News impact curve analysis and spillovers during COVID-19 pandemic case studies: Pharmaceutical industry, tech companies (Faang) & airline industry

The Covid-19 pandemic, which has gained momentum since the day it started, has taken the whole world under its influence. In this thesis, how the Covid-19 pandemic affected three sectors, namely the pharmaceutical industry, technology companies, and the airline industry, was investigated in three separate chapters. Sectors have been affected by the discovery of the vaccine as well as by the pandemic. In this context, in the first chapter, an analysis was made using the EGARCH Model and news impact curves to examine the effects on the returns of pharmaceutical and biotechnology companies. As a result of the measures and restrictions taken to prevent the pandemic from progressing, people started to work from home. People have had to start meeting many of their needs online because restaurants only offer takeaway, shopping malls are closed, etc. Therefore, the need for technology has increased even more in this period. Individuals, being locked at home, have turned to online broadcasts such as Netflix. In this context, in the second chapter, how the stock returns of Facebook, Apple, Amazon, Netflix, and Alphabet (FAANG) are affected by using the DCC GARCH model was examined. In some periods, travel has been imposed restrictions due to the increasing number of cases. With the discovery of the vaccine, restrictions have also changed. In the last chapter, an analysis has made using the Granger Causality Tests and Diagonal BEKK Model to examine long-term spillover effects among the two crude oil prices (Brent, WTI) and three US Airlines Stock prices (American Airlines Group, Southwest Airlines Company, and Delta Air Lines). By expanding the data set used in the study, more comprehensive results can be obtained and may guide future research.