The Impact of Covid-19 on Selected Turkish Financial Indicators: Empirical Evidence from the Toda Yamamoto Causality Test
This paper examines the impact of COVID-19 cases and deaths on selected financial indicators in Turkey between March 2020 and July 2020. This study analyzes the causal relationship between COVID-19 and liquidity and risk perception in Turkey. To measure the impact of COVID-19 on liquidity and risk p...
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| Format: | Article |
| Language: | English |
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Istanbul University Press
2022-04-01
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| Series: | Istanbul Business Research |
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| Online Access: | https://cdn.istanbul.edu.tr/file/JTA6CLJ8T5/D278996B20CF4583BE2B062706EF9431 |
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| author | Sabri Burak Arzova Bertaç Şakir Şahin |
| author_facet | Sabri Burak Arzova Bertaç Şakir Şahin |
| author_sort | Sabri Burak Arzova |
| collection | DOAJ |
| description | This paper examines the impact of COVID-19 cases and deaths on selected financial indicators in Turkey between March 2020 and July 2020. This study analyzes the causal relationship between COVID-19 and liquidity and risk perception in Turkey. To measure the impact of COVID-19 on liquidity and risk perception in Turkey, financial indicators, such as the BIST100, credit default swap, 2-year Turkish bond yields, and 10-year Turkish bond yields were examined. The stationarity of variables was tested usingunit root tests. Since all variables were stationary at the first difference, the Toda Yamamoto causality test was chosen to examine the causality relationship between variables. According to the Johansen co-integration test, there was a co-integration relationship between variables. The empirical results of the Toda Yamamoto causality test show that there was a unidirectional Granger causality from the number of COVID-19 deaths to credit default swap. Moreover, there was a unidirectional Granger causality from the Turkish bond yields (2- 10 years) to BIST 100. However, between March 2020 andJuly 2020, there is no Granger relationship between the number of COVID-19 cases and the selected financial variables. |
| format | Article |
| id | doaj-art-71a0ba32b4c74cf5b5a0c0c37ce941d0 |
| institution | Kabale University |
| issn | 2630-5488 |
| language | English |
| publishDate | 2022-04-01 |
| publisher | Istanbul University Press |
| record_format | Article |
| series | Istanbul Business Research |
| spelling | doaj-art-71a0ba32b4c74cf5b5a0c0c37ce941d02025-08-20T03:52:32ZengIstanbul University PressIstanbul Business Research2630-54882022-04-0151131332610.26650/ibr.2022.51.977814123456The Impact of Covid-19 on Selected Turkish Financial Indicators: Empirical Evidence from the Toda Yamamoto Causality TestSabri Burak Arzova0https://orcid.org/0000-0001-9616-4197Bertaç Şakir Şahin1https://orcid.org/0000-0003-0414-5402Marmara Üniversitesi, İstanbul, TürkiyeYıldız Teknik Üniversitesi, Istanbul, TurkiyeThis paper examines the impact of COVID-19 cases and deaths on selected financial indicators in Turkey between March 2020 and July 2020. This study analyzes the causal relationship between COVID-19 and liquidity and risk perception in Turkey. To measure the impact of COVID-19 on liquidity and risk perception in Turkey, financial indicators, such as the BIST100, credit default swap, 2-year Turkish bond yields, and 10-year Turkish bond yields were examined. The stationarity of variables was tested usingunit root tests. Since all variables were stationary at the first difference, the Toda Yamamoto causality test was chosen to examine the causality relationship between variables. According to the Johansen co-integration test, there was a co-integration relationship between variables. The empirical results of the Toda Yamamoto causality test show that there was a unidirectional Granger causality from the number of COVID-19 deaths to credit default swap. Moreover, there was a unidirectional Granger causality from the Turkish bond yields (2- 10 years) to BIST 100. However, between March 2020 andJuly 2020, there is no Granger relationship between the number of COVID-19 cases and the selected financial variables.https://cdn.istanbul.edu.tr/file/JTA6CLJ8T5/D278996B20CF4583BE2B062706EF9431covid-19financial indicatorsturkey |
| spellingShingle | Sabri Burak Arzova Bertaç Şakir Şahin The Impact of Covid-19 on Selected Turkish Financial Indicators: Empirical Evidence from the Toda Yamamoto Causality Test Istanbul Business Research covid-19 financial indicators turkey |
| title | The Impact of Covid-19 on Selected Turkish Financial Indicators: Empirical Evidence from the Toda Yamamoto Causality Test |
| title_full | The Impact of Covid-19 on Selected Turkish Financial Indicators: Empirical Evidence from the Toda Yamamoto Causality Test |
| title_fullStr | The Impact of Covid-19 on Selected Turkish Financial Indicators: Empirical Evidence from the Toda Yamamoto Causality Test |
| title_full_unstemmed | The Impact of Covid-19 on Selected Turkish Financial Indicators: Empirical Evidence from the Toda Yamamoto Causality Test |
| title_short | The Impact of Covid-19 on Selected Turkish Financial Indicators: Empirical Evidence from the Toda Yamamoto Causality Test |
| title_sort | impact of covid 19 on selected turkish financial indicators empirical evidence from the toda yamamoto causality test |
| topic | covid-19 financial indicators turkey |
| url | https://cdn.istanbul.edu.tr/file/JTA6CLJ8T5/D278996B20CF4583BE2B062706EF9431 |
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