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The effects of epidemics on capital markets volatility: A case study of Borsa Istanbul

Author

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  • Fatih GÜZEL

    (PhD in BA, lecturer at Kırşehir Ahi Evran University, Faculty of Economics and Administrative Sciences, Department of Business Administration, Kırşehir, Turkey)

  • Melek ACAR

    (Professor at Selçuk University, Faculty of Economics and Administrative Sciences, Department of Business Administration, Konya, Turkey)

Abstract

This study examines the effects of epidemics like H1N1, MERS and EBOLA on the volatility of capital markets through the case of Borsa Istanbul. The data set covers the period from 1/2/2009 – 8/11/2020 and consists of daily frequency observations. In the study, first, the appropriate volatility model for BIST 100 Index, which is the main market index of Borsa Istanbul, was determined. ARCH, GARCH, T-GARCH and E-GARCH models were tested to estimate the appropriate volatility model. According to the findings, E-GARCH (1,1) is more suitable for modelling the BIST 100 Index volatility. It was found that the H1N1 pandemic caused an increase in BIST 100 Index volatility, and negative news rather than positive news was effective on BIST 100 volatility. In addition, the effects of COVID-19 pandemic on BIST in the current situation were evaluated. During the pandemic period, the excessive increase in volatility and the negative trend in the return series are remarkable compared to previous periods.

Suggested Citation

  • Fatih GÜZEL & Melek ACAR, 2021. "The effects of epidemics on capital markets volatility: A case study of Borsa Istanbul," CES Working Papers, Centre for European Studies, Alexandru Ioan Cuza University, vol. 13(1), pages 50-70, May.
    • Handle: RePEc:jes:wpaper:y:2021:v:13:i:1:p:50-70
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    References listed on IDEAS

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    Cited by:

    1. Ipek M. Yurttaguler, 2024. "Analysis of Istanbul Stock Market Returns Volatility with ARCH and GARCH Models," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 73(74-1), pages 37-58, June.

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    More about this item

    Keywords

    H1N1; MERS; Ebola; COVID-19; Stock Market Volatility; Borsa Istanbul;
    All these keywords.

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