COVID-19’s Impact on Global Stock Market Movements and an Examination on Turkish Market

Hazar Altinbaş
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Hazar Altinbaş: Department of Finance and Banking, Beykent University, Istanbul, Turkey

Yildiz Social Science Review, 2022, vol. 8, issue 1, 41-51

Abstract: Financial globalization has entered to an important phase, after capital account liberalizations in 1980s for developed countries, and in 1990s for developing countries. In this phase, systemic risk factors are increased, negative events and expectations became more likely to spread and effect all markets. Particularly in stock markets, it is seen that markets of many countries integrated with “global” market rapidly, but level of this integration has not reached to remarkably high levels and does not result with strong co-movements. Even faced crises cause similar reactions in stock markets in short-term, after-shock movements may show distinct characteristics. In this framework, possible effects of World Health Organization’s pandemic announcement for the disease COVID-19, which is made on 11 March 2020, on the changes in co-movements of stock markets are investigated by using Principal Component Analysis and a change point detection analysis. Daily index movements until the date 31.12.2020 of 20 stock markets, including Turkey are used in analyses. Additionally, impact of pandemic related local numbers and restriction levels on Turkish stock market is examined.

Keywords: Pandemic; stock markets; co-movementsJournal: Yildiz Social Science Review (search for similar items in EconPapers)
JEL-codes: F00 F30 G00 G10 K00 K20 M00 M20 O10 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:aye:journl:v:8:y:2022:i:1:p:41-51

DOI: 10.51803/yssr.1146870

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