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- Title
COVID-19 VAKA ARTIŞLARININ TÜRK FİNANSAL PİYASASINA ETKİSİ.
- Authors
KIRAL, Ersin; KAPLAN, Kübra
- Abstract
In this article, the movements in the stock market index and the dollar exchange rate the next day, depending on the number of daily cases in Turkey during the Covid 19 coronavirus epidemic period, are analyzed using the onestep stochastic Markov chains method. Relative and non-relative Markov models were created on these investment instruments. Transition probability matrices of each model were found and limit matrices in equilibrium were calculated by taking their powers. The results reveal that: i) In the days following the decrease in the number of daily cases, there will be a positive movement in the stock market index with the highest probability of 0.6761. ii) In the days after the increase in the number of cases, the dollar exchange rate return is in the increasing direction with the highest probability of 0.6184. iii) In stationarity case, regardless of the increase or decrease in the number of cases, the probability of an increase in the dollar rate is 0.5541 and the probability of a decrease is 0.4459. The return of the stock market index, on the other hand, was calculated as positive with a probability of 0.5971 and negative with a probability of 0.4029 in the case of stationarity. iv) According to the transition probability matrix obtained from the daily changes in the dollar rate, the highest probability of 0.6828 is obtained in the transition from an increasing day to an increasing day in the dollar rate. v) According to the transition probability matrix obtained from the daily changes in the stock market index, the highest probability of 0.6347 is obtained in the transition from an increasing day to an increasing day in the stock market index.
- Publication
Omer Halisdemir Universitesi Iktisadi ve Idari Bilimler Fakültesi Dergisi, 2023, Vol 16, Issue 3, p693
- ISSN
2564-6931
- Publication type
Article
- DOI
10.25287/ohuiibf.1237499