VOLATILITY SPILLOVERS EFFECT ANALYSIS DURING COVID- 19 PERIOD USING EWMA MODEL: THE CASE OF HEALTH SECTOR STOCKS IN ISE

ARI, YAKUP

VOLATILITY SPILLOVERS EFFECT ANALYSIS DURING COVID- 19 PERIOD USING EWMA MODEL: THE CASE OF HEALTH SECTOR STOCKS IN ISE

Yakup ARI (Alanya Alaaddin Keykubat Üniversitesi İ.İ.B.F., İktisat)

Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi

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Yıl: 2021 Cilt: 14 Sayı: 4 Sayfa Aralığı: 1453 - 1467 Metin Dili: İngilizce İndeks Tarihi: 08-02-2022

VOLATILITY SPILLOVERS EFFECT ANALYSIS DURING COVID- 19 PERIOD USING EWMA MODEL: THE CASE OF HEALTH SECTOR STOCKS IN ISE

Öz:

The importance of the health sector is once again understood by the emergence of the Covid-19 pandemic. The purpose of this study is to examine the volatility spillover effect between health sector stocks traded in Istanbul Stock Exchange and exchange rate and precious metal prices during the pre-Covid-19 period and the Covid-19 period. For this purpose, the volatility of returns of four health sector stocks traded on the Istanbul Stock Exchange, foreign exchange rate, and the price of gold were obtained using the Exponential Weighted Moving Average model and used in the Diebold-Yılmaz Spillover Index approach. The data set is divided into two periods according to the date of the first cases seen in Turkey. While the first period consisted of 267 observations between January 2, 2019, and February 28, 2020, the second period consisting of 267 observations was created between March 2, 2020, and April 1, 2021. According to the results, the total spillover index in the period before Covid-19 is 9.60%, which indicates a low connectedness between markets. The spillover index for the Covid-19 period is calculated at 21.90% which means the error variances in markets are on average 21.90% originated from other markets. Moreover, it is found that RTA Laboratories has the highest net spillover in the Covid-19 period.

Anahtar Kelime:

EWMA MODELİ KULLANARAK COVİD-19 DÖNEMİ OYNAKLIK YAYILIM ETKİSİ ANALİZİ: BİST SAĞLIK SEKTÖRÜ HİSSE SENETLERİ ÖRNEĞİ

Öz:

amacı, Borsa İstanbul'da işlem gören sağlık sektörü hisse senetleri ile döviz kuru ve kıymetli maden fiyatları arasındaki volatilite yayılma etkisini Covid-19 öncesi ve Covid-19 döneminde incelemektir. Bu amaçla İstanbul Menkul Kıymetler Borsası'nda işlem gören dört sağlık sektörü hissesinin getirileri, döviz kuru ve altın fiyatının oynaklığı Üstel Ağırlıklı Hareketli Ortalama modeli kullanılarak elde edilmiş ve Diebold-Yılmaz Yayılma Endeksi yaklaşımında kullanılmıştır. Veri seti, Türkiye'de görülen ilk vakaların tarihlerine göre iki döneme ayrılmıştır. İlk dönem 2 Ocak 2019 ile 28 Şubat 2020 tarihleri arasında 267 gözlemden oluşurken, 2 Mart 2020 ile 1 Nisan 2021 tarihleri arasında 267 gözlemden oluşan ikinci dönem oluşturulmuştur. Sonuçlara göre toplam yayılma endeksi, Covid-19 öncesi dönemde %9.60, bu da piyasalar arasında düşük bağlantılılığa işaret etmektedir. Covid-19 dönemi için yayılma endeksi %21,90 olarak hesaplanmıştır, yani piyasalardaki hata varyanslarının ortalama %21,90'ı diğer piyasalardan kaynaklanmaktadır. Ayrıca RTA Laboratuvarları hisse senedinin Covid-19 döneminde en yüksek net oynaklık yayılımına sahip olduğu tespit edilmiştir.

Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık

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APA	ARI Y (2021). VOLATILITY SPILLOVERS EFFECT ANALYSIS DURING COVID- 19 PERIOD USING EWMA MODEL: THE CASE OF HEALTH SECTOR STOCKS IN ISE. , 1453 - 1467.
Chicago	ARI YAKUP VOLATILITY SPILLOVERS EFFECT ANALYSIS DURING COVID- 19 PERIOD USING EWMA MODEL: THE CASE OF HEALTH SECTOR STOCKS IN ISE. (2021): 1453 - 1467.
MLA	ARI YAKUP VOLATILITY SPILLOVERS EFFECT ANALYSIS DURING COVID- 19 PERIOD USING EWMA MODEL: THE CASE OF HEALTH SECTOR STOCKS IN ISE. , 2021, ss.1453 - 1467.
AMA	ARI Y VOLATILITY SPILLOVERS EFFECT ANALYSIS DURING COVID- 19 PERIOD USING EWMA MODEL: THE CASE OF HEALTH SECTOR STOCKS IN ISE. . 2021; 1453 - 1467.
Vancouver	ARI Y VOLATILITY SPILLOVERS EFFECT ANALYSIS DURING COVID- 19 PERIOD USING EWMA MODEL: THE CASE OF HEALTH SECTOR STOCKS IN ISE. . 2021; 1453 - 1467.
IEEE	ARI Y "VOLATILITY SPILLOVERS EFFECT ANALYSIS DURING COVID- 19 PERIOD USING EWMA MODEL: THE CASE OF HEALTH SECTOR STOCKS IN ISE." , ss.1453 - 1467, 2021.
ISNAD	ARI, YAKUP. "VOLATILITY SPILLOVERS EFFECT ANALYSIS DURING COVID- 19 PERIOD USING EWMA MODEL: THE CASE OF HEALTH SECTOR STOCKS IN ISE". (2021), 1453-1467.

APA	ARI Y (2021). VOLATILITY SPILLOVERS EFFECT ANALYSIS DURING COVID- 19 PERIOD USING EWMA MODEL: THE CASE OF HEALTH SECTOR STOCKS IN ISE. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 14(4), 1453 - 1467.
Chicago	ARI YAKUP VOLATILITY SPILLOVERS EFFECT ANALYSIS DURING COVID- 19 PERIOD USING EWMA MODEL: THE CASE OF HEALTH SECTOR STOCKS IN ISE. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 14, no.4 (2021): 1453 - 1467.
MLA	ARI YAKUP VOLATILITY SPILLOVERS EFFECT ANALYSIS DURING COVID- 19 PERIOD USING EWMA MODEL: THE CASE OF HEALTH SECTOR STOCKS IN ISE. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol.14, no.4, 2021, ss.1453 - 1467.
AMA	ARI Y VOLATILITY SPILLOVERS EFFECT ANALYSIS DURING COVID- 19 PERIOD USING EWMA MODEL: THE CASE OF HEALTH SECTOR STOCKS IN ISE. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2021; 14(4): 1453 - 1467.
Vancouver	ARI Y VOLATILITY SPILLOVERS EFFECT ANALYSIS DURING COVID- 19 PERIOD USING EWMA MODEL: THE CASE OF HEALTH SECTOR STOCKS IN ISE. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2021; 14(4): 1453 - 1467.
IEEE	ARI Y "VOLATILITY SPILLOVERS EFFECT ANALYSIS DURING COVID- 19 PERIOD USING EWMA MODEL: THE CASE OF HEALTH SECTOR STOCKS IN ISE." Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 14, ss.1453 - 1467, 2021.
ISNAD	ARI, YAKUP. "VOLATILITY SPILLOVERS EFFECT ANALYSIS DURING COVID- 19 PERIOD USING EWMA MODEL: THE CASE OF HEALTH SECTOR STOCKS IN ISE". Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 14/4 (2021), 1453-1467.