Araştırma Makalesi
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Impact of Macro Indicators on Istanbul Stock Exchange During Covid-19 Pandemic

Yıl 2022, Cilt: 37 Sayı: 1, 206 - 217, 14.03.2022

Volkan Kaymaz Özlem Yılmaz

https://doi.org/10.24988/ije.933686

Öz

This research analyses the effects of the macro indicators like credit default swap, exchange rate, oil prices and gold prices on the Istanbul Stock Exchange (BIST100 Index) during the Covid-19 period by applying vector autoregressive model. In the model, daily data of the indicators are considered. The analysis comprises of two periods: pre-Covid-19 period (first week of 2019 to last week of 2020) and the during Covid-19 period (first week of 2020 to the second week of 2021). The comparison of two periods determines whether Covid-19 influence the impact of macro indicators on Borsa Istanbul. The findings reveal that in the pre-Covid-19 period, the volatility in BIST100 is explained mainly by gold prices. Credit default swap, oil prices and exchange rate affected BIST100 negatively, while gold prices had a positive impact on the Index. In the Covid-19 period, the impact of credit default swap and oil prices on BIST100 increased. A negative relationship is observed between BIST100 Index and the gold prices. A positive relationship is found between BIST100 and the exchange rate. Furthermore, the exchange rate had a greater impact on BIST100 than the impact observed in the pre-Covid period.

