Research Article
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Year 2022, Volume: 19 Issue: 48, 657 - 663, 05.08.2022
https://doi.org/10.26466/opusjsr.1118709

Abstract

References

  • Acar Y. (2020). The New Coronavirus (COVID-19) Outbreak and Its Impact on Tourism Activities. Journal of Current Tourism Research, 4(1), 7-21.
  • Arezki, R. & Nguyen, H. (2020). Novel Coronavirus Hurts the Middle East and North Africa Through Many Channels. In: Economics in the Time of COVID-19. London: CEPR (Centre for Economic Policy Research) Press, p.53-58.
  • Arabacı, H. & Yücel, D. (2020). The impact of the COVID-19 pandemic on the turkish banking sector. Social Sciences Research Journal, 9(3), 196-208.
  • Aydın, B. & Gökçe, N. (2022). Movements in financial markets in the COVID-19 period. Multidisciplinary Studies in Social Sciences Theory, Practice and Analysis, p.83-98.
  • Baek, S., Mohanty, S.K. & Glambosky, M. (2020). COVID-19 and stock market volatility: An Industry level analysis. Finance Research Letters, 37, 101748. https://doi.org/10.1016/j.frl.2020.101748
  • Baldwin, R. & Weder di Mauro, B. (2020). Economics in the time of COVID-19. London: CEPR (Centre for Economic Policy Research) Press.
  • Cecchetti, S. G. & Schoenholtz, K. L. (2020). Contagion: Bank runs and COVID-19. In: Economics in the Time of COVID-19. London: CEPR (Centre for Economic Policy Research) Press.
  • Coşkun, B., Öncü, M. A., Çömlekçi, İ. & Hiçyılmaz, E. (2022). Analysis of the effect of COVID-19 on bank financial performances by entropy and waspas method. International Journal of Business, Economics and Management Perspectives (IJBEMP), 5(2), 810-828.
  • Desert, D.A. (2021). Participation banks? Traditional banks? An assessment of the impact of the COVID-19 outbreak on financial performance. Gümüşhane University Institute of Social Sciences Electronic Journal, 12(2), 477-488.
  • Glosten, L., Ravi, J. & Runkle, D.E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48, 1779-1801.
  • Goodell, J. W. & Huyn, T. L. D. (2020). Did congress trade ahead? Considering the reaction of US industries to COVID-19. Finance Research Letters, 36, 101578. https://doi.org/10.1016/j.frl.2020.101578
  • Göçmen Yağcılar, G. (2021). COVID-19 impact on Borsa Istanbul: Measuring short-term sectoral market responses on the basis of index COVID-19. Journal of Economics, Policy & Finance Studies, 6(2), 439-463.
  • Demirel, S. (2021). The effect of the COVID-19 Pandemic process on digital banking transactions. Journal of Banking and Capital Market Research, 5(11), 49-64.
  • Duran, M.S & Acar, M. (2020). A virus to the world: Macroeconomic impacts of the COVID-19 Pandemic. International Journal of Social and Economic Sciences, 10(1), 54-67.
  • Engle, R., Lilien, D. M. & Russell P. R. (1987). Estimating time varying risk premia in the term structure: The ARCH-M Model. Econometrica: Journal of the Econometric Society, 391-407.
  • Eren, B.S., Kandil Göker, I.E. & Karaca, S.S. (2021). The impact of the COVID-19 Pandemic on financial markets: An analysis on developed countries. Hacettepe University Faculty of Economics and Administrative Sciences Journal, 39(COVID 19 Special Issue), 69-90.
  • Ersoy, H., Gurbuz, A.O. & Fındıkçı Erdoğan, M. (2020). Effects of COVID-19 on Turkish Banking and finance sector, measures to be taken. Istanbul Commerce University Journal of Social Sciences COVID-19 Social Sciences Special Issue (Special Supplement), 19(37), 46-173.
  • Feng, J., Bao, Y., Wang, Y., Meng, S., Xia, J., & Zhang, Q. (2020). Coronavirus VS Market: Investment opportunities lies underneath the epidemic, SSRN: https://ssrn.com/abstract=3563059, Retrieved February 17, 2022.
  • Fetzer, T., Hensel, L. Hermle, J., & Roth, C. (2020). Coronavirus perceptions and economic anxiety, https://arxiv.org/pdf/2003.03848 .pdf, Retrieved February 17, 2022.
