The effect of increasing case on Turkish economy during the COVID-19 and an application on financial markets

In this thesis, the movements in the stock market index and the dollar exchange rate on the next day, depending on the number of daily cases during the COVID-19 coronavirus epidemic period, are analyzed using the one-step stochastic Markov chains method. In addition, the changes in the daily stock market index and dollar rate were examined for the selected days, regardless of the number of cases. Relative and non-relative Markov models were created on these investment instruments. Transition probability matrices were found and limit matrices in equilibrium were calculated by taking their powers. The results reveal that:i) In the days following the decrease in the number of daily cases, there will (would) be a positive movement in the stock market index with the highest probability of 0.6761; ii) In the days after the increase in the number of cases, it is in the increasing direction with the highest probability of 0.6184, with the dollar exchange rate return;iii) In stationarity case the probability of an increase in the dollar exchange rate is 0.5541 and the probability of a decrease is 0.4459, regardless of the increase or decrease in the number of cases. The return of the stock market index, on the other hand, was calculated as positive with a probability of 0.5971 and negative with a probability of 0.4029 in the case of stationarity. iv) In the case of equilibrium relative to the number of cases, the dollar rate and the BIST 100 index were calculated positively. v) According to the transition probability matrices obtained from the daily changes in the dollar rate, the highest probabilities are respectively; The probability of transition from an increasing day to an increasing day in the dollar rate is 0.6828. The probability of transition from a decreasing day to a decreasing day in the dollar rate is 0.5087, the probability of transitioning from a decreasing day to an increasing day is 0.4913, and the probability of transitioning from a decreasing day to a decreasing day is 0.3172. vi) According to the transition probability matrix obtained from BIST 100 daily changes, the highest probabilities are respectively; the probability of transitioning from an increasing day to an increasing day in the BIST 100 index is 0.6347. In the BIST 100 index, the probability of going from decreasing to increasing from one day to the next is 0.5824. The probability of transition from decreasing to decreasing day in BIST 100 index is 0.4176. In the BIST 100 index, the probability of transitioning from an increasing day to a decreasing day is 0.3653. vii) According to the results of the equilibrium situation, the probability of an increase in the dollar exchange rate is 0.6077 and the probability of a decrease is 0.393. The return of the BIST 100 index, on the other hand, is calculated as positive with a probability of 0.6145 and negative with a probability of 0.355 in case of stationarity. The return of the dollar rate and the BIST 100 index has been calculated positively.