Article Publishing in an International Refereed Journal by Research Assistant Süreyya İmre

The summary of the article is given below:
In this study, it is aimed to measure the effect of the Covid-19 outbreak on the share returns in a total of 8 sector indices XBANK, XBLSM, XGIDA, XILTM, XSGRT, XTEKS, XTRZM, XULAS traded in the Borsa Istanbul Market. For this purpose, the daily closing prices of the relevant BİST sector indices covering the dates 05.01.2015 - 02.07.2021 were used. The Exponential Generalized Autoregressive Conditional Heterokedasticity (EGARCH) model was used in the BİST sector indices to detect both the effects of the pandemic and the presence of asymmetry or leverage effect. In order to detect the pandemic effect, a dummy variable named Covid-19 was defined and added to both the mean model and the variance model. Thus, sector returns and increases and decreases in volatility were determined. According to the findings, it has been determined that Covid-19 has an effect on XBLSM, XGIDA, XSGRT, XTEKS, XTRZM returns, has a positive effect on XBLSM, XGIDA, XSGRT sector returns, and has a negative effect on XTEKS, XTRZM sector returns. While the returns of XBLSM, XSGRT and XGIDA increased during the pandemic process, the returns of XTEKS and XTRZM decreased. Likewise, when we look at the impact of Covid-19 on volatility, the volatility of the XBLSM, XGIDA and XSGRT sectors was positively affected, while the volatility of the XTEKS, XTRZM, XULAS sectors was negatively affected.