COVID-19 Krizi’nin Türkiye ve G7 Ülkelerinin Borsa Oynaklıkları Üzerindeki Etkisi

Ustalar, Sinem Atici; Şanlısoy, Selim

doi:10.17153/oguiibf.884895

Cited by 9 publications

(2 citation statements)

References 37 publications

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“…When the results are compared with the studies on Türkiye and G7 countries in the literature; It is seen that it differs from the studies of (Ulusoy, 2019), (Ustalar & Şanlısoy, 2021), (Uçar & Alsu 2022), (Münyas 2020), (Ayaydın, et al, 2020). According to the results of this study; It has been determined that Turkey, Italy and the UK stock markets can be put in the same basket and portfolio diversification can be achieved.…”

Section: Discussionmentioning

confidence: 71%

Volatility and International Interactions in Financial Markets: An Analysis of the Turkish Stock Exchange and G7 Countries

Olgun,

Polat

2024

Trends in Business and Economics

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Using mean and variance causality analysis, this study examines the volatility relationship between Turkish and G7 stock markets. Weekly return data from May 29, 2009, to June 6, 2023, is utilized for the analysis. The Hong mean and variance causality analysis method is employed as the methodology. Based on the results of the study, Turkey and Japan's stock markets have a significant mean causality relationship. Moreover, the variance causality analysis demonstrates a strong relationship between Turkey and stock markets of Canada, France, Germany, Japan, and the United States. The findings contribute to portfolio diversification strategies and highlight the importance of understanding the dynamics of international financial markets.

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Section: Discussionmentioning

confidence: 71%

Volatility and International Interactions in Financial Markets: An Analysis of the Turkish Stock Exchange and G7 Countries

Olgun,

Polat

2024

Trends in Business and Economics

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“…Ustalar ve Şanlısoy (2021) tarafından yapılan çalışmada virüs vakaları yüksek olan ve ekonomik güce sahip G7 ülkeleri ve Türkiye özelinde koronavirüsün borsa oynaklıkları üzerindeki etkisi değerlendirilmiştir. 11 Mart 2020-15 Ocak 2021 tarihlerini kapsayan model sonuçlarına göre koronavirüse bağlı yaşanan kriz Fransa, Japonya, Kanada ve Türkiye'nin hisse senedi piyasalarındaki oynaklığı artırmıştır Ersoy vd.…”

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The Impact of Covid-19 on Financial Markets and Investment Preferences

YILDIZ

ÇAKAN

ALTINIŞIK

2022

Çankırı Karatekin Üniversitesi Sosyal Bilimler Enstitüsü Dergisi

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Bulgular: Analiz sonuçlarına göre koronavirüs değişkenini temsil eden vaka sayısı ile sektörleri temsil eden BIST100 endeks değer ile toplam kredi hacmi ve BES giren sözleşme sayısı değişkenleri arasında nedensellik ilişkisi bulunmaktadır. Ayrıca vaka sayısı ile sektörleri temsil eden değişkenler arasındaki ilişki ikili test şeklinde VAR modeli ile sınanmıştır. Buna göre toplam kredi hacmi vaka sayısının nedeni iken, vaka sayısı BES giren sözleşme sayısı ile nedensellik ilişkisi göstermiştir. BES giren sözleşme sayısı toplam kredi hacminin nedeni olarak belirlenmiş, BIST100 endeks değeri de BES giren sözleşme sayısının nedeni olarak çift yönlü nedensellik ilişkisi göstermiştir. Ayrıca BIST100 endeks değeri ile toplam kredi hacmi arasında ise karşılıklı bir nedensellik ilişkisi vardır. Sonuç: Çalışmadan elde edilen sonuçlar pandemi sürecinin yarattığı koşulların finansal kararlar üzerinde etkili olduğu yönündedir.Özgünlük: Sermaye piyasaları, bankacılık ve emeklilik sektörüne ilişkin seçilmiş verileri bir bütün olarak ele alan ve salgın döneminin finansal piyasalar üzerindeki etkisini belirleyen bu çalışmanın konuya ilişkin bilgi birikimini artırarak literatüre katkı sunacağı düşünülmektedir.

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The Volatility Transmission Between Cryptocurrency And Global Stock Market Indices: Case Of Covid-19 Period

Ustalar

AYAR

Şanlısoy

2022

İzmir İktisat Dergisi

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The uncertainty originated by the COVID-19 pandemic and the unpredictability of both real and financial market indicators have increased the volatility of global financial markets. As a result of globalization, the determination of risk and information transfer between financial markets has gained importance during the pandemic process. In this context, the spread of volatility between the cryptocurrency market and the global stock markets was analyzed by considering the pandemic process. Bitcoin, which represents 42% of the total market cap, was used to represent the cryptocurrency market in the analysis. S&P500, FTSE100, SSEC and NIKKEI indices, which are among the world's leading indices in terms of market cap, were used to represent the global stock market. Constant Conditional Correlation Multivariate GARCH model was used for the analysis of volatility transmission. Daily closing prices covering the date range from 1st December 2019 to 1st July 202 were used for the analyses. The model results were positive and significant for all predicted conditional correlation parameters. In this context, there is volatility transmission and information transfer between BTC and stock returns. The model findings are expected to be a supporting element for financial market participants to make the right decision in the optimal portfolio allocation process.

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COVID-19 Krizi’nin Türkiye ve G7 Ülkelerinin Borsa Oynaklıkları Üzerindeki Etkisi

Cited by 9 publications

References 37 publications

Volatility and International Interactions in Financial Markets: An Analysis of the Turkish Stock Exchange and G7 Countries

Volatility and International Interactions in Financial Markets: An Analysis of the Turkish Stock Exchange and G7 Countries

The Impact of Covid-19 on Financial Markets and Investment Preferences

The Volatility Transmission Between Cryptocurrency And Global Stock Market Indices: Case Of Covid-19 Period

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