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THE COVID-19 (CORONAVIRUS) PANDEMIC AND RISK APPETITE: EVIDENCE FROM BORSA ISTANBUL DOMESTIC AND FOREIGN INVESTORS

Year 2021, Volume: 22 Issue: 3, 87 - 98, 14.09.2021

Şükriye Gül Reis

https://doi.org/10.53443/anadoluibfd.989364
Cited By: 6

Abstract

The fear created by the COVID-19 (Coronavirus) pandemic in the global capital markets affected the investment decisions of investors and caused unexpected differences in trading behavior. The aim of the study is to reveal how domestic and foreign portfolio investors in an emerging market are affected by the COVID-19 pandemic. For this purpose, the relationship between the risk appetite of domestic and foreign investors and the data on the change in the number of COVID-19 cases as of the date of the declaration of the pandemic in Turkey was investigated with the Toda-Yamamoto causality analysis. This research, using weekly data, showed that domestic and foreign investors were affected differently by the pandemic. According to the findings obtained from the analysis, a unidirectional causality relationship was found between COVID-19 and the risk appetite of foreign investors.

Keywords

Covid-19 Toda-Yamamoto Causality Test Risk appetite index Emerging market

References

  • Al-Qudah, A. A., & Houcine, A. (2021). Stock Markets' Reaction to COVID-19: Evidence From The Six WHO Regions. Journal of Economic Studies. https://doi.org/10.1108/JES-09-2020-0477
  • Ambros, M., Frenkel, M., Huynh, T. L., & Kılınç, M. (2020). COVID-19 Pandemic News and Stock Market Reaction During the Onset of the Crisis: Evidence From High-Frequency Data. Applied Economics Letters, 27, 1-5. https://doi.org/10.1080/13504851.2020.1851643
  • Baker, S. R., Bloom, N., Davis, S. J., & Terry, S. J. (2020, Nisan). Covid-Induced Economic Uncertainty. NBER Working Paper Series, 26983. doı: 10.3386/w26983
  • Djalilov, A., & Ülkü, N. (2021). Individual Investors' Trading Behavior in Moscow Exchange and The COVID-19 Crisis. Journal of Behavioral and Experimental Finance, 31, 1-13. https://doi.org/10.1016/j.jbef.2021.100549
  • Fassas, A. P. (2020). Risk Aversion Connectedness in Developed and Emerging Equity Markets Before and After the COVID-19 Pandemic. Heliyon, 6(12), 1-8. https://doi.org/10.1016/j.heliyon.2020.e05715
  • Heo, W., Rabbani, A., & Grable, J. E. (2021). An Evaluation of the Effect of the COVID-19 Pandemic on the Risk Tolerance of Financial Decision Makers. Finance Research Letters, 41, 1-6. https://doi.org/10.1016/j.frl.2020.101842
  • Ji, Q., Zhang, D., & Zhao, Y. (2020). Searching for Safe-Haven Assets During The COVID-19 Pandemic. International Review of Financial Analysis, 71, 1-10. https://doi.org/10.1016/j.irfa.2020.101526
  • Kandil Göker, İ. E., Eren, B. S., & Karaca, S. S. (2020). The Impact of the COVID-19 (Coronavirus) on The Borsa Istanbul Sector Index Returns: An Event Study. Gaziantep University Journal of Social Sciences(Special Issue), 14-41. https://doi.org/10.21547/jss.731980
  • Keleş, E. (2020). COVID-19 ve BİST-30 Endeksi Üzerine Kısa Dönemli Etkileri. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 42(1), 91-105. https://doi.org/10.14780/muiibd.763962
  • Kılıç, Y. (2020). Borsa İstanbul' da COVID-19 (Koronavirüs) Etkisi. JOEEP, 5(1), 66-77. https://dergipark.org.tr/en/pub/joeep/issue/53777/734904
  • Marozva, G., & Magwedere, M. R. (2021). COVID-19 and Stock Market Liquidity: An Analysis of Emerging and Developed Markets. Scientific Annals of Economics and Business, 68(2), 1-16. http://dx.doi.org/10.47743/saeb-2021-0010
  • Mensi, W., Şensoy, A., Vo, X. V., & Kang, S. H. (2020). Impact of COVID-19 outbreak on Asymmetric Multifractality of Gold and Oil Prices. Resources Policy, 69, 1-11. https://doi.org/10.1016/j.resourpol.2020.101829
  • Merkezi Kayıt Kuruluşu-Yatırımcı İlişkileri Derneği. (2013). Borsa Trendleri Raporu. İstanbul: MKK-TÜYİD. https://www.mkk.com.tr/tr-tr/haberler/Documents/Borsa%20Trendleri%20Raporu%20V.pdf
  • Özkan, O. (2020). Volatility Jump: the Effect of COVID-19 on Turkey Stock Market. Gaziantep University Journal of Social Sciences(Special Issue), 386-397. https://doi.org/10.21547/jss.766890
  • Salisu, A. A., Sikiru, A. A., & Vo, X. V. (2020). Pandemics and The Emerging Stock Markets. Borsa İstanbul Review, 20(1), 40-48. https://doi.org/10.1016/j.bir.2020.11.004
  • Tayar, T., Gümüştekin, E., Dayan, K., & Mandi, E. (2020). Covid-19 Krizinin Türkiye'deki Sektörler Üzerinde Etkileri: Borsa İstanbul Sektör Endeksleri Araştırması. Van Yüzüncü Yıl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi(Outbreak Diseases Special Issue), 293-320. https://dergipark.org.tr/en/pub/yyusbed/issue/56115/772087
  • Toda, H. Y., & Yamamoto, T. (1995). Statistical Inference in Vector Autoregressions with Possibly Integrated Processes. Journal of Econometrics, 66, 225-250. https://doi.org/10.1016/0304-4076(94)01616-8
  • Xu, L. (2021). Stock Return and The COVID-19 Pandemic: Evidence From Canada and The US. Finance Research Letters, 38, 1-7. https://doi.org/10.1016/j.frl.2020.101872
  • Yağlı, İ. (2020). The Impact of COVID-19 on Emerging Stock Market Volatility: Empirical Evidence From Borsa İstanbul. Ekonomi, Politika & Finans Araştırmaları Dergisi, 5(Özel Sayı), 269-279. https://doi.org/10.30784/epfad.826736
  • Yıldız Contuk, F. (2021). Covid-19' un Borsa İstanbul Üzerindeki Etkisi: Bir ARDL Sınır Testi Modeli. Muhasebe ve Finansman Dergisi, 89, 101-112. https://doi.org/10.25095/mufad.852088
  • Zaremba, A., Aharon, D. Y., Demir, E., Kizys, R., & Zawadka, D. (2021). COVID-19, Government Policy Responses, And Stock Market Liquidity Around the World: A Note. Research in International Business and Finance, 56, 1-9. https://doi.org/10.1016/j.ribaf.2020.101359

