Özet:

In our study, the BIST100 index, which is among important indicators in terms of currency and capital markets in Turkey, has been conducted an empirical study in which the return and volatility of the dollars, euros and gold prices and the levels of influence from the COVID-19 pandemic and the spread of volatility between the indicators concerned are investigated. In the study conducted using the CCC-GARCH model between 01.01.2015 and 08.07.2020 the conclusion was that all other investment instruments except the BIST100 index were affected by a period of delay in return of at least one different investment instrument. At the same time, the COVID-19 pandemic has been found to have a boosting effect on the BIST100 index and gold returns, although at a limited level. It has also been found that the pandemic process increased the volatility of investment instruments. While there is a positive volatility spread between the dollar and the euro from the dollar to the euro, the highest spread has been seen in 2018, when Turkey has experienced a political crisis with the US. The spread between these investment instruments is limited during the pandemic process. The rate of volatility spread between the BIST100 index and gold has been negative, and the result has been achieved by investors as an investment instrument during the period in which the volatility in the index increased. The highest volatility spread between the two investment instruments was seen in 2018 similarly to the exchange rate, while the second highest spread level in the pandemic process was determined.

Anahtar Kelimeler:

Özet:

In our study, we focus on an empirical study analyzing the impact of COVID-19 pandemic on return and volatilities related to the BIST100 index, dollar, Euro, and gold, which are a significant indicator og financial markets. Also, we discuss the volatility spillover among indicators in question. The analysis, which is made by using the CCC-GARCH model and for the period between 01.01.2015 and 08.07.2020, shows that whole financial instruments out of the BIST 100 index are affected by the one-period lagged return of at least one different financial instrument. It is confirmed that the COVID-19 pandemic has a limited increasing effect on the return of the BIST100 index and gold. Also, the pandemic period increases the volatilities of the financial instruments. While there is a positive volatility spillover from Dollar to the Euro between Dollar and Euro, the highest spillover is in 2018 which is the year experienced political crisis between Turkey and the USA. The spillover effect among the financial instruments in question remains limited in the pandemic period. The coefficient related to the volatility spillover between the BIST100 index and the gold is found as negative, the investors direct to the gold as a financial instrument in the period of increasing volatilities on the index. While the highest volatility spillover among two financial instruments is seen in 2018, similarly with exchange rates, it reached the second highest spillover level on the pandemic period.