coronavirus’s potential effects on mortality and economic activity. National Bureau of Economic Research Working Paper 26866, http://www.nber.org/papers/w26866
• Bildirici, M. E., Alp, E. A., Ersin, Ö. Ö. and Bozoklu, Ü. (2010). İktisatta kullanılan doğrusal olmayan zaman serisi yöntemleri. İstanbul: Türkmen Kitabevi.
• Broock, W. A., Scheinkman, J. A., Dechert, W. D. and LeBaron, B. (1996). A test for Independence based on the Correlation Dimension. Econometric Reviews, 15 (3), 197-235.
• Capelle-Blancard, G. and Desroziers, A. (2020). The stock market and the economy: Insights from the covid- 19 crisis. VOX-EU and CEPR Date of access: 12-08-2020 https://voxeu.org/article/stock-market-and- economy-insights-covid-19-crisis
• Cardona-Arenas, C. D. and Serna-Gómez, Héctor Mauricio (2020). COVID-19 and Oil Prices: Effects on the Colombian Peso Exchange Rate. (Date of access: 03-04-2020). Available at SSRN: https://ssrn.com/abstract=3567942 or http://dx.doi.org/10.2139/ssrn.3567942
• Central Bank of the Republic of Turkey. (2020). -Electronic Data Distribution System. https://evds2.tcmb.gov.tr/, Accessed 10 June 2020
• Chun-Da, C ., Chin-Chun, C., Wan-Wei, T.and Bor-Yi ,H. (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, https://www.jstor.org/stable/40376284
• Davids, S. J. (2016). An Index of Global Economic Policy Uncertainty. NBER Working Paper Series, Cambridge, MA 02138, 1-16. (Date of access: 06-06-2020), https://www.nber.org/papers/w22740.pdf.
• Erdem O. (2020). Freedom and Stock Market Performance during Covid-19 Outbreak. Finance Research Letters, 28 June 2020, 101671, https://doi.org/10.1016/j.frl.2020.101671
• Ersi̇n, Ö. and Bildirici, M. (2017). A Nonlinear Analysis of Monetary Policy with Dominance Indices in Turkey: MS- Var Approach. Romanian Journal of Economic Forecasting, 20(4), 22.
• Hamilton, J. D. (1989). A new approach to the economic analysis of non stationary time series and the business cycle. Econometrica, 57, 357-384.
• Hamilton, J. D. (1994). Time series analysis. Princeton University Press.
• Hamilton, J. D. (1996). Specification Testing in Markov-Switching Time Series Models. Journal of Econometrics, 70, 127–157.
• Harvey, D. I., and Leybourne, S. J. (2007). Testing for Time Series Linearity.Econometrics Journal, 10: 149-165.
• Harvey, D. I., Leybourne, S. J. and Xiao, B. (2008). A Powerful Test for Linearity When the Order of Integration is Unknown. Studies in Nonlinear Dynamics and Econometrics, 12 (3), 1-22.
• He, Q., Liu, J., Wang, S. and Yu, J. (2020). The Impact of Covid-19 on Stock Markets. Economic and Political Studies, 8, 1-14.
• Hoque, M. E. and Zaidi, M. A. S. (2019). The impacts of Global Economic Policy Uncertainty on Stock Market Returns in Regime Switching Environment: Evidence from Sectoral Perspectives. International Journal of Finance and Economics, 24 (2), 991-1016.
• Johns Hopkins University Center Covid Data. (2020). https://coronavirus.jhu.edu/, Accessed 12 June 2020
• Kang, W., Ratti, R. A., and Yoon, K. H. (2015). The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship”, Journal of International Financial Markets, Institutions and Money, 34, 41-54.
• Kapetanios G., Shin, Y. and Snell, A. (2003). Testing for a Unit Root in the Nonlinear STAR Framework”, Journal of Econometrics, 112, 359-379
• Karlsson Martin, Nilsson Therese, Pichler Stefan (2014). The impact of the 1918 Spanish Flu Epidemic on Economic Performance in Sweden: An Investigation into the Consequences of an Extraordinary Mortality Shock. Journal of Health Economics, 36: 1-19.
