The Impact of Covid-19 on Emerging Stock Market Volatility: Empirical Evidence from Borsa Istanbul

İbrahim Yağlı

Journal of Research in Economics, Politics & Finance, 2020, vol. 5, issue SI, 269-279

Abstract: The study aims to examine the impact of COVID-19 on the Turkish stock market volatility and reveal how different industries are affected by COVID-19. Volatility between pre-COVID and COVID periods are compared across industries to understand the impact of the first shock. Markov-switching dynamic regression (MSDR) model is employed to determine the transition from low volatility (pre-COVID) period to high volatility (COVID) period. The findings reveal a significant deterioration in volatility for all industries during the COVID-period, with a more dominant impact on the service sector. Then, factors that drive stock market volatility are investigated to understand the role of COVID-19 on increasing volatility. Results show that COVID-19 patients trigger volatility for all industries except food & beverages, insurance, non-metal mineral product, and wholesale & retail trade. On the other hand, an increase in the number of recoveries results in lower volatility for most of the industries. Besides, credit default swap increases volatility while the exchange rate lowers volatility. However, the magnitudes of credit default swap and exchange rate are greater than those of patients and recoveries, suggesting that COVID-19 is not the main driver of volatility for the Turkish stock market in the pandemic period.

Keywords: COVID-19; Industry-Level Volatility; Emerging Market Economy (search for similar items in EconPapers)
JEL-codes: C24 E44 G32 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://dergipark.org.tr/tr/download/article-file/1399906 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ahs:journl:v:5:y:2020:i:si:p:269-279

DOI: 10.30784/epfad.826736

Access Statistics for this article

More articles in Journal of Research in Economics, Politics & Finance from Ersan ERSOY
Bibliographic data for series maintained by Ersan Ersoy ().