The behavior of stock market index during the coronavirus pandemic in Turkey

Recently, the coronavirus (COVID-19) pandemic has affected the economic situation all over the world. The objective of this research is to examine the effect of coronavirus spreading and vaccination rate on the stock market index in Turkey. To do that, we have applied several statistical methods, na...

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Bibliographic Details
Published in:Panoeconomicus 2024, Vol.71 (4), p.555-570
Main Authors: Alsayed, Ahmed, Ariç, Kivanç, Sek, Siok
Format: Article
Language:English
Subjects:
borsa istanbul
coronavirus
Coronaviruses
COVID-19
elastic-net regression
Indexes
Pandemics
Policy making
predictability
Securities markets
Statistical methods
Stock exchanges
Stock market indexes
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Summary:Recently, the coronavirus (COVID-19) pandemic has affected the economic situation all over the world. The objective of this research is to examine the effect of coronavirus spreading and vaccination rate on the stock market index in Turkey. To do that, we have applied several statistical methods, namely ridge, lasso, principal components, and partial least squares (PLS) regression versus elastic-net regression based on empirical mode decomposition, which can overcome the non-stationary problem and nonlinearity characteristics. The result of using the elastic net regression method based on empirical mode decomposition shows significant effects of coronavirus spreading on the stock market, and it varies based on the intrinsic mode function coefficients and frequencies. The findings of this research could assist practitioners and policymakers to design important strategies in the light of varying stock market dynamics during the coronavirus pandemic.
ISSN:1452-595X
2217-2386
DOI:10.2298/PAN211123001A