- İslam Ekonomisi ve Finansı Dergisi (İEFD)
- Cilt: 11 Sayı: 2
- Determinants of Stock Indices’ Behavior under Covid-19 Pandemic: A LASSO Analysis
Determinants of Stock Indices’ Behavior under Covid-19 Pandemic: A LASSO Analysis
Authors : Yusuf Dinç, Rümeysa Bilgin, Rashed Jahangir
Pages : 346-383
Doi:10.54863/jief.1597872
View : 76 | Download : 121
Publication Date : 2025-12-30
Article Type : Research Paper
Abstract :The outbreak of COVID-19 was found to be disruptive to the stock markets, resulting in increased volatility and necessitating the reinvestigation of the relationships between the stock returns and financial indicators in the status quo. This study comparatively investigates the reactions of mainstream and Islamic indices in Turkiye to a large set of factors, with a respective focus on the last global health crisis. We employ the least absolute shrinkage and selection operator (LASSO) estimator, which enables the selection of the most relevant factors and assesses the relative importance of each. Our sample period is divided into two equal sub-periods, as before and during COVID-19; the second covers the period between the first case and restriction removal dates. Findings reveal that the outbreak significantly affected the determinants of indices\\\' returns. Exchange Rate and Natural Gas had an overall effect before the outbreak, while Palladium, LME Index, and COVID-19 Related Deaths played an important role later. Aluminum, T-Bond 10Y, and the FTSE 100 Index strongly affect stock behavior for both periods. The most significant behavior changes are observed in BIST Bank, BIST 100-30, and MSCI Islamic Turkiye indices. JEL classification: C58; G11; G12; G15; G32Keywords : Hisse senedi endeksi davranışı, COVID-19, LASSO, hisse senedi endekslerini belirleyen faktörler
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