COVID-19 (KORONAVİRÜS) PANDEMİSİ VE RİSK İŞTAHI: BORSA İSTANBUL YERLİ VE YABANCI YATIRIMCILAR ÖRNEĞİ

Year 2021, Volume: 22 Issue: 3, 87 - 98, 14.09.2021

Şükriye Gül Reis

https://doi.org/10.53443/anadoluibfd.989364
Cited By: 6

Abstract

COVID-19 (Koronavirüs) pandemisinin küresel sermaye piyasalarında yarattığı korku yatırımcıların yatırım kararlarını etkileyerek işlem davranışlarında beklenmeyen farklılıkların ortaya çıkmasına neden olmuştur. Çalışmanın amacı, gelişmekte olan bir piyasada yerli ve yabancı portföy yatırımcılarının COVID-19 pandemisinden nasıl etkilendiklerini ortaya koymaktır. Bu amaçla pandeminin Türkiye’ de ilan edildiği tarih itibariyle yerli ve yabancı yatırımcıların risk iştahı ve COVID-19 vaka sayılarındaki değişim verileri arasındaki ilişki Toda-Yamamoto nedensellik analizi ile araştırılmıştır. Haftalık veriler kullanılarak yapılan bu araştırma yerli ve yabancı yatırımcıların pandemiden farklı etkilendiklerini göstermiştir. Yapılan analizden elde edilen bulgulara göre, COVID-19 ile yabancı yatırımcıların risk iştahı arasında tek yönlü bir nedensellik ilişkisine rastlanmıştır.

Keywords

COVID-19 Toda-Yamamoto Nedensellik Testi Risk İştahı Endeksi Gelişmekte Olan Piyasa COVID-19, Toda-Yamamoto Nedensellik Testi, Risk İştahı Endeksi, Gelişmekte Olan Piyasa

