COVID-19 Döneminde Makroekonomik Değişkenlerin Borsa Üzerindeki Etkisi: Türkiye Örneği

Abstract

Along with the ongoing efforts to understand the effects of the COVID-19 pandemic on economies through various simulations and forecasts, the severe trauma experienced in financial markets has already manifested itself in market data. Besides the uncertainty created by the pandemic, fluctuations in macroeconomic variables have increased volatility in the developed and emerging stock markets. In this context, this study aims to examine the effect of macroeconomic variables on the BIST 100 index before and during the COVID-19 pandemic. Hence, the effects of interest rate, exchange rate, CDS premium, VIX, and oil prices on BIST 100 are estimated using the Flexible Least Squares method, which allows for the time-varying coefficient estimation, for the period of 13 September 2019 to 11 September 2020. Empirical findings indicate that interest rate, VIX, and oil prices had significant effects on BIST 100 for certain periods. On the other hand, the exchange rate and CDS premium significantly and negatively affect BIST 100 in the whole sample. Moreover, it is determined that the exchange rate is the macroeconomic variable with the highest impact on BIST 100 based on the quantitative magnitude of the coefficients.

Mengukur Dampak Makroekonomi Masa Covid-19 Pada Volatilitas Indeks Saham Syariah

“…BI rate dan Inflasi memiliki pengaruh negative terhadap Indeks JII menurut kajian Error Correction Model (ECM) (Angesti and Setyadharma 2022). Pada penelitian lainnya menyatakan bahwa pengukuran makro ekonomi memiliki pengaruh yang signifikan terhadap indeks saham yang ada di turki (İLHAN and AKDENİZ 2020). BI rate juga dalam penelitian lain menyatakan adanya pengaruh dalam jangka waktu yang panjang maupun pendek terhadap JII sedangkan inflasi memberikan efek ketika tidak ada Covid-19 (Amaliawiati et al 2021).…”