COVID-19 ve Seçilmiş BIST Sektör İndeksleri İlişkisinde Sıcaklığın Moderatör Etkisi

Abdulkadir BARUT, (Harran Üniversitesi, Siverek Meslek Yüksekokulu, Şanlıurfa, Türkiye)
Emine KAYA (Malatya Turgut Özal Üniversitesi, İşletme ve Yönetim Bilimleri Fakültesi, Muhasebe ve Finans Yönetimi Bölümü, Malatya, Türkiye)
Turkish Studies (Elektronik)
3 0
Yıl: 2020 Cilt: 15 Sayı: 6 Sayfa Aralığı: 155 - 167 Metin Dili: Türkçe DOI: 10.7827/TurkishStudies.44474 İndeks Tarihi: 20-12-2021

COVID-19 ve Seçilmiş BIST Sektör İndeksleri İlişkisinde Sıcaklığın Moderatör Etkisi

Öz:
Virüslerin enfektivitesi sıcaklıktaki değişikliklerden etkilenmekte ve koronavirüs hastalığına neden olanCOVID-19, bir istisna olmamaktadır. SARS-CoV-2'nin normal çekirdek vücut sıcaklığına yakın sıcaklıklardastabilitesi, sıcaklığın COVID-19'un iletiminde ve şiddetinde özellikle önemli bir rol oynayabileceğinoktasında bilim insanlarını düşündürmektedir. COVID-19 salgınının küresel çapta hızla yayılması, finansalpiyasalar üzerinde dramatik etkilere neden olmuştur. Eşi görülmemiş bir risk algısı, COVID-19 salgınısüresince oluşmuş ve yatırımcıların önemli ölçüde kayıplar yaşayarak piyasadan çekilmelerine kaynaklıketmiştir. Öte yandan, borsa getirileri, büyük olaylara tepki vermektedir. Bu bağlamda çalışmanın amacı,Covid-19’un Borsa istanbul’un bazı alt endeksleri ilişkisini ve bu ilişkide hava sıcaklığının etkisininölçülmesidir. Bu amaçla, 10 Mart 2020-15 Haziran 2020 şeklinde 65 günlük veri bu çalışmada kullanılmıştır.Çalışmada değişkenler arasındaki eş bütünleme ilişkisi, Fourier ADL eş bütünleşme testi ile incelenmiştir.Fourier ADL eş bütünleşme testi sonuçlarına göre, BISTtüm, BIST100, BIST30, BISTkimya, BISTulaştırmave BISTyiyecek endeksleri ile vaka sayıları arasında uzun dönem ilişkisi tespit edilmiştir. Buna karşın,BISTturizm endeksi ile vaka sayıları arasında ise uzun dönem ilişkisi tespit edilememiştir. Uzun dönemkatsayıları ise DOLS tahmincisi ile tahmin edilmiş olup, bulgulara göre BISTtüm, BIST100, BIST30,BISTkimya ve BISTyiyecek ve vaka sayıları arasında pozitif ilişki olduğu görülmüştür. BISTulaştırmaendeksi ve vaka sayıları arasındaki uzun dönem katsayısının ise istatistiki olarak anlamsız olduğubelirlenmiştir. Diğer yandan, moderatör değişkenin ise vaka sayıları ve BIST endeksleri arasındaki ilişkiyigüçlendirdiği kanıtlanmıştır.
Anahtar Kelime:

Moderator Effect of Temperature in The Relationship between COVID-19 and Selected BIST Sector Indices

