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    Impact of COVID-19 on stock markets; evidence from global equity indices
    (İbn Haldun Üniversitesi, Lisansüstü Eğitim Enstitüsü, 2021) Faque, Mustapher; Hacıoğlu, Ümit
    Does increasing uncertainty and volatility deter investors benefitting from equity diversification on the international market? How did equity indices perform during the COVID-19 pandemic? Using updated financial, equity indices daily data from 2010-2021 this study aims at monitoring how equity markets have performed in the international financial markets during this period. Can investors diversify their portfolio by investing in more than one equity market? The study also tries to examine the performance of these equity indices during the COVID-19 pandemic, employed as a dummy variable. In this case the study examines equity indices that performed better and those that have a quick speed of recovery. Vector Error Correction Models (VECM) was used in the study to establish a relationship among the 12 equity indices. Results from the study indicates that there are signs of further cointegration in the international equity markets. Adding COVID-19 as a dummy variable to the equation, there are increased number of cointegrating vectors among 12 equity indices included in the study as proxies for global equity indices. Furthermore, the results shows that investors can benefit by investing in particular, equity indices that have exhibited quick speed of recovery from the pandemic record lows. The data sample for the study was collected from Thompson Reuters and investing.com.
  • Küçük Resim
    Yayın
    Investigating the impact of Covid-19pandemicon stock markets: Evidence from global equity indices
    (SSBFNET, 2021) Hacıoğlu, Ümit; Faque, Mustapher; Yönetim Bilimleri Fakültesi, İşletme Bölümü
    This paper aims to examine the impact of Covid-19 pandemic on stock markets. This paper also analyses the stock market cointegration of selected global equity indices that performed better and have a quick speed of recovery during the pandemic. This paper also questions how increasing uncertainty and volatility deters investors’ perception of the diversification of equity investments. The dataset for the selected 12 global equity indices has been used from Thompson Reuters’s EIKON database in a given period of time between 2010 and 2021. This paper employs Vector Error Correction Models to assess the relationship among the selected global equity indices. Findings demonstrate that (i) there is an adverse impact of Covid-19 on the Global Equity markets, (ii) there is a clear sign of cointegration in global equity indices, (ii) investors can benefit from investing in particular equity indices that have exhibited quick speed of recovery from the pandemic records lows. The findings finally provide a strong foundation for constructing a resilient equity portfolio in a highly uncertain market environment.