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Aralık 2019 tarihinde Çin’in Wuhan kentinde ortaya çıkan ve bütün dünyayı etkisi altına alan Covid-19, 11 Mart 2020 tarihinde Dünya Sağlık Örgütü tarafından pandemi olarak ilan edilmiştir. Covid-19 pandemisi yayılmaya başladığı ülkelerde hem ekonomik hem de finansal sistemi olumsuz yönde etkilemiştir. Bu çalışmada Covid-19 pandemisi ile çeşitli finansal piyasaları temsil eden altın, BIST 100 Endeksi, Bitcoin, Dolar, Euro, faiz, petrol ve VIX Endeksi gibi göstergeler arasındaki ilişkinin Türkiye açısından incelenmesi amaçlanmaktadır. Türkiye’de ilk Covid-19 vakasının görüldüğü 11 Mart 2020 ile 31 Temmuz 2021 arasındaki döneme ait günlük veriler ve Johansen eş bütünleşme ve VECM’e dayalı nedensellik testleri kullanılarak analiz yapılmıştır. Eş bütünleşme analiz sonuçları, değişkenlerin uzun dönemde birlikte hareket ettiğini göstermektedir. Uzun dönemli nedensellik analizi sonucunda Altın, Bitcoin, faiz ve petrol değişkenlerinin bağımlı değişken olduğu modellerde uzun dönemli nedensellik ilişkisi tespit edilmiştir. Bununla birlikte kısa dönemli nedensellik analizi sonucunda Euro ve faizden BIST’e Dolar ve Euro’dan Bitcoin’e altın, Dolar ve Euro’dan faize Dolar, Euro, faiz ve vakadan petrole altın, Bitcoin, Dolar ve Euro’dan vakaya faizden VIX’e doğru tek yönlü nedensellik olduğu yönünde bulgular elde edilmiştir. Ayrıca nedensellik analizi, BIST ve Dolar arasında çift yönlü nedensellik ilişkisi olduğunu da göstermektedir.
Covid-19, which occurred in China’s Wuhan in December 2019 and has affected the world, was declared a pandemic on March 11, 2020 by the World Health Organization. The Covid-19 pandemic has negatively affected both the economic and financial systems in the countries where the Covid-19 pandemic began to spread. This study aims to examine the relationship between the Covid-19 pandemic and indicators such as gold, BIST 100 Index, Bitcoin, Dollar, Euro, interest rates, oil and VIX Index representing various financial markets from the Turkish perspective. Daily data from the period between 11 March 2020 and 31 July 2021 when the first Covid-19 case was observed in Turkey and analysed using Johansen's equalization and VECM-based causality tests. The results of gender integration analysis show that the variables move together over a long period of time. The long-term causality analysis found a long-term causality relationship in models where gold, bitcoin, interest and oil variables depend on variables. However, the short-term causality analysis resulted in the findings that it was one-way causality from Euro and interest to BIST; from Dollar and Euro to Bitcoin; from Gold, Dollar and Euro to interest; from Dollar, Euro, interest and case oil; from Gold, Bitcoin, Dollar and Euro to case; from interest to VIX. The causality analysis also shows that there is a bilateral causality relationship between BIST and the dollar.
Covid-19, which emerged in Wuhan, China in December 2019 and affected the whole world, was declared a pandemic by the World Health Organization on March 11, 2020. The Covid-19 pandemic has adversely affected both the economic and financial systems in the countries where it started to spread. In this study, it is aimed to examine the relationship between the Covid-19 pandemic and indicators such as gold, ISE 100 Index, Bitcoin, Dollar, Euro, interest, oil and VIX Index, which represent various financial markets, in terms of Turkey. Analysis was conducted using daily data for the period between March 11, 2020, when the first Covid-19 case was seen in Turkey, and July 31, 2021, and Johansen co-integration and causality tests based on VECM. The cointegration analysis results show that the variables move together in the long run. As a result of the long-term causality analysis, a long-term causality relationship has been determined in the models in which Gold, Bitcoin, interest and oil variables are dependent variables. However, as a result of short-term causality analysis, it has been found that there is unidirectional causality from Euro and interest to ISE; from Dollar and Euro to Bitcoin; from gold, Dollar and Euro to interest; from dollar, euro, interest and case to oil; from gold, Bitcoin, Dollar and Euro to case; from interest to VIX. In addition, causality analysis also shows that there is a bidirectional causality relationship between ISE and Dollar.
Alan : Sosyal, Beşeri ve İdari Bilimler
Dergi Türü : Uluslararası
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