Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey

Metin TETİK (Uşak Üniversitesi, Bilimler Fakültesi, Lojistik Yönetimi Bölümü. Uygulamalı, Uşak, Türkiye)
World Journal of Applied Economics
2 0
Yıl: 2021 Cilt: 7 Sayı: 2 Sayfa Aralığı: 35 - 46 Metin Dili: İngilizce DOI: 10.22440/wjae.7.2.1 İndeks Tarihi: 22-06-2022

Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey

Öz:
This study examines how the volatility of the sectoral stock returns within Borsa ˙Istanbul are affected during the COVID-19 pandemic. The analysis uses daily stock return data for four main sector indices: services, finance, industry, and technology. The sample period of the study covers 03.03.2015–11.03.2021, and 12.03.2020- 03.04.2021 is separately analyzed for the COVID-19 period. When E-GARCH models and news impact curves are analyzed, it is found that the services sector stock returns volatility differs from other sectoral stock returns.
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
  • 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 , 100326. doi:10.1016/j.jbef.2020.100326
  • 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
  • Black, F. (1976). Studies of stock market volatility changes. In 1976 Proceedings of the American Statistical Association Bisiness and Economic Statistics Section.
  • Chen, X., & Ghysels, E. (2011). News—Good or Bad—and Its Impact on Volatility Predictions over Multiple Horizons. The Review of Financial Studies, 24 (1), 46–81. doi:10.1093/rfs/hhq071
  • Dickey, D. A., & Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49 (4), 1057–1072. doi:10.2307/1912517
  • Elgin, C., Basbug, G., & Yalaman, A. (2020). Economic policy responses to a pandemic: Developing the COVID-19 economic stimulus index). Covid Economics, 3 , 40–53. http://www.amcham-egypt.org/bic/pdf/corona1/Covid%20Economics%20by% 20CEPR.pdf#page=44.
  • 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
  • Engle, R. F., & Ng, V. K. (1993). Measuring and Testing the Impact of News on Volatility. The Journal of Finance, 48 (5), 1749–1778. doi:10.1111/j.1540-6261.1993.tb05127.x
  • Ewing, B. T., Kruse, J. B., & Thompson, M. A. (2005). Comparing the Impact of News: A Tale of Three Health Care Sectors. Journal of Business Finance & Accounting, 32 (7-8), 1587–1611. doi:10.1111/j.0306-686X.2005.00641.x
  • Franses, P. H., Van Dijk, D., et al. (2000). Non-linear Time Series Models in Empirical Finance. Cambridge University Press.
  • Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. The Journal of Finance, 48 (5), 1779–1801. doi:10.1111/j.1540-6261.1993.tb05128.x
  • G¨oker, ˙I. E. K., Eren, B. S., & Karaca, S. S. (2020). The Impact of the Covid- 19 (coronavirus) on the Borsa Istanbul Sector Index Returns: An Event Study.
  • Gaziantep University Journal of Social Sciences, 19(COVID-19 Special Issue), 14–41. doi:10.21547/jss.731980
  • Kandil G¨oker, I. E., Eren, B. S., & Karaca, S. S. (2020). COVID-19 (Koronavir ¨us)’un Borsa ˙Istanbul Sekt¨or Endeks Getirileri ¨ Uzerindeki Etkisi: Bir Olay C¸ alı¸sması. Gaziantep University Journal of Social Sciences, 19(COVID-19 Special Issue), 14-41. doi:10.21547/jss.731980
  • Kılı¸c, Y. (2020). Borsa ˙Istanbul’da COVID-19 (Koronavir¨us) Etkisi. JOEEP: Journal of Emerging Economies and Policy, 5 (1), 66–77. https://dergipark.org.tr/en/pub/ joeep/issue/53777/734904.
  • Kwiatkowski, D., Phillips, P. C., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54 (1), 159–178. doi:10.1016/0304- 4076(92)90104-Y
  • Li, C. W., & Li, W. K. (1996). On a double-threshold autoregressive heteroscedastic time series model. Journal of Applied Econometrics, 11 (3), 253–274. doi:10.1002/(SICI)1099- 1255(199605)11:3<253::AID-JAE393>3.0.CO;2-8
  • Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The COVID-19 Outbreak and Affected Countries Stock Markets Response. International Journal of Environmental Research and Public Health, 17 (8), 2800. doi:10.3390/ijerph17082800
  • Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59 (2), 347–370. doi:10.2307/2938260
  • ¨ Ozdemir, L. (2020). Covid-19 pandemisinin BIST sekt¨or endeksleri ¨uzerine asimetrik etkisi. Finans Ekonomi ve Sosyal Ara¸stırmalar Dergisi , 5 (3), 546–556. doi:10.29106/fesa.797658
  • ¨ Ozt¨urk, ¨ O., S¸i¸sman, M. Y., Uslu, H., & C¸ ıtak, F. (2020). Effect of COVID-19 outbreak on Turkish stock market: a sectoral-level analysis. Hitit University Journal of Social Sciences Institute, 13 (1), 56–68. https://www.ceeol.com/search/article-detail?id=886533.
  • Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75 (2), 335–346. doi:10.1093/biomet/75.2.335
  • Sansa, N. A. (2020). The Impact of the COVID-19 on the Financial Markets: Evidence from China and USA. Electronic Research Journal of Social Sciences and Humanities, 2 (II). doi:10.2139/ssrn.3567901
  • Tayar, T., G¨um¨u¸stekin, E., Dayan, K., & Mandi, E. (2020). Covid-19 krizinin T¨urkiye’deki sekt¨orler ¨uzerinde etkileri: Borsa ˙Istanbul sekt¨or endeksleri ara¸stırması. Y¨uz¨unc¨u Yıl ¨ Universitesi Sosyal Bilimler Enstit¨us¨u Dergisi(Salgın Hastalıklar ¨ Ozel Sayısı), 293–320. https://dergipark.org.tr/en/pub/yyusbed/issue/56115/772087.
  • Zakoian, J. M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control , 18 (5), 931-955. doi:10.1016/0165-1889(94)90039-6
  • Zeren, F., & Hızarcı, A. (2020). The impact of covid-19 coronavirus on stock markets: evidence from selected countries. Muhasebe ve Finans ˙Incelemeleri Dergisi , 3 (1), 78–84. doi:10.32951/mufider.706159
  • Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36 , 101528. doi:10.1016/j.frl.2020.101528
APA tetik m (2021). Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey. , 35 - 46. 10.22440/wjae.7.2.1
Chicago tetik metin Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey. (2021): 35 - 46. 10.22440/wjae.7.2.1
MLA tetik metin Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey. , 2021, ss.35 - 46. 10.22440/wjae.7.2.1
AMA tetik m Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey. . 2021; 35 - 46. 10.22440/wjae.7.2.1
Vancouver tetik m Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey. . 2021; 35 - 46. 10.22440/wjae.7.2.1
IEEE tetik m "Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey." , ss.35 - 46, 2021. 10.22440/wjae.7.2.1
ISNAD tetik, metin. "Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey". (2021), 35-46. https://doi.org/10.22440/wjae.7.2.1
APA tetik m (2021). Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey. World Journal of Applied Economics, 7(2), 35 - 46. 10.22440/wjae.7.2.1
Chicago tetik metin Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey. World Journal of Applied Economics 7, no.2 (2021): 35 - 46. 10.22440/wjae.7.2.1
MLA tetik metin Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey. World Journal of Applied Economics, vol.7, no.2, 2021, ss.35 - 46. 10.22440/wjae.7.2.1
AMA tetik m Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey. World Journal of Applied Economics. 2021; 7(2): 35 - 46. 10.22440/wjae.7.2.1
Vancouver tetik m Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey. World Journal of Applied Economics. 2021; 7(2): 35 - 46. 10.22440/wjae.7.2.1
IEEE tetik m "Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey." World Journal of Applied Economics, 7, ss.35 - 46, 2021. 10.22440/wjae.7.2.1
ISNAD tetik, metin. "Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey". World Journal of Applied Economics 7/2 (2021), 35-46. https://doi.org/10.22440/wjae.7.2.1
Sayfa Oluşturulma Tarihi
23-04-2024 23:27

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