Özet:

In this study, XBANK, XBLSM, XGIDA, XILTM, XSGRT, XTEKS, XTRZM, XULAS aimed at measuring the effect of the Covid-19 epidemic in the total 8 sector index. For this purpose, the daily closing prices of the relevant BIST sector indices covering the dates 05.01.2015 - 02.07.2021 were used. The BIST industry index uses the Overall Generalized Otoregressive Conditional Heterocedastisity (EGARCH) model to identify both the effects of the pandemic and to identify the existence of the asymmetry and lifting effects. In order to identify the effect of Pandemia, Covid-19 is defined as a doll variable and is added to both the average model and the variable model. Therefore, the sector revenue and the increase in volatility have been detected. According to the findings obtained, Covid-19 has been found to have an impact on XBLSM, XGIDA, XSGRT, XTEKS, XTRZM revenue, XBLSM, XGIDA, XSGRT sector revenue positive, XTEKS, XTRZM sector revenue negative. While XBLSM, XSGRT and XGIDA returns have increased during the pandemic process, XTEKS and XTRZM returns have decreased. Similarly, considering the impact of Covid-19 on playground, the volatility of XBLSM, XGIDA and XSGRT sectors has been positively affected, while the volatility of XTEKS, XTRZM, XULAS sectors has been negatively affected.

Özet:

In this study, it is aimed to measure the effect of the Covid-19 outbreak on the share returns in a total of 8 sector indices XBANK, XBLSM, XGIDA, XILTM, XSGRT, XTEKS, XTRZM, XULAS traded in the Borsa Istanbul Market. For this purpose, the daily closing prices of the relevant BİST sector indices covering the dates 05.01.2015 - 02.07.2021 were used. The Exponential Generalized Autoregressive Conditional Heterokedasticity (EGARCH) model was used in the BİST sector indices to detect both the effects of the pandemic and the presence of asymmetry or leverage effect. In order to detect the pandemic effect, a dummy variable named Covid-19 was defined and added to both the mean model and the variance model. Thus, sector returns and increases and decreases in volatility were determined. According to the findings, it has been determined that Covid-19 has an effect on XBLSM, XGIDA, XSGRT, XTEKS, XTRZM returns, has a positive effect on XBLSM, XGIDA, XSGRT sector returns, and has a negative effect on XTEKS, XTRZM sector returns. While the returns of XBLSM, XSGRT and XGIDA increased during the pandemic process, the returns of XTEKS and XTRZM decreased. Likewise, when we look at the impact of Covid-19 on volatility, the volatility of the XBLSM, XGIDA and XSGRT sectors was positively affected, while the volatility of the XTEKS, XTRZM, XULAS sectors was negatively affected.

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