  • Hatipoğlu, M., Uçkun, N. (2017). Risk and return relationship in developing country stock markets: The Example of 2008 Global Crisis. Journal of Yasar University, 12(46), 113-122.
  • Heyden, K. J. & Heyden, T. (2020). Market reactions to the arrival and containment of Covid-19: An event study. Finance Research Letters, 38, 101745. https://doi.org/10.1016/j.frl.2020.101745
  • IMF (2020). https://www.imf.org/en/Topics/imf-and-covid19, Retrieved February 13, 2022.
  • Keleş, E. (2020). Short-term effects on COVID-19 and BIST 30 Index. Marmara University Journal of Economics and Administrative Sciences, 42(1), 91-105. https://doi.org/10.14780/muiibd.763962
  • Kılıç, M. & Ayrıçay, Y. (2020). Modeling of volatility in selected BIST sub-sector indices with ARCH-GARCH Methods. Journal of Accounting and Finance, 88, 175-198. DOI: 10.25095/mufad.801413
  • Kılıç, Y. (2020). Impact of COVID-19 (Coronavirus) on Borsa Istanbul. Journal of Emerging Economies and Policy, 5(1), 66-77.
  • Kuzucu, S. (2022). An assessment of the Central Bank of the Republic of Turkey monetary policy against the COVID-19 Pandemic. Doğuş University Journal COVID-19 Special Issue, 23, 265-279. DOI: 10.31671/doujournal.1018858.
  • MSCI, (2022). https://www.msci.com/end-of-day-data-country, Retrieved February 17, 2022.
  • Loayza, N. V. & Pennings, S. (2020). Macroeconomic policy in the time of COVID19: A primer for developing countries. World Bank Group.
  • McKibbin, W. & Fernando, R. (2020). The global macroeconomic impacts of COVID-19: Seven Scenarios. CAMA Working Paper, The Australian National University.
  • Ölmez, U. & Ekinci, A. A. (2020). The effect of the Coronavirus (COVID-19) Epidemic on the stock market: BIST 100 Example. Journal of Economics, Policy and Financial Studies, COVID-19: Economic, Political and Financial Effects, 5(225), 225-239. DOI: 10.30784/epfad.811636
  • Pandey, D. K. & Kumari, V. (2021). Event study on the reaction of the developed and emerging stock markets to the 2019-nCoV outbreak. International Review of Economics and Finance, 71, 467- 483. doi:10.1016/j.iref.2020.09.014
  • Perelman, M. (2008). How to think about the crisis, Neoliberalism and the crisis. 1st Edition. Kalkedon Publications.
  • Rahman, M. L., Amin, A. & Al Mamun, M. A. (2021). The COVID-19 outbreak and stock market reactions: Evidence from Australia. Finance Research Letters, 38, 101832. https://doi.org/ 10.1016/j.frl.2020.101832.
  • Saban, M. & Trabzon, O. (2021). The effects of the COVID-19 Pandemic on company performances in the aviation industry: The Example of Turkish Airlines. International Review of Economics and Management, 9(1), 64-79.
  • Sun, Y., Wu, M., Zeng, X., & Peng, Z. (2020). The Impact of COVID-19 on the Chinese stock exchange: Sentimental or substantial? Finance Research Letters, 38(2021), 1-13, https://doi.org/10.1016/j.frl.2020.101838.
  • Şenol, Z. (2020). COVID-19 Crisis and financial markets. IKSAD Publishing House, p.75-124.
  • Varlık, S. & Varlık, N. (2017). Volatility of Turkey's CDS premium. Financial Political and Economic Commentaries, 632, 9-17.
  • Yan, H., Tu, A., Stuart, L. & Zhang, Q. (2020). Analysis of the effect of COVID-19 on the stock market and potential investing strategies. Working article. SSRN: https://ssrn.com/abstract=3563380, Retrieved February 19, 2022.
  • Yıldız, M., Dağıdır, C., & Altınışık, E. Ö. (2022). The impact of COVID 19 on financial markets and investment preferences. Çankırı Karatekin University Journal of Social Sciences Institute, 13(1), 121-140.
  • Yurttadur, M. (2022). The rffects of the COVID 19 Pandemic on the profitability of participation banks. Nevşehir Hacı Bektaş Veli University Journal, 11(4), 2285-2297.
  • Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36, 101528. https://doi.org/10.1016/j.frl.2020.101528
  • Zeren, F. & Hızarcı, A. E. (2020). The impact of COVID-19 Coronavirus on stock markets: Evidence from selected countries. Bulletin of Accounting and Finance Reviews, 3(1), 78-84.

