Özet:

The COVID-19 pandemic brought not only a health crisis but also an economic crisis in a short time. The epidemic process and the uncertainty regarding the economic process increased the instability in economic activities. The increasing uncertainty and risk both negatively affected the resource allocation in economies and had an impact on the financial markets. The uncertainty environment experienced has also affected the return expectations of financial investors and thus the volatility of stock markets. In this context, the effect of the global epidemic on the average return and volatility of the Borsa Istanbul 100 was analyzed. Daily closing prices BIST100 and Turkey’s COVID19 daily total number of cases were used in the analysis. Generalized Autoregressive Conditional Heterokedasticity (GARCH) models were used in the analysis. In addition, taking into account the effect of asymmetric shocks, the analysis has been expanded using the Basic Asymmetric ARCH (SAGARCH) and Exponential GARCH (EGARCH) models. According to the analysis results, when the effects of symmetric and asymmetric shocks are controlled, the increase in the daily total number of cases increases the volatility of the BIST100 index return. The COVID-19 outbreak is also one of the main determinants of stock market volatility. In this context, reducing the effects of the pandemic on both the real sector and the financial sector will be possible with the health measures to be taken against the pandemic, as well as economic measures and decisions to reduce risk and uncertainty.

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