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

Metin Tetik ()

World Journal of Applied Economics, 2021, vol. 7, issue 2, 35-46

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 return.

Keywords: COVID-19; Stock returns; Investment decisions; E-GARCH model (search for similar items in EconPapers)
JEL-codes: C58 E44 G14 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:ana:journl:v:7:y:2021:i:2:p:35-46

DOI: 10.22440/wjae.7.2.1

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