Impact of Macro Indicators on Istanbul Stock Exchange During Covid-19 Pandemic

İzmir İktisat Dergisi

Volkan Kaymaz¹  Özlem Yılmaz¹ 

[1] İSTANBUL YENİ YÜZYIL ÜNİVERSİTESİ;

关键词: credit default swap;    exchange rate;    oil prices;    stock market;    var analysis;    kredi temerrüt takası;    döviz kuru;    petrol fiyatları;    borsa;    var analizi;   

DOI  :  10.24988/ije.933686

来源: DOAJ

【 摘 要 】

This research analyses the effects of the macro indicators like credit default swap, exchange rate, oil prices and gold prices on the Istanbul Stock Exchange (BIST100 Index) during the Covid-19 period by applying vector autoregressive model. In the model, daily data of the indicators are considered. The analysis comprises of two periods: pre-Covid-19 period (first week of 2019 to last week of 2020) and the during Covid-19 period (first week of 2020 to the second week of 2021). The comparison of two periods determines whether Covid-19 influence the impact of macro indicators on Borsa Istanbul. The findings reveal that in the pre-Covid-19 period, the volatility in BIST100 is explained mainly by gold prices. Credit default swap, oil prices and exchange rate affected BIST100 negatively, while gold prices had a positive impact on the Index. In the Covid-19 period, the impact of credit default swap and oil prices on BIST100 increased. A negative relationship is observed between BIST100 Index and the gold prices. A positive relationship is found between BIST100 and the exchange rate. Furthermore, the exchange rate had a greater impact on BIST100 than the impact observed in the pre-Covid period.

【 授权许可】

Unknown