Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey

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tetik m.

World Journal of Applied Economics, vol.7, no.2, pp.35-46, 2021 (Peer-Reviewed Journal)

• Publication Type: Article / Article
• Volume: 7 Issue: 2
• Publication Date: 2021
• Doi Number: 10.22440/wjae.7.2.1
• Journal Name: World Journal of Applied Economics
• Journal Indexes: TR DİZİN (ULAKBİM)
• Page Numbers: pp.35-46
• Uşak University Affiliated: Yes

Abstract

This study examines how the volatility of the sectoral stock returns within Borsa ˙Istanbul are affected during the COVID-19 pandemic. The analysis uses daily stock return data for four main sector indices: services, finance, industry, and technology. The sample period of the study covers 03.03.2015–11.03.2021, and 12.03.2020- 03.04.2021 is separately analyzed for the COVID-19 period. When E-GARCH models and news impact curves are analyzed, it is found that the services sector stock returns volatility differs from other sectoral stock returns.