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Türkiye Stock Market in the Shadow of COVID-19 Pandemic: A QARDL Approach

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Listed:
  • Muhammet Atlas DOÄžAN
  • Derese Kebede TEKLÄ°E

Abstract

This study examines the effects of the COVID-19 pandemic on the Türkiye stock market between March 14, 2020, and April 29, 2022, using the Quantile Autoregressive Distributed Lag (QARDL) model. The research investigates the relationship between the BIST100 index and selected economic indicators across quantiles ranging from 0.05 to 0.95. These indicators include daily new COVID-19 cases, the dollar exchange rate (FX), Brent crude oil prices (OIL), and credit default swap (CDS) rates. Findings indicate that an increase in COVID-19 cases has a negative impact on the stock market across various quantiles. While the dollar exchange rate generally shows a positive relationship with the BIST100 index, Brent crude oil prices, and CDS rates exhibit a negative impact. These results highlight the complex effects of both internal and external factors on the Türkiye stock market, providing significant insights for policymakers and future research.

Suggested Citation

  • Muhammet Atlas DOÄžAN & Derese Kebede TEKLÄ°E, 2024. "Türkiye Stock Market in the Shadow of COVID-19 Pandemic: A QARDL Approach," Fiscaoeconomia, Tubitak Ulakbim JournalPark (Dergipark), issue 1.
    • Handle: RePEc:fis:journl:240119
    DOI: 10.25295/fsecon.1317679
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    References listed on IDEAS

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    1. Hashmi, Shabir Mohsin & Chang, Bisharat Hussain & Huang, Liangfang & Uche, Emmanuel, 2022. "Revisiting the relationship between oil prices, exchange rate, and stock prices: An application of quantile ARDL model," Resources Policy, Elsevier, vol. 75(C).
    2. Liu, Ya & Qiu, Buhui & Wang, Teng, 2021. "Debt rollover risk, credit default swap spread and stock returns: Evidence from the COVID-19 crisis," Journal of Financial Stability, Elsevier, vol. 53(C).
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    Keywords

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    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • I18 - Health, Education, and Welfare - - Health - - - Government Policy; Regulation; Public Health

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