The Effect of the COVID-19 Crisis on the Risk and Return Relationship in the Stock Markets of Emerging Countries

Year 2022, Volume: 19 Issue: 48, 657 - 663, 05.08.2022
https://doi.org/10.26466/opusjsr.1118709

Abstract

When the crises experienced throughout history are examined, it is seen that although the crises have common aspects in economic and financial terms, they are not the same. Unlike all previous crises, however, instead of economic and financial considerations, we are faced with the COVID-19 crisis, which is an epidemic disease. Examining the effects of financial crises on financial markets is very important for both investors and countries. Therefore, in the study, the risk-return relationship between the stock markets of India, Brazil, Indonesia, Turkey and South African countries were analyzed with the GARCH-M method in Pre-COVID-19 crisis term and COVID-19 crisis term. As a result of the analysis, it was observed that the response to the COVID-19 crisis occurred mostly in the Turkish stock market, while the reason for the volatility in other stock markets was the previous period. During the COVID-19 crisis, it has been obtained that they provide additional returns to their investors in response to the increased risk in the Indonesian and Turkish stock markets.

References

  • Acar Y. (2020). The New Coronavirus (COVID-19) Outbreak and Its Impact on Tourism Activities. Journal of Current Tourism Research, 4(1), 7-21.
  • Arezki, R. & Nguyen, H. (2020). Novel Coronavirus Hurts the Middle East and North Africa Through Many Channels. In: Economics in the Time of COVID-19. London: CEPR (Centre for Economic Policy Research) Press, p.53-58.
  • Arabacı, H. & Yücel, D. (2020). The impact of the COVID-19 pandemic on the turkish banking sector. Social Sciences Research Journal, 9(3), 196-208.
  • Aydın, B. & Gökçe, N. (2022). Movements in financial markets in the COVID-19 period. Multidisciplinary Studies in Social Sciences Theory, Practice and Analysis, p.83-98.
  • Baek, S., Mohanty, S.K. & Glambosky, M. (2020). COVID-19 and stock market volatility: An Industry level analysis. Finance Research Letters, 37, 101748. https://doi.org/10.1016/j.frl.2020.101748
  • Baldwin, R. & Weder di Mauro, B. (2020). Economics in the time of COVID-19. London: CEPR (Centre for Economic Policy Research) Press.
  • Cecchetti, S. G. & Schoenholtz, K. L. (2020). Contagion: Bank runs and COVID-19. In: Economics in the Time of COVID-19. London: CEPR (Centre for Economic Policy Research) Press.
  • Coşkun, B., Öncü, M. A., Çömlekçi, İ. & Hiçyılmaz, E. (2022). Analysis of the effect of COVID-19 on bank financial performances by entropy and waspas method. International Journal of Business, Economics and Management Perspectives (IJBEMP), 5(2), 810-828.
  • Desert, D.A. (2021). Participation banks? Traditional banks? An assessment of the impact of the COVID-19 outbreak on financial performance. Gümüşhane University Institute of Social Sciences Electronic Journal, 12(2), 477-488.
  • Glosten, L., Ravi, J. & Runkle, D.E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48, 1779-1801.
