Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey
Keyword(s):
This study examines how the volatility of the sectoral stock returns within Borsa İstanbul are affected during the COVID-19 pandemic. The analysis uses daily stock return data for four main sector indices: services, finance, industry, and technology. The sample period of the study covers 03.03.2015–11.03.2021, and 12.03.2020-03.04.2021 is separately analyzed for the COVID-19 period. When E-GARCH models and news impact curves are analyzed, it is found that the services sector stock returns volatility differs from other sectoral stock returns.
2011 ◽
Vol 14
(3)
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pp. 5-21
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2012 ◽
Vol 11
(1)
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pp. 47
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2021 ◽
Vol 8
(8)
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pp. 55-63
2019 ◽
Vol 12
(1)
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pp. 33
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