• Keenan, D. M. (1985). A Tukey Nonadditivity-Type Test for Time Series Nonlinearity, Biometrika, 72 (1): 39-44.
• Keogh-Brown M. R., Smith R. D., Edmunds J. W., Beutels P. (2010) The Macroeconomic Impact of Pandemic Influenza: Estimates from Models of the United Kingdom, France, Belgium and The Netherlands
• Keogh-Brown, M. R. , Smith, R. D. ( 2008). The Economic Impact of SARS: How does the Reality Match the Predictions? Health Policy, 88: 110–120
• Krolzig, H. M. (1997). Markov-Switching Vector Autoregressions: Modeling, Statistical Inference, and Application to Business Cycle Analysis. Springer-Verlag Berlin, Heidelberg, 1-360.
• Krolzig, H. M. (1998). Econometric Modeling of Markov-Switching Vector Autoregressions Using MSVAR for OX. Institute of Economics and Statistics and Nuffield College, Oxford, 1-26.
• Liu, H. Y., Manzoor, A., Wang, C. Y. Zhang, L. and Manzoor, Z. (2020). “The Covid-19 Outbreak and Affected Countries Stock Markets Response”, International Journal of Environmental Research and Public Health, 17, 1- 19.
• Loh Elaine (2006).“The Impact of Sars on the Performance and Risk Profile of Airline Stocks” International Journal of Transport Economics, 33 (3), 401-422
• McKibbin W. and Fernando R.(2020), “The Global Macroeconomic Impacts of COVID-19: Seven Scenarios”, CAMA Working Paper 19/2020 February 2020
• Riaz, A., Hongbing, O., Hashmi, S. H., and Khan, M. A. (2018). The Impact of Economic Policy Uncertainty on US Transportation Sector Stock Returns. International Journal of Academic Research in Accounting, Finance and Management Sciences, 8 (4): 163-170.
• Şenol, Z. and Zeren, F. (2020). Coronavirus (Covid-19) and Stock Markets: The Effects of The Pandemic on the Global Economy. Avrasya Sosyal ve Ekonomi Araştırmaları Dergisi (ASEAD), 7 (4): 1-16.
• Sims, C.A. (1980). Macroeconomics and Reality. Econometrica, 48: 1-48.
• Sollis, R. (2009). A Simple Unit Root Test Against Asymmetric STAR Nonlinearity with an Application to Real Exchange Rates in Nordic Countries. Economic Modelling, 26, 118-125.
• Tahat, Y. and Ahmed, A. H. (2020). Stock Market Returns, liquidity and Covid-19 Outbreak: Evidence from the UK. (Date of access: 12-08-2020) https://www.researchgate.net/publication/340926380_Stock_Market_Returns_and_COVID- 19_Outbreak_Evidence_from_the_UK
• Teräsvirta, T. (1994). Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models. Journal of the American Statistical Association, 89 (425): 208-218.
• Topçu M.,Gulal Ö.S.(2020). The Impact of COVID-19 on Emerging Stock Markets. Finance Research Letters, 10 July 2020, 101691, https://doi.org/10.1016/j.frl.2020.101691
• TR. İnvesting. (t.y). https://tr.investing.com, Accessed 25 June 2020.
• Tsay, R. S. (1986). Nonlinearity Tests for Time Series, Biometrika, 73 (2), 461-466.
• Vinh, V. X. (2014). An Empirical Investigation of Factors Affecting Stock Prices in Vietnam. Journal of Economics and Development, 16 (1), 74-89.
• Yoldascan, E., Kurtaran, B., Koyuncu, M. and Koyuncu, E. (2008). Modeling the Economic Impact of Pandemic Influenza: A Case Study in Turkey. J Med Syst 34, 139–145 DOI 10.1007/s10916-008-9225-x
• Zeren, F. and Hızarcı A. (2020). The Impact of Covid-19 Coronavirus on Stock Markets: Evidence from Selected Countries. Muhasebe ve Finans İncelemeleri Dergisi, 3 (1), 78-84.