COVID-19 pandemisinin Türkiye hisse senedi piyasası üzerindeki etkisi: Yapısal kırılmalarla zaman serisi analizi

Although many studies analyze the impact of the COVID-19 pandemic on the financial markets, the number of studies that analyze the effects comprehensively for Turkey is limited. In this study, daily data between April 8, 2020, and March 22, 2021, were used. The number of COVID-19 cases, deaths, and recovered patients in Turkey, the number of cases in the world, and Europe, interest rate, TL/US Dollar exchange rate, gold price, and VIX index were used as explanatory variables. VAR analysis was performed to determine the dynamic relationship between these variables with BIST-100, BIST-30, BIST-Financial, BIST-Industry, and BIST-Services indices. The results show that there is an inverse relationship between the cases in Turkey, interest rate, and indices except for the BIST-Services index. A positive relationship was found between the number of COVID-19 deaths, and BIST-100, BIST-30, BISTFinancial indices. There is an inverse relationship between index returns and exchange rate, VIX index, and gold prices. The robustness of the VAR results is supported by ARDL analysis. Finally, Impulse-Response analyses and Granger causality tests were applied. The findings indicate that returns reacted negatively to the negative shocks about COVID-19, positively to the number of recovered patients. According to the Granger causality tests, we find that the number of cases, and deaths in Turkey, and interest rate Granger causes BIST100, BIST-30, BIST-Industry returns. While the number of cases in Turkey Granger causes BIST-Financial return, the interest rate was the Granger causes BIST-Financial and BIST-Services returns.