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, cilt.7, sa.2, ss.35-46, 2021 (Hakemli Dergi) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 7 Sayı: 2
  • Basım Tarihi: 2021
  • Doi Numarası: 10.22440/wjae.7.2.1
  • Dergi Adı: World Journal of Applied Economics
  • Derginin Tarandığı İndeksler: TR DİZİN (ULAKBİM)
  • Sayfa Sayıları: ss.35-46
  • Uşak Üniversitesi Adresli: Evet

Özet

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.