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The Relationship Between the Stock Market Volatility, Liquidity, Exchange Rate Return, and Stock Return During the COVID-19 Period: The case of the BIST 100 Index

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  • Emre BULUT

    (Fırat University)

  • Ahmed İhsan ŞİMŞEK

    (Fırat University)

Abstract

The COVID-19 Pandemic, emerged in China at the end of 2019, negatively affected many sectors on global scale. This study examined the period between March 11, 2020, when the first case was seen in Turkey, and May 23, 2022, when the pandemic measures were largely lifted. The study aims to research the relationship between stock exchange return, stock exchange volatility, liquidity, and exchange rate return; and to research the movement characteristics of selected variables in different regimes by using Markov Switching Method during the COVID-19 period. The results showed a negative correlation between the BIST-100 Index Return of Borsa Istanbul (BIST) and volatility and exchange rate returns. Simultaneously there is a positive correlation between the BIST-100 Index Return and liquidity. Furthermore, it has been determined that the data movements in the examined period occurred within the framework of two different regimes. It has been observed that the probability of the BIST-100 Index Return, volatility, and exchange rate returns to remain in the same regime is high, and the probability of switching from one regime to another is relatively low.

Suggested Citation

  • Emre BULUT & Ahmed İhsan ŞİMŞEK, 2023. "The Relationship Between the Stock Market Volatility, Liquidity, Exchange Rate Return, and Stock Return During the COVID-19 Period: The case of the BIST 100 Index," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 7(1), pages 121-135, June.
    • Handle: RePEc:bgo:journl:v:7:y:2023:i:1:p:121-135
    DOI: https://doi.org/10.33399/biibfad.1222386
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    More about this item

    Keywords

    Volatility; exchange rate; BIST; stock return; emerging markets;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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