Türkiye Stock Market in the Shadow of COVID-19 Pandemic: A QARDL Approach
Türkiye Stock Market in the Shadow of COVID-19 Pandemic: A QARDL Approach
Author(s): Muhammet Atlas DOĞAN, Derese Kebede TEKLIESubject(s): National Economy, Health and medicine and law, Financial Markets, Public Finances, Socio-Economic Research
Published by: Ahmet Arif Eren
Keywords: QARDL; COVID-19 Pandemic; Credit Default Swaps; Turkish Stock Market; Crude oil; Exchange Rate;
Summary/Abstract: This study examines the effects of the COVID-19 pandemic on the Türkiye stock market between March 14, 2020, and April 29, 2022, using the Quantile Autoregressive Distributed Lag (QARDL) model. The research investigates the relationship between the BIST100 index and selected economic indicators across quantiles ranging from 0.05 to 0.95. These indicators include daily new COVID-19 cases, the dollar exchange rate (FX), Brent crude oil prices (OIL), and credit default swap (CDS) rates. Findings indicate that an increase in COVID-19 cases has a negative impact on the stock market across various quantiles. While the dollar exchange rate generally shows a positive relationship with the BIST100 index, Brent crude oil prices, and CDS rates exhibit a negative impact. These results highlight the complex effects of both internal and external factors on the Türkiye stock market, providing significant insights for policymakers and future research.
Journal: Fiscaoeconomia
- Issue Year: 8/2024
- Issue No: 1
- Page Range: 362-384
- Page Count: 23
- Language: English
