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


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Atıcı Ustalar S., Şanlısoy S.

ESKISEHIR OSMANGAZI UNIVERSITESI IIBF DERGISI-ESKISEHIR OSMANGAZI UNIVERSITY JOURNAL OF ECONOMICS AND ADMINISTRATIVE SCIENCES, vol.16, no.2, pp.446-462, 2021 (ESCI) identifier

Abstract

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.