  • Goodell, J. W. & Huyn, T. L. D. (2020). Did congress trade ahead? Considering the reaction of US industries to COVID-19. Finance Research Letters, 36, 101578. https://doi.org/10.1016/j.frl.2020.101578
  • Göçmen Yağcılar, G. (2021). COVID-19 impact on Borsa Istanbul: Measuring short-term sectoral market responses on the basis of index COVID-19. Journal of Economics, Policy & Finance Studies, 6(2), 439-463.
  • Demirel, S. (2021). The effect of the COVID-19 Pandemic process on digital banking transactions. Journal of Banking and Capital Market Research, 5(11), 49-64.
  • Duran, M.S & Acar, M. (2020). A virus to the world: Macroeconomic impacts of the COVID-19 Pandemic. International Journal of Social and Economic Sciences, 10(1), 54-67.
  • Engle, R., Lilien, D. M. & Russell P. R. (1987). Estimating time varying risk premia in the term structure: The ARCH-M Model. Econometrica: Journal of the Econometric Society, 391-407.
  • Eren, B.S., Kandil Göker, I.E. & Karaca, S.S. (2021). The impact of the COVID-19 Pandemic on financial markets: An analysis on developed countries. Hacettepe University Faculty of Economics and Administrative Sciences Journal, 39(COVID 19 Special Issue), 69-90.
  • Ersoy, H., Gurbuz, A.O. & Fındıkçı Erdoğan, M. (2020). Effects of COVID-19 on Turkish Banking and finance sector, measures to be taken. Istanbul Commerce University Journal of Social Sciences COVID-19 Social Sciences Special Issue (Special Supplement), 19(37), 46-173.
  • Feng, J., Bao, Y., Wang, Y., Meng, S., Xia, J., & Zhang, Q. (2020). Coronavirus VS Market: Investment opportunities lies underneath the epidemic, SSRN: https://ssrn.com/abstract=3563059, Retrieved February 17, 2022.
  • Fetzer, T., Hensel, L. Hermle, J., & Roth, C. (2020). Coronavirus perceptions and economic anxiety, https://arxiv.org/pdf/2003.03848 .pdf, Retrieved February 17, 2022.
  • Hatipoğlu, M., Uçkun, N. (2017). Risk and return relationship in developing country stock markets: The Example of 2008 Global Crisis. Journal of Yasar University, 12(46), 113-122.
  • Heyden, K. J. & Heyden, T. (2020). Market reactions to the arrival and containment of Covid-19: An event study. Finance Research Letters, 38, 101745. https://doi.org/10.1016/j.frl.2020.101745
  • IMF (2020). https://www.imf.org/en/Topics/imf-and-covid19, Retrieved February 13, 2022.
  • Keleş, E. (2020). Short-term effects on COVID-19 and BIST 30 Index. Marmara University Journal of Economics and Administrative Sciences, 42(1), 91-105. https://doi.org/10.14780/muiibd.763962
  • Kılıç, M. & Ayrıçay, Y. (2020). Modeling of volatility in selected BIST sub-sector indices with ARCH-GARCH Methods. Journal of Accounting and Finance, 88, 175-198. DOI: 10.25095/mufad.801413
  • Kılıç, Y. (2020). Impact of COVID-19 (Coronavirus) on Borsa Istanbul. Journal of Emerging Economies and Policy, 5(1), 66-77.
  • Kuzucu, S. (2022). An assessment of the Central Bank of the Republic of Turkey monetary policy against the COVID-19 Pandemic. Doğuş University Journal COVID-19 Special Issue, 23, 265-279. DOI: 10.31671/doujournal.1018858.
  • MSCI, (2022). https://www.msci.com/end-of-day-data-country, Retrieved February 17, 2022.
