The Impact of COVID-19 Crisis on Stock Market Volatilities of Turkey and G7 Countries
ESKISEHIR OSMANGAZI UNIVERSITESI IIBF DERGISI-ESKISEHIR OSMANGAZI UNIVERSITY JOURNAL OF ECONOMICS AND ADMINISTRATIVE SCIENCES, vol.16, no.2, pp.446-462, 2021 (ESCI, TRDizin)
- Publication Type: Article / Article
- Volume: 16 Issue: 2
- Publication Date: 2021
- Doi Number: 10.17153/oguiibf.884895
- Journal Name: ESKISEHIR OSMANGAZI UNIVERSITESI IIBF DERGISI-ESKISEHIR OSMANGAZI UNIVERSITY JOURNAL OF ECONOMICS AND ADMINISTRATIVE SCIENCES
- Journal Indexes: Emerging Sources Citation Index (ESCI), TR DİZİN (ULAKBİM)
- Page Numbers: pp.446-462
- Keywords: COVID-19, Stock Market Volatility, EGARCH (1,1) Model
- Open Archive Collection: AVESIS Open Access Collection
- Dokuz Eylül University Affiliated: Yes
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.