References

  • Al-Qudah, A. A., & Houcine, A. (2021). Stock Markets' Reaction to COVID-19: Evidence From The Six WHO Regions. Journal of Economic Studies. https://doi.org/10.1108/JES-09-2020-0477
  • Ambros, M., Frenkel, M., Huynh, T. L., & Kılınç, M. (2020). COVID-19 Pandemic News and Stock Market Reaction During the Onset of the Crisis: Evidence From High-Frequency Data. Applied Economics Letters, 27, 1-5. https://doi.org/10.1080/13504851.2020.1851643
  • Baker, S. R., Bloom, N., Davis, S. J., & Terry, S. J. (2020, Nisan). Covid-Induced Economic Uncertainty. NBER Working Paper Series, 26983. doı: 10.3386/w26983
  • Djalilov, A., & Ülkü, N. (2021). Individual Investors' Trading Behavior in Moscow Exchange and The COVID-19 Crisis. Journal of Behavioral and Experimental Finance, 31, 1-13. https://doi.org/10.1016/j.jbef.2021.100549
  • Fassas, A. P. (2020). Risk Aversion Connectedness in Developed and Emerging Equity Markets Before and After the COVID-19 Pandemic. Heliyon, 6(12), 1-8. https://doi.org/10.1016/j.heliyon.2020.e05715
  • Heo, W., Rabbani, A., & Grable, J. E. (2021). An Evaluation of the Effect of the COVID-19 Pandemic on the Risk Tolerance of Financial Decision Makers. Finance Research Letters, 41, 1-6. https://doi.org/10.1016/j.frl.2020.101842
  • Ji, Q., Zhang, D., & Zhao, Y. (2020). Searching for Safe-Haven Assets During The COVID-19 Pandemic. International Review of Financial Analysis, 71, 1-10. https://doi.org/10.1016/j.irfa.2020.101526
  • Kandil Göker, İ. E., Eren, B. S., & Karaca, S. S. (2020). The Impact of the COVID-19 (Coronavirus) on The Borsa Istanbul Sector Index Returns: An Event Study. Gaziantep University Journal of Social Sciences(Special Issue), 14-41. https://doi.org/10.21547/jss.731980
  • Keleş, E. (2020). COVID-19 ve BİST-30 Endeksi Üzerine Kısa Dönemli Etkileri. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 42(1), 91-105. https://doi.org/10.14780/muiibd.763962
  • Kılıç, Y. (2020). Borsa İstanbul' da COVID-19 (Koronavirüs) Etkisi. JOEEP, 5(1), 66-77. https://dergipark.org.tr/en/pub/joeep/issue/53777/734904
  • Marozva, G., & Magwedere, M. R. (2021). COVID-19 and Stock Market Liquidity: An Analysis of Emerging and Developed Markets. Scientific Annals of Economics and Business, 68(2), 1-16. http://dx.doi.org/10.47743/saeb-2021-0010
  • Mensi, W., Şensoy, A., Vo, X. V., & Kang, S. H. (2020). Impact of COVID-19 outbreak on Asymmetric Multifractality of Gold and Oil Prices. Resources Policy, 69, 1-11. https://doi.org/10.1016/j.resourpol.2020.101829
  • Merkezi Kayıt Kuruluşu-Yatırımcı İlişkileri Derneği. (2013). Borsa Trendleri Raporu. İstanbul: MKK-TÜYİD. https://www.mkk.com.tr/tr-tr/haberler/Documents/Borsa%20Trendleri%20Raporu%20V.pdf
  • Özkan, O. (2020). Volatility Jump: the Effect of COVID-19 on Turkey Stock Market. Gaziantep University Journal of Social Sciences(Special Issue), 386-397. https://doi.org/10.21547/jss.766890
  • Salisu, A. A., Sikiru, A. A., & Vo, X. V. (2020). Pandemics and The Emerging Stock Markets. Borsa İstanbul Review, 20(1), 40-48. https://doi.org/10.1016/j.bir.2020.11.004
  • Tayar, T., Gümüştekin, E., Dayan, K., & Mandi, E. (2020). Covid-19 Krizinin Türkiye'deki Sektörler Üzerinde Etkileri: Borsa İstanbul Sektör Endeksleri Araştırması. Van Yüzüncü Yıl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi(Outbreak Diseases Special Issue), 293-320. https://dergipark.org.tr/en/pub/yyusbed/issue/56115/772087
  • Toda, H. Y., & Yamamoto, T. (1995). Statistical Inference in Vector Autoregressions with Possibly Integrated Processes. Journal of Econometrics, 66, 225-250. https://doi.org/10.1016/0304-4076(94)01616-8
  • Xu, L. (2021). Stock Return and The COVID-19 Pandemic: Evidence From Canada and The US. Finance Research Letters, 38, 1-7. https://doi.org/10.1016/j.frl.2020.101872
  • Yağlı, İ. (2020). The Impact of COVID-19 on Emerging Stock Market Volatility: Empirical Evidence From Borsa İstanbul. Ekonomi, Politika & Finans Araştırmaları Dergisi, 5(Özel Sayı), 269-279. https://doi.org/10.30784/epfad.826736
  • Yıldız Contuk, F. (2021). Covid-19' un Borsa İstanbul Üzerindeki Etkisi: Bir ARDL Sınır Testi Modeli. Muhasebe ve Finansman Dergisi, 89, 101-112. https://doi.org/10.25095/mufad.852088
  • Zaremba, A., Aharon, D. Y., Demir, E., Kizys, R., & Zawadka, D. (2021). COVID-19, Government Policy Responses, And Stock Market Liquidity Around the World: A Note. Research in International Business and Finance, 56, 1-9. https://doi.org/10.1016/j.ribaf.2020.101359
There are 21 citations in total.

Details

Primary Language Turkish
Subjects Finance, Business Administration
Journal Section Araştırma Makalesi
Authors

Şükriye Gül Reis 0000-0001-7654-4256

Publication Date September 14, 2021
Submission Date August 31, 2021
Published in Issue Year 2021 Volume: 22 Issue: 3

Cite

APA Reis, Ş. G. (2021). COVID-19 (KORONAVİRÜS) PANDEMİSİ VE RİSK İŞTAHI: BORSA İSTANBUL YERLİ VE YABANCI YATIRIMCILAR ÖRNEĞİ. Anadolu Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 22(3), 87-98. https://doi.org/10.53443/anadoluibfd.989364

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