Impact of the COVID-19 Market Turmoil on Investor Behavior: A Panel VAR Study of Bank Stocks in Borsa Istanbul

Cumhur Ekinci*, Oğuz Ersan

*Bu çalışma için yazışmadan sorumlu yazar

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Özet

Assuming that investors can be foreign or local, do high-frequency trading (HFT) or not, and submit orders through a bank-owned or non-bank-owned broker, we associated trades to various investors. Then, building a panel vector autoregressive model, we analyzed the dynamic relation of these investors with returns and among each other before and during the COVID-19 market crash. Results show that investor groups have influence on each other. Their net purchases also interact with returns. Moreover, during the turmoil caused by the pandemic, except foreign investors not involved in HFT, the response of any investor group (retail/institutional, domestic investors doing HFT and those not doing HFT, and foreign investors doing HFT) significantly altered. This shows that the interrelation among investor groups is dynamic and sensitive to market conditions.

Orijinal dilİngilizce
Makale numarası14
DergiInternational Journal of Financial Studies
Hacim12
Basın numarası1
DOI'lar
Yayın durumuYayınlandı - Mar 2024

Bibliyografik not

Publisher Copyright:
© 2024 by the authors.

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