  • Loayza, N. V. & Pennings, S. (2020). Macroeconomic policy in the time of COVID19: A primer for developing countries. World Bank Group.
  • McKibbin, W. & Fernando, R. (2020). The global macroeconomic impacts of COVID-19: Seven Scenarios. CAMA Working Paper, The Australian National University.
  • Ölmez, U. & Ekinci, A. A. (2020). The effect of the Coronavirus (COVID-19) Epidemic on the stock market: BIST 100 Example. Journal of Economics, Policy and Financial Studies, COVID-19: Economic, Political and Financial Effects, 5(225), 225-239. DOI: 10.30784/epfad.811636
  • Pandey, D. K. & Kumari, V. (2021). Event study on the reaction of the developed and emerging stock markets to the 2019-nCoV outbreak. International Review of Economics and Finance, 71, 467- 483. doi:10.1016/j.iref.2020.09.014
  • Perelman, M. (2008). How to think about the crisis, Neoliberalism and the crisis. 1st Edition. Kalkedon Publications.
  • Rahman, M. L., Amin, A. & Al Mamun, M. A. (2021). The COVID-19 outbreak and stock market reactions: Evidence from Australia. Finance Research Letters, 38, 101832. https://doi.org/ 10.1016/j.frl.2020.101832.
  • Saban, M. & Trabzon, O. (2021). The effects of the COVID-19 Pandemic on company performances in the aviation industry: The Example of Turkish Airlines. International Review of Economics and Management, 9(1), 64-79.
  • Sun, Y., Wu, M., Zeng, X., & Peng, Z. (2020). The Impact of COVID-19 on the Chinese stock exchange: Sentimental or substantial? Finance Research Letters, 38(2021), 1-13, https://doi.org/10.1016/j.frl.2020.101838.
  • Şenol, Z. (2020). COVID-19 Crisis and financial markets. IKSAD Publishing House, p.75-124.
  • Varlık, S. & Varlık, N. (2017). Volatility of Turkey's CDS premium. Financial Political and Economic Commentaries, 632, 9-17.
  • Yan, H., Tu, A., Stuart, L. & Zhang, Q. (2020). Analysis of the effect of COVID-19 on the stock market and potential investing strategies. Working article. SSRN: https://ssrn.com/abstract=3563380, Retrieved February 19, 2022.
  • Yıldız, M., Dağıdır, C., & Altınışık, E. Ö. (2022). The impact of COVID 19 on financial markets and investment preferences. Çankırı Karatekin University Journal of Social Sciences Institute, 13(1), 121-140.
  • Yurttadur, M. (2022). The rffects of the COVID 19 Pandemic on the profitability of participation banks. Nevşehir Hacı Bektaş Veli University Journal, 11(4), 2285-2297.
  • Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36, 101528. https://doi.org/10.1016/j.frl.2020.101528
  • Zeren, F. & Hızarcı, A. E. (2020). The impact of COVID-19 Coronavirus on stock markets: Evidence from selected countries. Bulletin of Accounting and Finance Reviews, 3(1), 78-84.
There are 42 citations in total.

Details

Primary Language English
Journal Section Research Articles
Authors

İnci Merve Altan 0000-0002-6269-7726

Publication Date August 5, 2022
Published in Issue Year 2022 Volume: 19 Issue: 48

Cite

APA Altan, İ. M. (2022). The Effect of the COVID-19 Crisis on the Risk and Return Relationship in the Stock Markets of Emerging Countries. OPUS Journal of Society Research, 19(48), 657-663. https://doi.org/10.26466/opusjsr.1118709