Öz:
The infectivity of viruses is affected by changes in temperature, and COVID-19, which causescoronavirus disease, is no exception. The stability of COVID-19 at temperatures close to normal core bodytemperature suggests scientists that temperature can play a particularly important role in the transmission andseverity of COVID-19. The rapid spread of the COVID-19 outbreak globally had dramatic effects on thefinancial markets. An unprecedented risk perception occurred during the COVID-19 outbreak and caused investors to suffer significant losses and withdraw from the market. On the other hand, stock market returnsreact to big events. In this context, the purpose of the study is to measure the relationship between Covid-19and some sub-indices of Borsa Istanbul and the effect of air temperature in this relationship. For this purpose,the data of 65 days as 10 March 2020-15 June 2020 were used in this study. In the study, the cointegrationrelationship between the variables was examined with Fourier ADL cointegration test. According to theresults of Fourier ADL cointegration test, a long-term relationship between BISTtüm, BIST100, BIST30,BISTkimya, BISTulaştırma and BISTyiyecek indexes and case numbers was determined. However, the long term relationship between the BISTturizm index and the number of cases could not be detected. Long-termcoefficients were estimated by DOLS estimator, and according to the findings, there was a positiverelationship between BISTtüm, BIST100, BIST30, BISTkimya and BISTyiyecek and the number of cases.The long-term coefficient between the BISTulaştırma index and the number of cases was found to bestatistically insignificant. On the other hand, the moderator variable was proved to strengthen the relationshipbetween the number of cases and BIST indices.
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
  • Ahmar, A. A. S. & Boj del Val, E. (21020). SutteARIMA: Short-term forecasting method, a case: Covid-19 and stock market in Spain. Science of the Total Environment, 729, 1-6. https://doi.org/10.1016/j.scitotenv.2020.138883
  • Akhtaruzzaman, M., Boubaker, S. & Sensoy, A. (2020). Financial contagion during COVID–19 crisis. Finance Research Letters, baskıda. https://doi.org/10.1016/j.frl.2020.101604
  • Al-Awadhi, A. M., Alsaifi, K, Al-Awadhi, A. & 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, 1-6. https://doi.org/0.1016/j.jbef.2020.100326
  • Albulescu, C. (2020). Coronavirus and financial volatility: 40 days of fasting and fear. arXiv preprint arXiv:2003.04005. https://hal.archives-ouvertes.fr/hal-02501814
  • Alsaifi, K., Elnahass, M. & Salama, A. (2020). Market responses to firms’ voluntary carbon disclosure: Empirical evidence from the United Kingdom. Journal of Cleaner Production, 262, 711-726. https://doi.org/10.1002/bse.2426
  • Ashraf, N. B. (2020). Stock markets’ reaction to COVID-19: Cases or fatalities?. Research in . International Business and Finance, 54, 1-7. https://doi.org/10.1016/j.ribaf.2020.101249
  • Baele, L., Bekaert, G., Ingelbrecth, K. & Wei, M. (2020). Flights to Safety. Review of Financial Studies, 33(2), 689–746. http://hdl.handle.net/1854/LU-8607743
  • Baker, S. R., Bloom, N., Davis, S. J., Kost, K., Sammon, M. & Viratyosinm, T. (2020). The unprecedented stock market reaction to COVID-19. NBER Working Paper Series. www.turkishstudies.net/turkishstudies https://bfi.uchicago.edu/working-paper/the-unprecedented-stock-market-reaction-to-covid19/
  • Banerjee, P., Arčabić, V. & Lee, H. (2017). Fourier ADL cointegration test to approximate smooth breaks with new evidence from crude oil market. Economic Modelling, 67, 114-124. https://doi.org/10.1016/j.econmod.2016.11.004
