The symmetric and asymmetric time-varying causality relationships between the covid-19 outbreak and the stock exchange: the case of selected countries

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dc.contributor.authorDemirtaş, Cuma
dc.contributor.authorIlıkkan Özgür, Munise
dc.contributor.authorSoyu, Esra
dc.date.accessioned2025-10-14T06:02:13Z
dc.date.available2025-10-14T06:02:13Z
dc.date.issued2021
dc.departmentİktisadi ve İdari Bilimler Fakültesi
dc.description.abstractIn this study, the effects of COVID-19 (mortality rate, case rate, and bed capacity) on the stock market was examined within the framework of the efficient market hypothesis. Unlike other studies in the literature, we used the variable of bed capacity besides the mortality rate and case rate variables. The relationship between the mentioned variables, using daily data between December 31 of 2019 and November 10 of 2020, has been analyzed with time-varying symmetric and asymmetric causality tests for China, Germany, the USA, and India. Considering that the responses to positive and negative shocks during the pandemic process may be different and that the results may change depending on time, time-varying symmetric and asymmetric causality tests were used. According to the time-varying symmetric causality test, stock markets in all countries were affected in the period when the cases first appeared. A causal relationship between COVID-19 and country stock markets was found. The results showed that the effects of the case rate and bed capacity on the stock market occurred around the same time in Germany and the United States; however, these dates differed in China and India. According to time-varying asymmetric causality test findings, the asymmetric effect of the pandemic on the stock market in countries emerged during the second wave. The findings showed that the period during which positive and negative information about the pandemic intensified coincided with the period during which the second wave occurred; besides, the results show the effect of this information on the stock market differed as positive and negative shocks.
dc.identifier.doi10.15388/Ekon.2021.100.2.7
dc.identifier.endpage170
dc.identifier.issn13921258
dc.identifier.issue2
dc.identifier.scopus2-s2.0-85120770814
dc.identifier.scopusqualityQ2
dc.identifier.startpage144
dc.identifier.urihttps://doi.org/10.15388/Ekon.2021.100.2.7
dc.identifier.urihttps://hdl.handle.net/20.500.12451/14736
dc.identifier.volume100
dc.indekslendigikaynakScopus
dc.institutionauthorDemirtaş, Cuma
dc.institutionauthorSoyu, Esra
dc.institutionauthorIlıkkan Özgür, Munise
dc.language.isoen
dc.publisherVilnius University Press
dc.relation.ispartofEkonomika
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectAsymmetric Relationships
dc.subjectCOVID-19
dc.subjectEfficient Market Hypothesis
dc.subjectSymmetric Relationships
dc.titleThe symmetric and asymmetric time-varying causality relationships between the covid-19 outbreak and the stock exchange: the case of selected countries
dc.typeArticle

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