Bu çalışma, Covid-19 pandemisinin BIST sektör endekslerine etkisini araştırmayı amaçlamaktadır. Çalışmada, 12 Mart 2020’den 31 Ağustos 2020 tarihine kadar olan döneme ait günlük veriler kullanılmıştır. Covid-19 vaka ve vefat sayıları ile sektör endekleri arasındaki asimetrik ilişki Hatemi-J asimetrik nedensellik testi ile incelenmiştir. Test sonucunda, Covid-19 vaka sayısındaki pozitif şoklar mali endekste negatif şoka neden olduğu tespit edilirken, vefat sayısı ile mali endeks arasında nedensellik ilişkisi tespit edilememiştir. Covid-19 vaka sayısındaki pozitif (negatif) şok Hizmet endeksi üzerinde bazı dönemlerde pozitif bazı dönemlerde negatif şoka neden olduğu görülmüştür. Ayrıca, vefat sayısındaki pozitif şok Hizmet endeksinde negatif şoka neden olmaktadır. Covid-19 vaka ve vefat sayılarında meydana gelen pozitif(negatif) şok Sınai endeksi üzerinde bazı dönemlerde pozitif bazı dönemlerde negatif şoka neden olmaktadır. Covid-19 vaka ve vefat sayılarındaki pozitif (negatif) şok Teknoloji endeksinde pozitif şoka neden olmaktadır. Bu sonuçlar, Covid-19 pandemisinin Mali sektör endeksini olumsuz yönde etkilerken, Teknoloji sektör endeksini pozitif yönde etkilediğini göstermektedir.

With this study, we aimed to determine (1) the effect of the daily new cases and deaths due to the COVID-19 pandemic in the United States on the CBOE volatility index (VIX index) and (2) the effect of the VIX index on the major stock markets during the early stage of the pandemic period. To do this, we collected and analysed the daily new cases and death numbers during the COVID-19 pandemic period in the United States and the country indexes of the USA (DJI), Germany (DAX), France (CAC40), England (FTSE100), Italy (MIB), China (SSEC) and Japan (Nikkei225) to determine the impact of the VIX index on the major stock markets. We then subjected this data to the Johansen co-integration test and the fully modified least-squares (FMOLS) method. The results indicated that there was co-integration between the VIX and the COVID-19 pandemic and that there was co-integration between the VIX index and major indexes, except for the CAC 40 and MIB. Moreover, the results showed that the new COVID-19 cases in the USA had a higher impact on the VIX than cases of deaths during the same period.

Stock prices and trading volumes are two important indicators of financial markets. As a result of the fluctuations caused by the economic crises in the markets, it is seen that the variance does not remain constant in financial market data over time. For this reason, in this study, volatility spillover between stock prices and trading volume is examined within the framework of the mixed distributions hypothesis in Turkish capital markets. The causality test in variance was applied to the data covering 02 January 1997−29 December 2017 period. In order to identify the impact of the 2008 global financial crisis, the data are divided into three sub-periods: the pre-crisis period (02 January 1997–29 September 2008), in-crisis period (3 October 2008–30 September 2009), and the post-crisis period (1 October 2009–29 December 2017). The findings indicate the existence of bidirectional volatility spillovers between stock price and trading volume in the pre- and post-crisis periods. In the crisis period, there is a unidirectional volatility spillover from stock prices to trading volume. This shows that while the volatility of stock price affects the trading volume with lags in the crisis period, the volatility of stock price and trading volume in the non-crisis periods affect each other. The results include important findings for both policymakers and investors and for future work.

This study analyses the impact of the Geopolitical Risk Index (GPR) on the volatility of commodity futures returns from 4 January 2010 to 30 June 2023, using Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) models. It expands the research scope to include precious metals, agricultural products, energy, and industrial metals. The study differentiates between the impacts of geopolitical threat events and actions using GPRACT and GPRTHREAT indicators. Findings reveal that negative geopolitical shocks increase commodity returns’ volatility more than positive shocks. Specifically, gold, silver, and natural gas are negatively affected, while wheat, corn, soybeans, cotton, zinc, nickel, lead, WTI oil, and Brent oil experience positive effects. Platinum, cocoa, coffee, and copper show no significant impact. These insights highlight the importance of geopolitical risks on commodity market volatility and returns, aiding in risk management and portfolio diversification. Policymakers, financial market stakeholders, and investors can leverage these findings to better understand the GPR’s relationship with commodity markets and develop effective strategies.

İşletmelerin sektör içindeki finansal performans sıralamasının belirlenmesi hem işletme yöneticileri hem de yatırımcıların alacakları kararlar açısından önemlidir. Bu çalışmanın amacı, Entropi Temelli TOPSIS ve BORDA Sayım yöntemlerini kullanarak Borsa İstanbul’da işlem gören Gıda İşletmelerinin finansal performanslarını analiz etmektir. Entropi yöntemi ile elde edilen ağırlıklar TOPSIS yöntemine aktarılarak yıllık bazda gıda işletmelerinin finansal performans sıralaması yapılmıştır. TOPSIS yöntemi sonuçlarına göre Ülker Bisküvi işletmesi 2015, 2016, 2017 ve 2018 yıllarında en yüksek finansal performansa sahip iken 2019 yılında Ekiz Kimya Sanayi işletmesi, 2020 yılında Altınyağ işletmesi en yüksek finansal performansa sahiptir. TOPSIS yöntem sıralamaları ile birlikte Borda skorları elde edilerek tek bir bütünleşik sıralama hesaplanmıştır. Elde edilen sıralamada 2015-2020 dönemi için en yüksek finansal performansa sahip olan işletme ÜLKER Bisküvi işletmesi olarak belirlenmiştir.

With this study, we aim to determine the effect of the Covid-19 pandemic on the return volatility of the DJI, the DAX, the FTSE100 and the CAC40 stock indexes. We take return volatility between 1st January 2019 and 17th July 2020 and split it into two separate periods - before the Covid-19 pandemic outbreak and the first wave of the ‘In-Pandemic’ period. Only the so-called first wave of the pandemic was chosen to avoid the influence of knowledge of possible vaccines and antiviral solutions. Data were analysed by using the exponential GARCH (EGARCH) model. Findings show excessive volatility in the major stock markets with short volatility persistence and the presence of leverage in returns during the first wave of the Covid-19 pandemic outbreak. Moreover, during the pandemic period, positive shocks have been observed to have a greater effect than negative socks on the stock index return volatility.