Regime-switching effect of COVID-19 pandemic on stock market index: evidence from Turkey as an emerging market example

被引：10

作者：

Kartal, Mustafa Tevfik ^{[1
]}

Ayhan, Fatih ^{[2
]}

Kirikkaleli, Dervis ^{[3
]}

机构：

[1] Borsa Istanbul, Strateg Planning Financial Reporting & Subsidiari, Istanbul, Turkiye

[2] Bandirma Onyedi Eylul Univ, Fac Business Adm & Econ, Dept Econ, Balikesir, Turkiye

[3] European Univ Lefke, Fac Econ & Adm Sci, Dept Banking & Finance, Mersin, Turkiye

来源：

MACROECONOMICS AND FINANCE IN EMERGING MARKET ECONOMIES | 2024年 / 17卷 / 01期

关键词：

COVID-19; pandemic; Markov switching regression; stock market; Turkey; OIL-PRICE SHOCK; ECONOMIC-GROWTH; GREAT CRASH; VOLATILITY; COINTEGRATION; DETERMINANTS; CONSUMPTION; EMISSIONS; RETURNS; SPREADS;

D O I：

10.1080/17520843.2022.2091825

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study investigates the regime-switching effect of the pandemic on the stock market index in Turkey. Daily data from 3 March 2020 to 31 August 2020 is used, four explanatory variables are included and Markov switching regression is applied. The empirical findings indicate that (i) the index has a long-term cointegration with the explanatory variables included; (ii) the new COVID-19 cases, credit default swap (CDS) spreads and foreign exchange (FX) rates are influential in the high-volatility regime, whereas FX rates are not influential in the low-volatility regime and (iii) net buying amounts of foreign investors are not effective in both regimes.

引用

页码：189 / 206

页数：18

共 50 条

[31] Does weather anomaly still affect the emerging stock market under the unexpected event? New evidence from the COVID-19 pandemic [J].

Hong, Nguyen Thi Hoa ;

Huong, Pham Thi Mai ;

Linh, Nguyen Yen .

HELIYON, 2023, 9 (08)

[32] The impact of COVID-19 on stock market liquidity: Evidence from the Johannesburg Stock Exchange [J].

Kunjal, Damien .

AFRICAN REVIEW OF ECONOMICS AND FINANCE-AREF, 2021, 13 (02) :104-123

[33] Stock market contagion during the COVID-19 pandemic in emerging economies [J].

Uddin, Gazi Salah ;

Yahya, Muhammad ;

Goswami, Gour Gobinda ;

Lucey, Brian ;

Ahmed, Ali .

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2022, 79 :302-309

[34] Market sentiment to COVID-19 and the Chinese stock market [J].

Xu, Liao ;

Chen, Jilong ;

Xu, Hao .

ACCOUNTING AND FINANCE, 2023, 63 :1121-1135

[35] Why Was There More Household Stock Market Participation During the COVID-19 Pandemic? [J].

Zheng, Wenyuan ;

Li, Bingqing ;

Huang, Zhiyong ;

Chen, Lu .

FINANCE RESEARCH LETTERS, 2022, 46

[36] IMPACT OF COVID-19: EVIDENCE FROM MALAYSIAN STOCK MARKET [J].

Lee, Kelvin Yong-Ming ;

Jais, Mohamad ;

Chan, Chia-Wen .

INTERNATIONAL JOURNAL OF BUSINESS AND SOCIETY, 2020, 21 (02) :607-628

[37] The impact of the COVID-19 pandemic on the Russian stock market [J].

Nazarova, V. V. ;

Churakova, I. Yu. ;

Suvorova, M. S. .

ZHURNAL NOVAYA EKONOMICHESKAYA ASSOTSIATSIYA-JOURNAL OF THE NEW ECONOMIC ASSOCIATION, 2024, (02) :117-143

[38] COVID-19 Pandemic Data Predict the Stock Market [J].

Almehmadi, Abdulaziz .

COMPUTER SYSTEMS SCIENCE AND ENGINEERING, 2021, 36 (03) :451-460

[39] The Effect of COVID-19 on the Stock Market Performance: Empirical Evidence for Turkish Economy [J].

Avci, Pinar ;

Etin, Murat C. .

JOURNAL OF APPLIED ECONOMICS AND BUSINESS RESEARCH, 2022, 12 (02) :80-97

[40] Disentangling the Nonlinearity Effect in Cryptocurrency Markets During the Covid-19 Pandemic: Evidence from a Regime-Switching Approach [J].

Mgadmi, Nidhal ;

Bejaoui, Azza ;

Moussa, Wajdi .

ASIA-PACIFIC FINANCIAL MARKETS, 2023, 30 (03) :457-473

← 1 2 3 4 5 →