Özet:

In this study, it is aimed to reveal the short-term relationship between the volatility in European stock markets and the pandemic in the early period of the COVID-19 pandemic. In this direction, the effect of the number of deaths and cases caused by the early period COVID-19 pandemic on the volatility in the European stock markets was tested by panel data analysis method. The study is important in the short term in terms of measuring the reaction of the markets to COVID-19 and sharing the results and contributing to the preparation of the markets for possible similar crisis periods. Turkey was included in the analysis, along with 15 European countries (England, Germany, Switzerland, Sweden, Italy, Ireland, Belgium, Norway, Austria, Denmark, Netherlands, France, Spain, Iceland, Portugal) with the highest number of cases and deaths by population for the period of the study. In the study, while investigating the effect of the pandemic on the volatility in the stock market indices of countries (DAX, ATX, BEL20, FTSE100, OMXC20, AEX, CAC40, FTSE MIB, IBEX35, ISEQ, SMI, OMXIPI, BIST100), daily data for the period 17.02.2020 - 24.04.2020 were used. Case increase rate, death increase rate and volatility were used as variables and two models were estimated. Stata 11 and EViews 5.1 econometric analysis programs were used for analysis, and codes were used for model selection and validation tests (variance and autocorrelation). The expectation in this study, in which the panel unit Root Test, the Breush - Pagan Lagrange Multiplier (LM) test, the Hausman internal test, and the two-way random effects model estimate, is that increases in the number of cases and deaths will negatively affect stock market volatility. In the study, in which the panel data analysis was estimated with a two-way random effect model, it is seen that the results obtained in both models are positive and statistically significant. That is, volatility increases by 0.01% when the case increase rate increases by 1%, while it increases by 0.04% when the death rate increases by 1%.