Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey
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Published
Dec 10, 2021
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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.
JEL classification: C58, G14, E44
Keywords: COVID-19, Stock returns, Investment decisions, E-GARCH model
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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), pp. 35-46. doi: 10.22440/wjae.7.2.1.
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Research Articles
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References
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Kandil Goker, I. E., Eren, B. S., & Karaca, S. S. (2020). COVID-19 (Koronavirus'un Borsa Istanbul Sektor Endeks Getirileri ¨ Uzerindeki Etkisi: Bir Olay Calismasi. Gaziantep University Journal of Social Sciences, 19(COVID-19 Special Issue), 14-41. doi:10.21547/jss.731980
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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., Gumustekin, E., Dayan, K., & Mandi, E. (2020). Covid-19 krizinin Turkiye'deki sektorler uzerinde etkileri: Borsa Istanbul sektor endeksleri arastirmasi. Yuzuncu Yil Universitesi Sosyal Bilimler Enstitusu Dergisi(Salgin Hastaliklar Ozel Sayisi), 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., & Hizarci, 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
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
Goker, 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 Goker, I. E., Eren, B. S., & Karaca, S. S. (2020). COVID-19 (Koronavirus'un Borsa Istanbul Sektor Endeks Getirileri ¨ Uzerindeki Etkisi: Bir Olay Calismasi. Gaziantep University Journal of Social Sciences, 19(COVID-19 Special Issue), 14-41. doi:10.21547/jss.731980
Kilic, Y. (2020). Borsa Istanbul’da COVID-19 (Koronavirus) 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 sektor endeksleri uzerine asimetrik etkisi. Finans Ekonomi ve Sosyal Arastirmalar Dergisi , 5 (3), 546–556. doi:10.29106/fesa.797658
Ozturk, O. , Sisman, M. Y., Uslu, H., & Citak, 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., Gumustekin, E., Dayan, K., & Mandi, E. (2020). Covid-19 krizinin Turkiye'deki sektorler uzerinde etkileri: Borsa Istanbul sektor endeksleri arastirmasi. Yuzuncu Yil Universitesi Sosyal Bilimler Enstitusu Dergisi(Salgin Hastaliklar Ozel Sayisi), 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., & Hizarci, 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