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

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Metin Tetik
https://orcid.org/0000-0003-2741-7175

Abstract

This study examines how the volatility of the sectoral stock returns within Borsa İstanbul 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.

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How to Cite
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. https://doi.org/10.22440/wjae.7.2.1
Section
Research Articles

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