Anahtar Kelimeler

Credit default swap exchange rate oil prices stock market VAR analysis

Kaynakça

  • Bhattacharyya, R., Indrajit Banerjee, I. and Kumar, A. (2020). Examining the effect of Covid-19 on foreign exchange rate and stock market – an applied insight into the variable effects of lockdown on Indian economy, Papers 2006. 14499, arXiv.org.
  • Burda, M. and Wyplosz, C. (2005). Macroeconomics: A European Text, 4th ed, Oxford University Press.
  • Dahir, A. M., Mahat, F., Ab Razak, N. H., and Bany-Ariffin, A. N. (2018). Revisiting the dynamic relationship between exchange rates and stock prices in BRICS countries: A wavelet analysis, Borsa Istanbul Review, 18(2), 101-113.
  • Degiannakis, S., Filis, G. and Kizys, R. (2014). The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data, The Energy Journal, International Association for Energy Economics, 0(1)
  • Delgado, N. A. B., Delgado, E. B. and Saucedo, E. (2018). The relationship between oil prices, the stock market and the exchange rate: Evidence from Mexico, North American Journal of Economics and Finance, 45, 266-275.
  • Dornbusch, R., and Fischer, S. (1980). Exchange rates and the current account, The American Economic Review, 70(5), 960-971.
  • Dickey, D.A. and W.A. Fuller (1979). Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, 427-431.
  • Eren, M. and Başar, S. (2016). Effects of Credit Default Swaps (CDS) on BIST-100 Index, Ecoforum, 5 (Special Issue), 123-129.
  • European Central Bank (2004). How do stock markets react to changes in oil prices? Economic and Monetary Developments, available at: https://www.ecb.europa.eu/pub/pdf/other/mb200409_focus04.en.pdf (accessed 05 March 2021).
  • Hamad, Ameen M.H., Kamışlı M. and Temizel F. (2020). The impact of exchange rate on stock market indices, Business & Management Studies: An International Journal, 8(2), 2044-2062.
  • Hamilton, J. D. (1983). Oil and macroeconomy since World War II, Journal of Political Economy, 92, 228–248.
  • İlhan, A. and Akdeniz, C. (2020). The impact of macroeconomic variable on the stock market in the time of Covid-19: The case of Turkey, Journal of Research in Economics, Politics & Finance, 5(3), 893-912.
  • Investing.com (2021). Stock Market Quotes & Financial News, available at https://www.investing.com/ (accessed 15 January 2021).
  • İşyatırım (2020). Günlük Yabancı Oranları Tablosu, available at https://www.isyatirim.com.tr/tr-tr/analiz/arastirma-raporlari/ArastirmaRaporlari/2_20201231082817148_1.pdf (accessed 1 September 2021).
  • Lutz, K. and Park, C. (2009). The Impact of Oil Price Shocks on the U.S. Stock Market, International Economic Review, 50(4), 1267-1287.
  • Koy, A. (2015). The relationship between credit default swap spreads, equity indices and sector equity indices: An empirical study on Istanbul Stock Exchange, 17th International Academic Conference, Vienna, 21 June 2015.
  • Mateev, M. and Marinova, E. (2019). Relation between credit default swap spreads and stock prices: A non-linear perspective, Journal of Economics and Finance, 43(1), 1-26.
  • Narayan, P. K., Devpura, N. and Wang, H. (2020). Japanese currency and stock market—What happened during the Covid-19 Pandemic?, Economic Analysis and Policy, 68, 191-198.
  • Perron, P. (1989). The great crash, the oil price shock and the unit root hypothesis, Econometrica, 57, 1361-1401.
  • Pfaff, B. (2008). VAR, SVAR and SVEC Models: Implementation within R Package Vars, Journal of Statistical Software, 27(4), 1-32.
  • Raraga, F. and Muharam, H. (2013). VAR Analysis on Mutual Relationship between Stock Price Index and Exchange Rate. SSRN Electronic Journal.
  • Sarıgül, H. (2020). Gelişmekte olan finansal piyasalarda ülke kredi temerrüt takası primleri ile hisse senedi endeksleri arasındaki ilişki üzerine bir araştırma, Maliye ve Finans Yazıları, 114, 103- 28.
  • Syahri, A. and Robiyanto, R. (2020). The correlation of gold, exchange rate, and stock market on Covid-19 pandemic period, Jurnal Keuangan dan Perbankan, 24(3), 350–362
  • Senol, Z. (2021). Volatility spillover between the stock market, exchange rates, interest rates and CDS premiums: Evidence from Turkey, Business and Economics Research Journal, 12(1), 111-126.
  • Sims, C.A. (1980). Macroeconomics and reality, Econometrica, 48(1), 1-48.
  • Stanway, D. (2021). First COVID-19 case could have emerged in China in Oct 2019 – study, available at https://www.reuters.com/world/china/first-covid-19-case-could-have-hit-china-oct-2019-study-2021-06-25/ (accessed 1 September 2021).
  • Stock, J.H. and Watson, M.W. (2001). Vector Autoregressions, Journal of Economic Perspectives, 15(4), 101-115.
  • Suriani, S., Kumar, M.D., Jamil, F. and Muneer, S. (2015). Impact of exchange rate on stock market, International Journal of Economics and Financial Issues, 5(Special Issue), 385-388.
  • Suvaronic, S. (2019). International trade theory and policy. International Economics Study Center.
  • Topcu, M, and Gulal, O. S. (2020). The impact of Covid-19 on emerging stock markets, Finance Research Letters, 36(101691).
  • Vurur, N. S. (2021). BIST 100 Endeksi CDS Primleri Arasındaki İlişkide Covid 19 Etkisi, Uluslararası İktisadi ve İdari İncelemeler Dergisi, 31(97), 97-112.

Covid-19 Pandemi Döneminde Makro Göstergelerin Borsa İstanbul Üzerindeki Etkileri

