Analysis of the effects of macroeconomic and financial indicators on S&P500 sub-sectors: Pre COVID-19 and COVID-19 periods
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Tarih
2022
Yazarlar
Dergi Başlığı
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Cilt Başlığı
Yayıncı
İstanbul Bilgi Üniversitesi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Dünyada uzun yıllardır eşi benzeri yaşanmamış bir durum olan Covid-19 pandemisi, tüm dünya ülkelerini olumsuz yönde etkileyen küresel olağanüstü bir olaydır. Covid-19 pandemisinin tüm dünyaya hızlı yayılması, paniği ve belirsizliği artırmıştır. Küresel ekonomi, Covid-19 kirizinin etkileri nedeniyle zarar görmüştür. Covid-19 tüm dünya ekonomilerinin makro ekonomik verilerinde ve finansal verilerinde bozulmalara neden olmuştur. Bu çalışmada Covid-19'un S&P500 alt sektörleri üzerindeki etkileri analiz edilmiştir. Covid-19 döneminde makro ekonomik ve finansal değişkenlerdeki bozulmanın ABD ekonomisindeki sektörler üzerinde etkileri incelenmiştir. Çalışmada makro ekonomik ve finansal değişkenlerin S&P500 sektör endeksleri üzerindeki etkileri Covid-19 dönemi ve Covid-19 öncesi dönem için ayrı ayrı analiz edilmiştir. Covid-19 'un S&P500 alt sektör ekdekslerine olan etkisini incelemek için Covid-19 dönemi test sonuçları Covid-19 öncesi test sonuçları ile karşılaştırılmıştır. ABD'de S&P500 alt sektör endekslerinin performansını önemli ölçüde etkileyen makroekonomik ve finansal değişkenleri bulmak için Stepwise En Küçük Kareler modeli kullanılmıştır. Regresyon modellerini elde etmek için Eviews 12 programı kullanılmıştır. Regresyon sonuçlarına göre, belirsizliğin arttığı ve risk iştahının azaldığı Covid-19 döneminde makroekonomik ve finansal değişkenlerin S&P500 sektör endekslerini açıklama gücünün Covid-19 öncesine göre daha yüksek olduğu gözlemlendi. Ayrıca regresyon sonuçları, Covid-19 döneminde katsayıların nicel boyutu açısından S&P500 sektör endeksleri üzerinde en fazla etkiye sahip makroekonomik değişkenlerin DXY endeksi ve DXY endeksinin gecikmeli değeri olduğunu göstermektedir. Covid-19 öncesi dönem regresyon sonuçları bize, yatırımcıların ABD 10 yıllık devlet tahvili gibi daha güvenli bir varlıkta kalmayı bıraktığı dönemde, ekonomik büyümeyi yansıtan enerji, finans ve tüketici ihtiyari sektör endeksini tercih ettiklerini gösteriyor.
The Covid-19 pandemic which is an unprecedented situation in the world for many years is a global extraordinary event that has affected adversely whole countries in the world. The rapid spread of Covid-19 all over the world has increased panic and uncertainty. The global economy has been damaged due to the impacts of the Covid-19 crisis. Covid-19 has caused deterioration in macroeconomic and financial variables in all economies in the world. In this study, the effects of Covid-19 on sub-sectors of S&P500 have been analyzed. The effects of deterioration in macroeconomic and financial variables in the time of Covid-19 on sectors in the U.S. economy have been examined. In the study, the impacts of macroeconomic and financial variables on sector indices of the S&P500 have been analyzed separately for the Covid-19 period and the pre-Covid-19 period. The results of the Covid-19 period were compared with the results of the pre-Covid-19 period to examine better the effects of Covid-19 on sectors indices of S&P500. Stepwise Least Squares Model has been used to find macroeconomic and financial variables in the U.S. that influences significantly to the performance of sub-sector indices of S&P500. Eviews 12 program was used to obtain regression models. It was observed that the explanatory power of the regressions showing the effect of macroeconomic and financial variables on sp500 sub-sectors during the Covid-19 period, when uncertainty increased, was higher than the regressions pre-Covid-19. Also, regression results show the macroeconomic variables that have the highest impact on S&P500 sector indices in terms of the quantitative dimension of the coefficients in the Covid-19 period are the DXY index and lagged value of the DXY index. In the pre-Covid-19 period regression results shows us that in the period that investors stop staying at a safer asset that is like U.S. 10 years of government bond, they prefer energy, financial, and consumer discretionary sector index that reflect economic growth.
The Covid-19 pandemic which is an unprecedented situation in the world for many years is a global extraordinary event that has affected adversely whole countries in the world. The rapid spread of Covid-19 all over the world has increased panic and uncertainty. The global economy has been damaged due to the impacts of the Covid-19 crisis. Covid-19 has caused deterioration in macroeconomic and financial variables in all economies in the world. In this study, the effects of Covid-19 on sub-sectors of S&P500 have been analyzed. The effects of deterioration in macroeconomic and financial variables in the time of Covid-19 on sectors in the U.S. economy have been examined. In the study, the impacts of macroeconomic and financial variables on sector indices of the S&P500 have been analyzed separately for the Covid-19 period and the pre-Covid-19 period. The results of the Covid-19 period were compared with the results of the pre-Covid-19 period to examine better the effects of Covid-19 on sectors indices of S&P500. Stepwise Least Squares Model has been used to find macroeconomic and financial variables in the U.S. that influences significantly to the performance of sub-sector indices of S&P500. Eviews 12 program was used to obtain regression models. It was observed that the explanatory power of the regressions showing the effect of macroeconomic and financial variables on sp500 sub-sectors during the Covid-19 period, when uncertainty increased, was higher than the regressions pre-Covid-19. Also, regression results show the macroeconomic variables that have the highest impact on S&P500 sector indices in terms of the quantitative dimension of the coefficients in the Covid-19 period are the DXY index and lagged value of the DXY index. In the pre-Covid-19 period regression results shows us that in the period that investors stop staying at a safer asset that is like U.S. 10 years of government bond, they prefer energy, financial, and consumer discretionary sector index that reflect economic growth.
Açıklama
Lisansüstü Programlar Enstitüsü, Finansal Ekonomi Ana Bilim Dalı
Anahtar Kelimeler
Ekonometri, Econometrics, Ekonomi
