Abstract:

This paper investigates the effect of Coronavirus (COVID-19) on Turkey stock market. For this purpose, montly realized volatilities of 23 primary sector indices traded on Borsa İstanbul are calculated for the period of June 2019 to July 2020. After analyzing realized volatility values, it is found that: (1) COVID-19 caused volatility jump for all sector indices in March 2020, when cases in Turkey appeared and increased rapidly; (2) While the most volatility jump occurred in stocks of sports companies due to COVID-19, the least volatility jump occurred in stocks of insurance firms; (3) After March 2020, realized volatility values back to normal for all sector indices and the effect of COVID-19 on Turkey stock market volatility has disappeared. This paper, showing the impact of COVID-19 on the Turkish stock market and the recent state of the markets, is believed to provides important implications for not only investors, portfolio managers, and policymakers, but also for academics in economics and finance, who are all looking to demonstrate economic and financial effects of COVID-19.