Yıl 2022, Cilt: 37 Sayı: 1, 206 - 217, 14.03.2022

Volkan Kaymaz Özlem Yılmaz

https://doi.org/10.24988/ije.933686

Öz

Bu araştırma, kredi risk primi, döviz kuru, petrol fiyatları ve altın fiyatlarından oluşan makro göstergelerin Covid-19 pandemi döneminde Borsa İstanbul (BIST100) üzerindeki etkilerini vektör otoregresif modeli uygulayarak analiz etmektedir. Modelde göstergelerin günlük verileri dikkate alınmıştır. Analiz: Covid-19 öncesi dönem (2019'un ilk haftasından 2020'nin son haftasına) ve Covid-19 dönemi (2020'nin ilk haftasından 2021'in ikinci haftasına) olmak üzere iki dönemden oluşmaktadır. İki dönemin karşılaştırılması makro göstergelerin Borsa İstanbul üzerindeki etkisinde Covid-19 pandemisinin etkili olup olmadığını ortaya koymaktadır. Bulgulara göre, Covid-19 öncesi dönemde BIST100'deki oynaklık ağırlıklı olarak altın fiyatları ile açıklanmaktadır. Kredi risk primi, petrol fiyatları ve döviz kuru BIST100'ü olumsuz etkilerken, altın fiyatlarının endeksi olumlu etkilediği ortaya konulmuştur. Covid-19 döneminde ise kredi risk primi ve petrol fiyatlarının BIST100 üzerindeki etkisi artmıştır. BIST100 Endeksi ile altın fiyatları arasında negatif ilişki saptanırken, BIST100 ile döviz kuru arasında ise pozitif bir ilişki bulunmuştur. Ayrıca döviz kurunun BIST100 üzerinde Covid-19 öncesi dönemde gözlemlenen etkiden daha büyük bir etkisi olduğu sonucuna varılmıştır.