  • Bash, A. & Alsaifi, K. (2019). Fear from uncertainty: An event study of Khashoggi and stock market returns. Journal of Behavioral and Experimental Finance, 23, 54–58. https://doi.org/10.1016/j.jbef.2020.100326
  • Bekiros, S. D. (2014). Contagion, decoupling and the spillover effects of the US financial crisis: Evidence from the BRIC markets. International Review of Financial Analysis, 33, 58–69. 1 https://doi.org/0.1016/j.irfa.2013.07.007
  • Buhagiar, R., Cortis, D. & Newall, P.W. (2018). Why do some soccer bettors löse more money than others?. Journal of Behavioral and Experimental Finance, 18, 85–93. http://dx.doi.org/10.1016/j.jbef.2018.01.010
  • Bukhari, Q. & Jameel, Y. (2020). Will coronavirus pandemic diminish by summer. SSRN Papers. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3556998
  • Casanova, L. M., Jeon, S., Rutala, W. A., Weber, D. J. & Sobsey, M. D. (2010). Effects of air temperature and relative humidity on coronavirus survival on surfaces. Applied and Environmental Microbiology, 76(9), 2712–2717. https://doi.org/10.1128/AEM.02291-09
  • Chen, C. D., Chen, C. C., Tang, W. W. & Huang, B. Y. (2009). The positive and negative impacts of the SARS outbreak: A case of the Taiwan industries. The Journal of Developing Areas, 281–293. https://ideas.repec.org/a/jda/journl/vol.43year2009issue1pp281-293.html
  • Chen, M. H., Jang, S. S. & Kim, W. G. (2007). The impact of the SARS outbreak on Taiwanese hotel stock performance: An event-study approach. International Journal of Hospitality Management, 26(1), 200–212. https://doi.org/10.1016/j.ijhm.2005.11.004
  • Dickey, D. A. & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of The American Statistical Association, 74(366a), 427-431. https://www.jstor.org/stable/2286348?seq=1#metadata_info_tab_contents
  • Dimitriou, D., Kenourgios, D. & Simos, T. (2013). Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach. International Review of Financial Analysis, 30, 46–56. https://doi.org/10.1016/j.irfa.2013.05.008
  • Dunford, D., Dale, Becky, Stylianou, Nassos, Ed, Lowther, Ahmed, M., Arenas, Idl.T. (2020). Coronavirus: the World in Lockdown in Maps and Charts. BBC News. https://www.bbc.com/news/world-52103747
  • Enders, W. & 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. https://doi.org/10.1111/j.1468-0084.2011.00662.x
  • Gates, B. (2020). Responding to Covid-19 – A once-in-a-Century Pandemic?. The New England Journal of Medicine: Research & Review. https://www.nejm.org/doi/full/10.1056/NEJMp2003762
  • Guo, M., Kuai, Y. & Liu, X. (2020). Stock market response to environmental policies: Evidence from heavily polluting firms in China. Economic Modelling, 86, 306–316. https://doi.org/10.1016/j.econmod.2019.09.028
  • Gülhan, Ü. (2020). Covid-19 pandemisine BIST 100 reaksiyonu: ekonometrik bir analiz. Turkish Studies, 15(4), 497-509. https://dx.doi.org/10.7827/TurkishStudies.44122
  • Haroon, O. & Rizvi, R. S. A. (2020). COVID-19: Media coverage and financial markets behavior—A sectoral inquiry. Journal of Behavioral and Experimental Finance, 27, 1-5. https://doi.org/10.1016/j.jbef.2020.100343
  • He, Q., Liu, J., Wang, S. & Yu, J. (2020). The impact of COVID-19 on stock markets. Economic and Political Studies, 1-14. https://doi.org/10.1080/20954816.2020.1757570
  • Ichev, R. & Marinč, M. (2018). Stock prices and geographic proximity of information: Evidence from the Ebola outbreak. International Review of Financial Analysis, 56, 153–166. https://doi.org/10.1016/j.irfa.2017.12.004
