Causality Change Between BIST 100 Index and USD, Gold, and BITCOIN Before and After the COVID-19 Pandemic: A Historical Analysis with a Fourier Function on Turkiye

Hasan Kazak

Fiscaoeconomia, 2023, issue 3

Abstract: The aim of this study is to present guiding data in the decisions of the affected parties in the financial system and contribute to the literature by revealing the changes in investor decisions during the COVID-19 pandemic period as pre-pandemic and post-pandemic periods. The study covers the period of 01/01/2018-24/02/2023 with the latest updated values, including before and after the COVID-19 pandemic, over the case of Turkiye. Analyzes were performed using a causality test that enriched the Toda-Yamamoto procedure with the Fourier function (FTY). The study period was divided into four sub-periods with the Chow structural break test. In the study, the causality relationship between USD, Gold (AU) and that between Bitcoin variables and BIST100 index were analyzed. The results of the analysis showed that the pre-pandemic and post-pandemic period revealed quite different causality relationships in that gold emerged as a safe haven in the first shock wave of the pandemic, and gold lost this feature in the ongoing pandemic process and the causality between all the variables discussed became clear. In the post-pandemic period, compared to the pre-pandemic one, it was observed that the causality relationship between the BIST100 variable of USD and Bitcoin, which are the other variables that only gold has a one-sided causality relationship in the same way, disappeared completely. The study makes an important contribution to the literature in terms of analyzing investor behavior at each stage of crisis periods.

Keywords: Covid-19; Financial Indicators; Causality; Fourier Function; Toda–Yamamoto (search for similar items in EconPapers)
JEL-codes: C22 C32 G15 I18 (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
https://dergipark.org.tr/en/download/article-file/2997372

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:fis:journl:230301

DOI: 10.25295/fsecon.1261953

Access Statistics for this article

More articles in Fiscaoeconomia from Tubitak Ulakbim JournalPark (Dergipark)
Bibliographic data for series maintained by Emre Atsan ().