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Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey

Author

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  • Metin Tetik

    (Department of Logistic Management, Usak University)

Abstract

This study examines how the volatility of the sectoral stock returns within Borsa İstanbul are affected during the COVID-19 pandemic. The analysis uses daily stock return data for four main sector indices: services, finance, industry, and technology. The sample period of the study covers 03.03.2015–11.03.2021, and 12.03.2020-03.04.2021 is separately analyzed for the COVID-19 period. When E-GARCH models and news impact curves are analyzed, it is found that the services sector stock returns volatility differs from other sectoral stock return.

Suggested Citation

  • Metin Tetik, 2021. "Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 7(2), pages 35-46, December.
    • Handle: RePEc:ana:journl:v:7:y:2021:i:2:p:35-46
    DOI: 10.22440/wjae.7.2.1
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    References listed on IDEAS

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    More about this item

    Keywords

    COVID-19; Stock returns; Investment decisions; E-GARCH model;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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