THE DYNAMIC RELATIONSHIP BETWEEN THE BIST INDUSTRIAL AND BIST FINANCIAL INDEX AND CDS, INTEREST RATE, EXCHANGE RATE, TOTAL LOANS, COVID-19

Abstract

Stock markets have a very dynamic structure in which a large number of measurable and unmeasurable variables affect prices. It has been the subject of many studies that which of these variables are effective in which periods and how much they affect. Apart from the previously analysed variables, the possibility that the COVID-19 pandemic, which has emerged since 2020, has brought about important structural transformations in the stock markets as a new variable is also emphasized in this study. In this context, it is aimed to empirically test the effects of CDS premiums, bond interests, exchange rates, total loans and the pandemic on the BIST Industrial Index and BIST Financial Index, which consist of two groups of the Borsa Istanbul stock market. The bound test and ARDL approach is used as the empirical methodology, and the analyses include the period between January 2010 to June 2021. According to the results of the analysis, CDS premium and bond rates have a negative effect on BIST Industrial and BIST Financial Indices in the long term, while the exchange rate and total loans have a positive effect. In addition, the COVID-19 pandemic negatively affected both indices in the short term and positively in the long term.