Anahtar Kelimeler

Kredi temerrüt takası döviz kuru petrol fiyatları borsa VAR analizi

Kaynakça

  • Bhattacharyya, R., Indrajit Banerjee, I. and Kumar, A. (2020). Examining the effect of Covid-19 on foreign exchange rate and stock market – an applied insight into the variable effects of lockdown on Indian economy, Papers 2006. 14499, arXiv.org.
  • Burda, M. and Wyplosz, C. (2005). Macroeconomics: A European Text, 4th ed, Oxford University Press.
  • Dahir, A. M., Mahat, F., Ab Razak, N. H., and Bany-Ariffin, A. N. (2018). Revisiting the dynamic relationship between exchange rates and stock prices in BRICS countries: A wavelet analysis, Borsa Istanbul Review, 18(2), 101-113.
  • Degiannakis, S., Filis, G. and Kizys, R. (2014). The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data, The Energy Journal, International Association for Energy Economics, 0(1)
  • Delgado, N. A. B., Delgado, E. B. and Saucedo, E. (2018). The relationship between oil prices, the stock market and the exchange rate: Evidence from Mexico, North American Journal of Economics and Finance, 45, 266-275.
  • Dornbusch, R., and Fischer, S. (1980). Exchange rates and the current account, The American Economic Review, 70(5), 960-971.
  • Dickey, D.A. and W.A. Fuller (1979). Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, 427-431.
  • Eren, M. and Başar, S. (2016). Effects of Credit Default Swaps (CDS) on BIST-100 Index, Ecoforum, 5 (Special Issue), 123-129.
  • European Central Bank (2004). How do stock markets react to changes in oil prices? Economic and Monetary Developments, available at: https://www.ecb.europa.eu/pub/pdf/other/mb200409_focus04.en.pdf (accessed 05 March 2021).
  • Hamad, Ameen M.H., Kamışlı M. and Temizel F. (2020). The impact of exchange rate on stock market indices, Business & Management Studies: An International Journal, 8(2), 2044-2062.
  • Hamilton, J. D. (1983). Oil and macroeconomy since World War II, Journal of Political Economy, 92, 228–248.
  • İlhan, A. and Akdeniz, C. (2020). The impact of macroeconomic variable on the stock market in the time of Covid-19: The case of Turkey, Journal of Research in Economics, Politics & Finance, 5(3), 893-912.
  • Investing.com (2021). Stock Market Quotes & Financial News, available at https://www.investing.com/ (accessed 15 January 2021).
  • İşyatırım (2020). Günlük Yabancı Oranları Tablosu, available at https://www.isyatirim.com.tr/tr-tr/analiz/arastirma-raporlari/ArastirmaRaporlari/2_20201231082817148_1.pdf (accessed 1 September 2021).
  • Lutz, K. and Park, C. (2009). The Impact of Oil Price Shocks on the U.S. Stock Market, International Economic Review, 50(4), 1267-1287.
  • Koy, A. (2015). The relationship between credit default swap spreads, equity indices and sector equity indices: An empirical study on Istanbul Stock Exchange, 17th International Academic Conference, Vienna, 21 June 2015.
  • Mateev, M. and Marinova, E. (2019). Relation between credit default swap spreads and stock prices: A non-linear perspective, Journal of Economics and Finance, 43(1), 1-26.
  • Narayan, P. K., Devpura, N. and Wang, H. (2020). Japanese currency and stock market—What happened during the Covid-19 Pandemic?, Economic Analysis and Policy, 68, 191-198.
  • Perron, P. (1989). The great crash, the oil price shock and the unit root hypothesis, Econometrica, 57, 1361-1401.
  • Pfaff, B. (2008). VAR, SVAR and SVEC Models: Implementation within R Package Vars, Journal of Statistical Software, 27(4), 1-32.
  • Raraga, F. and Muharam, H. (2013). VAR Analysis on Mutual Relationship between Stock Price Index and Exchange Rate. SSRN Electronic Journal.
  • Sarıgül, H. (2020). Gelişmekte olan finansal piyasalarda ülke kredi temerrüt takası primleri ile hisse senedi endeksleri arasındaki ilişki üzerine bir araştırma, Maliye ve Finans Yazıları, 114, 103- 28.
  • Syahri, A. and Robiyanto, R. (2020). The correlation of gold, exchange rate, and stock market on Covid-19 pandemic period, Jurnal Keuangan dan Perbankan, 24(3), 350–362
  • Senol, Z. (2021). Volatility spillover between the stock market, exchange rates, interest rates and CDS premiums: Evidence from Turkey, Business and Economics Research Journal, 12(1), 111-126.
  • Sims, C.A. (1980). Macroeconomics and reality, Econometrica, 48(1), 1-48.
  • Stanway, D. (2021). First COVID-19 case could have emerged in China in Oct 2019 – study, available at https://www.reuters.com/world/china/first-covid-19-case-could-have-hit-china-oct-2019-study-2021-06-25/ (accessed 1 September 2021).
  • Stock, J.H. and Watson, M.W. (2001). Vector Autoregressions, Journal of Economic Perspectives, 15(4), 101-115.
  • Suriani, S., Kumar, M.D., Jamil, F. and Muneer, S. (2015). Impact of exchange rate on stock market, International Journal of Economics and Financial Issues, 5(Special Issue), 385-388.
  • Suvaronic, S. (2019). International trade theory and policy. International Economics Study Center.
  • Topcu, M, and Gulal, O. S. (2020). The impact of Covid-19 on emerging stock markets, Finance Research Letters, 36(101691).
  • Vurur, N. S. (2021). BIST 100 Endeksi CDS Primleri Arasındaki İlişkide Covid 19 Etkisi, Uluslararası İktisadi ve İdari İncelemeler Dergisi, 31(97), 97-112.
Toplam 31 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Ekonomi
Bölüm Makaleler
Yazarlar

Volkan Kaymaz 0000-0001-7556-9507

Özlem Yılmaz 0000-0001-5335-8370

Erken Görünüm Tarihi 2 Mart 2022
Yayımlanma Tarihi 14 Mart 2022
Gönderilme Tarihi 6 Mayıs 2021
Kabul Tarihi 16 Eylül 2021
Yayımlandığı Sayı Yıl 2022 Cilt: 37 Sayı: 1

Kaynak Göster

APA Kaymaz, V., & Yılmaz, Ö. (2022). Impact of Macro Indicators on Istanbul Stock Exchange During Covid-19 Pandemic. İzmir İktisat Dergisi, 37(1), 206-217. https://doi.org/10.24988/ije.933686
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