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The Behavior of Stock Market Index During the Coronavirus Pandemic in Turkey

Author

Listed:
  • Ahmed Alsayed
  • Kivanç Halil Ariç
  • Siok Kun Sek

Abstract

Recently, the coronavirus (COVID-19) pandemic has affected the economic situation all over the world. The objective of this research is to examine the effect of coronavirus spreading and vaccination rate on the stock market index in Turkey. To do that, we have applied several statistical methods, namely ridge, lasso, principal components, and partial least squares (PLS) regression versus elastic-net regression based on empirical mode decomposition, which can overcome the non-stationary problem and nonlinearity characteristics. The result of using the elastic net regression method based on empirical mode decomposition shows significant effects of coronavirus spreading on the stock market, and it varies based on the intrinsic mode function coefficients and frequencies. The findings of this research could assist practitioners and policymakers to design important strategies in the light of varying stock market dynamics during the coronavirus pandemic.JEL: C22, E58, G12.

Suggested Citation

  • Ahmed Alsayed & Kivanç Halil Ariç & Siok Kun Sek, 0. "The Behavior of Stock Market Index During the Coronavirus Pandemic in Turkey," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 0(0), pages 1-14.
    • Handle: RePEc:voj:journl:v:0:y:0:i:0:p:1-14:id:1566
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    File URL: https://panoeconomicus.org/index.php/jorunal/article/view/1566/757
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    More about this item

    Keywords

    Borsa Istanbul; Elastic Net-EMB Regression; Coronavirus; Predictability;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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