  • Iqbal, N. Fareed, Z., Shahzad, F., Hea, X., Shahzad, U. & Lina, M. (2020). The nexus between COVID-19, temperature and exchange rate inWuhan city: New findings from partial and multiple wavelet coherence. Science of the Total Environment, 729, 1-9. https://doi.org/10.1016/j.scitotenv.2020.138916
  • Kenourgios, D., Samitas, A. & Paltalidis, N. (2011). Financial crises and stock market contagion in a multivariate time-varying asymmetric framework. Journal of International Financial Markets, Institutions & Money, 21, 92–106. https://doi.org/10.1016/j.intfin.2010.08.005
  • Kowalewski, O. & Śpiewanowski, P. (2020). Stock market response to potash mine disasters. Journal of Commodity Markets, 1-12. https://doi.org/10.1093/ajae/aaz041
  • Lahmiri, S. & Bekiros, S. (2020). The impact of COVID-19 pandemic upon stability and sequential irregularity of equity and cryptocurrency markets. Chaos, Solitons and Fractals, 138, 1-7. https://doi.org/10.1016/j.chaos.2020.109936
  • Lamarre, A. & Talbot, P.J. (1989). Effect of pH and temperature on the infectivity of human coronavirus 229E. Canadian Journal of Microbiology, 35(10), 972–974. https://doi.org/10.1139/m89-160
  • Li, K. (2018). Reaction to news in the Chinese stock market: A study on Xiong’an New Area Strategy. Journal of Behavioral and Experimental Finance, 19, 36–38. https://doi.org/169594443
  • Lopatta, K., Alexander, E. K., Gastone, L. M. & Tammen, T. (2020). To Report or Not to Report about Coronavirus? In: The Role of Periodic Reporting in Explaining Capital Market Reactions during the Global COVID-19 Pandemic. SSRN Papers. https://doi.org/10.1016/j.frl.2020.101597
  • Luchtenberg, K. F., & Vu, Q. V. (2015). The 2008 financial crisis: Stock market contagion and its determinants. Research in International Business and Finance, 33, 178–203. https://doi.org/10.1016/j.ribaf.2014.09.007
  • Nakiboğlu, A, Işık, S. (2020). Kovid-19 salgınının ekonomi üzerindeki etkileri: Türkiye’de işletme sahipleri üzerinde bir araştırma. Turkish Studies, 15(4), 765- 789. https://dx.doi.org/10.7827/TurkishStudies.43368
  • Okorie, D. I. & Lin, B. (2020). Stock markets and the COVID-19 fractal contagion effects. Finance Research Letters, baskıda. https://doi.org/10.1016/j.frl.2020.101640
  • Onali, E. (2020). COVID-19 and stock market volatility. SSRN Papers. http://dx.doi.org/10.2139/ssrn.3571453
  • Prata, D. N., Rodrigues, W. & Bermejo, P. H. (2020). Temperature significantly changes COVID19 transmission in (sub) tropical cities of Brazil. Science of the Total Environment, 138862. https://doi.org/10.1016/j.scitotenv.2020.138862
  • Shanaev, S. & Ghimire, B. (2019). Is all politics local? Regional political risk in Russia and the panel of stock returns. Journal of Behavioral and Experimental Finance, 21, 70–82. https://doi.org/10.1016/j.jbef.2020.100326
  • Sharifa, A., Aloui, C. & Yarovaya, L. (2020). COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the waveletbased approach. International Review of Financial Analysis, 70, 1-8. https://doi.org/10.1016/j.irfa.2020.101496
  • Wagner, A. F. (2020). What the stock market tells us about the post-COVID-19 world. Nature Human Behaviour, 4, 440. https://www.nature.com/articles/s41562-020-0869-y
  • Wallis, P. & Nerlich, B. (2005). Disease metaphors in new epidemics: The UK media framing of the 2003 SARS epidemic. Social Science & Medicine, 60(11), 2629–2639. https://doi.org/10.1016/j.socscimed.2004.11.031
  • Yarovaya, L., Matkovskyy, R. & Jalan, A. (2020). The effects of a ‘black swan’ event (COVID-19) on herding behavior in cryptocurrency markets: Evidence from cryptocurrency USD, EUR, JPY and KRW markets. SSRN Papers. http://dx.doi.org/10.2139/ssrn.3586511
