Impact of the COVID-19 Market Turmoil on Investor Behavior: A Panel VAR Study of Bank Stocks in Borsa Istanbul

Cumhur Ekinci and Oğuz Ersan
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Oğuz Ersan: International Trade and Finance Department, Faculty of Economics, Administrative and Social Sciences, Kadir Has University, Istanbul 34083, Turkey

IJFS, 2024, vol. 12, issue 1, 1-18

Abstract: Assuming that investors can be foreign or local, do high-frequency trading (HFT) or not, and submit orders through a bank-owned or non-bank-owned broker, we associated trades to various investors. Then, building a panel vector autoregressive model, we analyzed the dynamic relation of these investors with returns and among each other before and during the COVID-19 market crash. Results show that investor groups have influence on each other. Their net purchases also interact with returns. Moreover, during the turmoil caused by the pandemic, except foreign investors not involved in HFT, the response of any investor group (retail/institutional, domestic investors doing HFT and those not doing HFT, and foreign investors doing HFT) significantly altered. This shows that the interrelation among investor groups is dynamic and sensitive to market conditions.

Keywords: investor types; high-frequency trading (HFT); foreign investors; brokers; bank shares; panel vector autoregression; Borsa Istanbul (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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