Covid-19 Pandemisine BIST 100 Reaksiyonu: Ekonometrik Bir Analiz
Covid-19 pandemic has devastating effects similar to many outbreaks such as plague or "black death" in the past. Covid-19 does not only undermine the healthcare industry but also deeply affects the financial markets. Undoubtedly, stock markets are among the most financial markets. This study aims to determine the effect of Covid-19 pandemic on Borsa Istanbul, the analysis was made using daily data between 31.12.2019-28.05.2020 and short and long term forecasts using error correction and robust
... rection and robust models. BIST 100 index was chosen as the dependent variable, Covid-19 mortality rate, Exchange rate, the fear index, infectious diseases, and capital markets, the volatility index, and international equity index arguments have included the model as independent variables. From findings, it was determined that the selected variables were cointegrated and the error correction model was estimated and the rate of adjustment in the long term was estimated. According to the empirical results of both models, the pandemic process is effective on the BIST 100 in the short and long term with chosen control variables. Financial instruments including investments made considering the uncertainties in the investment decision-makers not to that period motive they act with that cash and therefore lead to saving motive in moving away from the stock market. At the same time, fluctuations in the indices will be inevitable as they will be included in the supply-side restriction in contraction processes in the companies operating in the stock market. Structured Abstract: When the outbreaks affect the economy deeply, it is a very common result when we look at world history. The impact of the COVID-19 pandemic, which humanity faces in the 21st century, is faster than others, and the financial and commercial markets become intensely global with technology. With the announcement of the COVİD-19 pandemic, it affected financial instruments with high volatility, along with the measures and limitations taken by countries. In the study aims to examine the dimensions of these effects, BIST 100 was taken into account as the dependent variable. The substitution effects of other financial instruments, the mortality rate of the pandemic and the indices selected as control, have been purified from the pseudo-regression effect. In the study, fear index, MSCI index, dollar rate, infection volatility index were included in the model as control variables and predictions were made with robust least squares and error correction model. Models that pass the econometric tests meet the theoretical expectations. It is observed that the stock market index, which is an important financial instrument and also an economic indicator, has statistically significant relationships with the selected variables in the short term, while it has a significant relationship with the mortality rate and MSCI in the long term.