Research Article


DOI :10.26650/ibr.2022.51.977814   IUP :10.26650/ibr.2022.51.977814    Full Text (PDF)

The Impact of Covid-19 on Selected Turkish Financial Indicators: Empirical Evidence from the Toda Yamamoto Causality Test

Sabri Burak ArzovaBertaç Şakir Şahin

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.  


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APA

Arzova, S.B., & Şahin, B.Ş. (2022). The Impact of Covid-19 on Selected Turkish Financial Indicators: Empirical Evidence from the Toda Yamamoto Causality Test. Istanbul Business Research, 51(1), 313-326. https://doi.org/10.26650/ibr.2022.51.977814


AMA

Arzova S B, Şahin B Ş. The Impact of Covid-19 on Selected Turkish Financial Indicators: Empirical Evidence from the Toda Yamamoto Causality Test. Istanbul Business Research. 2022;51(1):313-326. https://doi.org/10.26650/ibr.2022.51.977814


ABNT

Arzova, S.B.; Şahin, B.Ş. The Impact of Covid-19 on Selected Turkish Financial Indicators: Empirical Evidence from the Toda Yamamoto Causality Test. Istanbul Business Research, [Publisher Location], v. 51, n. 1, p. 313-326, 2022.


Chicago: Author-Date Style

Arzova, Sabri Burak, and Bertaç Şakir Şahin. 2022. “The Impact of Covid-19 on Selected Turkish Financial Indicators: Empirical Evidence from the Toda Yamamoto Causality Test.” Istanbul Business Research 51, no. 1: 313-326. https://doi.org/10.26650/ibr.2022.51.977814


Chicago: Humanities Style

Arzova, Sabri Burak, and Bertaç Şakir Şahin. The Impact of Covid-19 on Selected Turkish Financial Indicators: Empirical Evidence from the Toda Yamamoto Causality Test.” Istanbul Business Research 51, no. 1 (Feb. 2023): 313-326. https://doi.org/10.26650/ibr.2022.51.977814


Harvard: Australian Style

Arzova, SB & Şahin, BŞ 2022, 'The Impact of Covid-19 on Selected Turkish Financial Indicators: Empirical Evidence from the Toda Yamamoto Causality Test', Istanbul Business Research, vol. 51, no. 1, pp. 313-326, viewed 1 Feb. 2023, https://doi.org/10.26650/ibr.2022.51.977814


Harvard: Author-Date Style

Arzova, S.B. and Şahin, B.Ş. (2022) ‘The Impact of Covid-19 on Selected Turkish Financial Indicators: Empirical Evidence from the Toda Yamamoto Causality Test’, Istanbul Business Research, 51(1), pp. 313-326. https://doi.org/10.26650/ibr.2022.51.977814 (1 Feb. 2023).


MLA

Arzova, Sabri Burak, and Bertaç Şakir Şahin. The Impact of Covid-19 on Selected Turkish Financial Indicators: Empirical Evidence from the Toda Yamamoto Causality Test.” Istanbul Business Research, vol. 51, no. 1, 2022, pp. 313-326. [Database Container], https://doi.org/10.26650/ibr.2022.51.977814


Vancouver

Arzova SB, Şahin BŞ. The Impact of Covid-19 on Selected Turkish Financial Indicators: Empirical Evidence from the Toda Yamamoto Causality Test. Istanbul Business Research [Internet]. 1 Feb. 2023 [cited 1 Feb. 2023];51(1):313-326. Available from: https://doi.org/10.26650/ibr.2022.51.977814 doi: 10.26650/ibr.2022.51.977814


ISNAD

Arzova, SabriBurak - Şahin, BertaçŞakir. The Impact of Covid-19 on Selected Turkish Financial Indicators: Empirical Evidence from the Toda Yamamoto Causality Test”. Istanbul Business Research 51/1 (Feb. 2023): 313-326. https://doi.org/10.26650/ibr.2022.51.977814



TIMELINE


Submitted02.08.2021
Accepted11.10.2021
Published Online29.03.2022

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