  • Zach, T. (2003). Political events and the stock market: Evidence from Israel. International Journal of Professional Business Review, 8(3), 243-266. https://pdfs.semanticscholar.org/4135/42204bb8df6124fe362805c2de91a7ce0e3c.pdf?_ga= 2.9395637.1476369537.1592821446-1402901781.1571063523
  • Zaremba, A., Kizys, R. Aharon, D. Y. & Demir, E. (2020). Infected markets: Novel coronavirus, government interventions, and stock return volatility around the globe. Finance Research Letters, baskıda. https://doi.org/10.1016/j.frl.2020.101597
  • Zhanga, D., Hua, M. & Jib, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, baskıda. https://doi.org/10.1016/j.frl.2020.101528
APA BARUT A, Kaya-Guner E (2020). COVID-19 ve Seçilmiş BIST Sektör İndeksleri İlişkisinde Sıcaklığın Moderatör Etkisi. , 155 - 167. 10.7827/TurkishStudies.44474
Chicago BARUT ABDULKADIR,Kaya-Guner Emine COVID-19 ve Seçilmiş BIST Sektör İndeksleri İlişkisinde Sıcaklığın Moderatör Etkisi. (2020): 155 - 167. 10.7827/TurkishStudies.44474
MLA BARUT ABDULKADIR,Kaya-Guner Emine COVID-19 ve Seçilmiş BIST Sektör İndeksleri İlişkisinde Sıcaklığın Moderatör Etkisi. , 2020, ss.155 - 167. 10.7827/TurkishStudies.44474
AMA BARUT A,Kaya-Guner E COVID-19 ve Seçilmiş BIST Sektör İndeksleri İlişkisinde Sıcaklığın Moderatör Etkisi. . 2020; 155 - 167. 10.7827/TurkishStudies.44474
Vancouver BARUT A,Kaya-Guner E COVID-19 ve Seçilmiş BIST Sektör İndeksleri İlişkisinde Sıcaklığın Moderatör Etkisi. . 2020; 155 - 167. 10.7827/TurkishStudies.44474
IEEE BARUT A,Kaya-Guner E "COVID-19 ve Seçilmiş BIST Sektör İndeksleri İlişkisinde Sıcaklığın Moderatör Etkisi." , ss.155 - 167, 2020. 10.7827/TurkishStudies.44474
ISNAD BARUT, ABDULKADIR - Kaya-Guner, Emine. "COVID-19 ve Seçilmiş BIST Sektör İndeksleri İlişkisinde Sıcaklığın Moderatör Etkisi". (2020), 155-167. https://doi.org/10.7827/TurkishStudies.44474
APA BARUT A, Kaya-Guner E (2020). COVID-19 ve Seçilmiş BIST Sektör İndeksleri İlişkisinde Sıcaklığın Moderatör Etkisi. Turkish Studies (Elektronik), 15(6), 155 - 167. 10.7827/TurkishStudies.44474
Chicago BARUT ABDULKADIR,Kaya-Guner Emine COVID-19 ve Seçilmiş BIST Sektör İndeksleri İlişkisinde Sıcaklığın Moderatör Etkisi. Turkish Studies (Elektronik) 15, no.6 (2020): 155 - 167. 10.7827/TurkishStudies.44474
MLA BARUT ABDULKADIR,Kaya-Guner Emine COVID-19 ve Seçilmiş BIST Sektör İndeksleri İlişkisinde Sıcaklığın Moderatör Etkisi. Turkish Studies (Elektronik), vol.15, no.6, 2020, ss.155 - 167. 10.7827/TurkishStudies.44474
AMA BARUT A,Kaya-Guner E COVID-19 ve Seçilmiş BIST Sektör İndeksleri İlişkisinde Sıcaklığın Moderatör Etkisi. Turkish Studies (Elektronik). 2020; 15(6): 155 - 167. 10.7827/TurkishStudies.44474
Vancouver BARUT A,Kaya-Guner E COVID-19 ve Seçilmiş BIST Sektör İndeksleri İlişkisinde Sıcaklığın Moderatör Etkisi. Turkish Studies (Elektronik). 2020; 15(6): 155 - 167. 10.7827/TurkishStudies.44474
IEEE BARUT A,Kaya-Guner E "COVID-19 ve Seçilmiş BIST Sektör İndeksleri İlişkisinde Sıcaklığın Moderatör Etkisi." Turkish Studies (Elektronik), 15, ss.155 - 167, 2020. 10.7827/TurkishStudies.44474
ISNAD BARUT, ABDULKADIR - Kaya-Guner, Emine. "COVID-19 ve Seçilmiş BIST Sektör İndeksleri İlişkisinde Sıcaklığın Moderatör Etkisi". Turkish Studies (Elektronik) 15/6 (2020), 155-167. https://doi.org/10.7827/TurkishStudies.44474
Sayfa Oluşturulma Tarihi
23-04-2024 20:44

İLETİŞİM

TÜBİTAK ULAKBİM TR Dizin

Yüzüncüyıl, İşçi Blokları Mahallesi

Muhsin Yazıcıoğlu Caddesi No:51/C

06530 Çankaya / ANKARA +90 (312) 298 92 00

trdizin@tubitak.gov.tr

TÜBİTAK ULAKBİM Ulusal Akademik Ağ ve Bilgi Merkezi Cahit Arf Bilgi Merkezi © Tüm Hakları Saklıdır. Gizlilik Politikası Kullanım Şartları