Impact of the Covid-19 Market Turmoil on Investor Behavior: a Panel Var Study of Bank Stocks in Borsa Istanbul

dc.authorid Ekinci, Cumhur/0000-0002-0475-2272
dc.authorscopusid 55831450300
dc.authorscopusid 57189005583
dc.authorwosid Ekinci, Cumhur/A-5251-2018
dc.contributor.author Ekinci, Cumhur
dc.contributor.author Ersan, Oğuz
dc.contributor.author Ersan, Oguz
dc.contributor.other International Trade and Finance
dc.date.accessioned 2024-06-23T21:38:21Z
dc.date.available 2024-06-23T21:38:21Z
dc.date.issued 2024
dc.department Kadir Has University en_US
dc.department-temp [Ekinci, Cumhur] Istanbul Tech Univ, Dept Management Engn, TR-34367 Istanbul, Turkiye; [Ersan, Oguz] Kadir Has Univ, Fac Econ Adm & Social Sci, Int Trade & Finance Dept, TR-34083 Istanbul, Turkiye en_US
dc.description Ekinci, Cumhur/0000-0002-0475-2272 en_US
dc.description.abstract 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. en_US
dc.description.sponsorship Istanbul Technical University; ITU Finance Lab en_US
dc.description.sponsorship We acknowledge the assistance of Mehmet Bodur and the data support by ITU Finance Lab. en_US
dc.identifier.citationcount 0
dc.identifier.doi 10.3390/ijfs12010014
dc.identifier.issn 2227-7072
dc.identifier.issue 1 en_US
dc.identifier.scopus 2-s2.0-85188839726
dc.identifier.scopusquality Q2
dc.identifier.uri https://doi.org/10.3390/ijfs12010014
dc.identifier.uri https://hdl.handle.net/20.500.12469/5789
dc.identifier.volume 12 en_US
dc.identifier.wos WOS:001192461500001
dc.language.iso en en_US
dc.publisher Mdpi en_US
dc.relation.publicationcategory Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı en_US
dc.rights info:eu-repo/semantics/openAccess en_US
dc.scopus.citedbyCount 1
dc.subject investor types en_US
dc.subject high-frequency trading (HFT) en_US
dc.subject foreign investors en_US
dc.subject brokers en_US
dc.subject bank shares en_US
dc.subject panel vector autoregression en_US
dc.subject Borsa Istanbul en_US
dc.title Impact of the Covid-19 Market Turmoil on Investor Behavior: a Panel Var Study of Bank Stocks in Borsa Istanbul en_US
dc.type Article en_US
dc.wos.citedbyCount 1
dspace.entity.type Publication
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