The Impact of COVID-19 Crisis on Stock Market Volatilities of Turkey and G7 Countries

被引：3

作者：

Ustalar, Sinem Atici ^{[1
]}

Sanlisoy, Selim ^{[2
]}

机构：

[1] Ataturk Univ, IIBF Iktisat Bolumu, Erzurum, Turkey

[2] Dokuz Eylul Univ, IIBF Iktisat Bolumu, Izmir, Turkey

来源：

ESKISEHIR OSMANGAZI UNIVERSITESI IIBF DERGISI-ESKISEHIR OSMANGAZI UNIVERSITY JOURNAL OF ECONOMICS AND ADMINISTRATIVE SCIENCES | 2021年 / 16卷 / 02期

关键词：

COVID-19; Stock Market Volatility; EGARCH (1,1) Model; PERSISTENCE; VARIANCE; PRICE;

D O I：

10.17153/oguiibf.884895

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The COVID-19 virus initially emerged as a health crisis, but soon turned into an economic and financial crisis. The epidemic affected countries' economies in direct proportion to the number of COVID-19 cases. In this context, the aim of this study examines the effect COVID-19 crisis on stock markets for G7 countries which have a high number of COVID-19 cases and are economically powerful, and Turkey. The analysis was performed with EGARCH (1,1) model and covers the dates of 11 March 2020/15 January 2021. According to the model results, the COVID-19 crisis increases the stock market volatilities of France, Japan, Canada, and Turkey.

引用

页码：446 / 462

页数：17

共 50 条

[1] The impact of Covid-19 on G7 stock markets volatility: Evidence from a
Izzeldin, Marwan
Muradoglu, Yaz Gulnur
Pappas, Vasileios
Sivaprasad, Sheeja
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2021, 74
[2] Forecasting the Chinese Stock Market Volatility with G7 Stock Market Volatilities: A Scaled PCA Approach
Yi, Yongsheng
Zhang, Yaojie
Xiao, Jihong
Wang, Xunxiao
EMERGING MARKETS FINANCE AND TRADE, 2022, 58 (13) : 3639 - 3650
[3] The impact of COVID-19 on the G7 stock markets: A time-frequency analysis
Rehman, Mobeen Ur
Kang, Sang Hoon
Ahmad, Nasir
Vo, Xuan Vinh
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2020, 58
[4] INVESTIGATING THE EFFECTS OF COVID-19 ON TOURISM IN THE G7 COUNTRIES
Komasi, Hossein
Nemati, Alireza
Zolfani, Sarfaraz Hashemkhani
Williams, Nigel L.
Bazrafshan, Ramin
TECHNOLOGICAL AND ECONOMIC DEVELOPMENT OF ECONOMY, 2024, 30 (04) : 1064 - 1086
[5] The Dynamic Impact of COVID-19 Pandemic on Stock Returns: A TVP-VAR-SV Estimation for G7 Countries
Tan, Xiaoyu
Ma, Shiqun
Wang, Xuetong
Zhao, Yang
Wang, Zhimeng
Xiang, Lijin
FRONTIERS IN PUBLIC HEALTH, 2022, 10
[6] How COVID-19 has affected stock market persistence? Evidence from the G7's
Bentes, Sonia R.
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2021, 581 (581)
[7] Tail risk connectedness in G7 stock markets: Understanding the impact of COVID-19 and related variants
Lang, Chunlin
Hu, Yang
Corbet, Shaen
Hou, Yang
JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE, 2024, 41
[8] Factors Impact of the Stock Market Performance During the Covid-19 Crisis
Goh, Thomas Sumarsan
Henry, Henry
Erika, Erika
ETIKONOMI, 2024, 23 (01): : 47 - 62
[9] A comparative study of the performance of Iran and G7 countries in the management of COVID-19
Pourshahabi, Vahid
PUBLIC ADMINISTRATION AND POLICY-AN ASIA-PACIFIC JOURNAL, 2023, 26 (02): : 184 - 198
[10] COVID-19 pandemic and risk dynamics of financial markets in G7 countries
Mobin, Mohammad Ashraful
Hassan, M. Kabir
Khalid, Airil
Abdul-Rahim, Ruzita
INTERNATIONAL JOURNAL OF ISLAMIC AND MIDDLE EASTERN FINANCE AND MANAGEMENT, 2022, 15 (02) : 461 - 478

← 1 2 3 4 5 →