COVID-19 Effect on Borsa Istanbul: Measuring Industry-Specific Market Responses on the Basis of Indices

Abstract

The aim of this study is to examine the short-run impact of pandemic-related events on Borsa Istanbul sectoral indices and investigate the differentials among industry responses. Following the event study approach, 12 sectoral stock indices are taken and their responses to two positive and two negative pandemic-related events are analysed. Event days chosen are declaration of international public health emergency on 30 January 2020 by World Health Organization (WHO); the first confirmed case in Turkey and WHO declaration of pandemic on 11 March 2020; introduction to public rules of normalization process on 4 May 2020; and announcement of vaccine efficacy against coronavirus. Results suggest that Technology, Transportation, Tourism, SME and IT indices are the most sensitive indices against COVID-19 related events. These indices generated negative AR and CAR values against negative events and positive AR and CARs against positive events. Banking and Telecom indices generated significant AR and CAR values but coefficients are generally opposed to the aspects of the events.

Keywords

• Stock Markets
• Sector Indices
• Event Study
• Abnormal Returns
• COVID-19

Borsa İstanbul’da COVID-19 Etkisi: Kısa Dönemli Sektörel Piyasa Tepkilerinin Endeks Bazında Ölçülmesi

Abstract

Çalışmanın amacı, COVID-19 pandemisinin Borsa İstanbul (BİST) üzerindeki kısa dönemli etkisini ölçmek ve endekslerin pandemi ile ilişkili olaylar karışında verdikleri tepkilerde bir farklılaşma olup olmadığını tespit etmektir. Bu amaçla BİST’te yer alan sektörel endekslerden arasından seçilmiş 12 endeks üzerinde incelemeler yapılmış, olay analizi yöntemi kullanılarak pandemi ile ilişkili ikisi pozitif ikisi negatif olmak üzere 4 olaya karşı endekslerin tepkileri karşılaştırılmıştır. Seçilen olay günleri 30 Ocak 2020 tarihinde Dünya Sağlık Örgütü (DSÖ) tarafından Uluslararası halk sağlığı acil durumu ilanı, 11 Mart 2020’de Türkiye’de ilk vakanın görülmesi, 4 Mayıs 2020’de normalleşmeye ilişkin planlamaların duyurulması ve 9 Kasım 2020’de aşı çalışmalarının başarıya ulaştığı haberinin duyurulmasıdır. Bulgular değerlendirilirken Mart ayı boyunca meydana gelen farklı olayların etkileri de günlük anormal getiriler dikkate alınarak yorumlanmaya çalışılmıştır. Elde edilen sonuçlar pandemi ile ilişkili olaylar karşısında duyarlılığı en yüksek olan endekslerin Teknoloji, Ulaştırma, Turizm, KOBİ ve Bilişim sektörlerine ait olduğunu göstermiştir. Bu endekslerde pozitif olaylar karşısında pozitif, negatif olaylar karşısında negatif anormal getiriler meydana gelmiştir. Banka ve İletişim endekslerinde oluşan anormal getiriler ise öncekilerle genellikle ters yönlü olarak ortaya çıkmıştır.

Keywords

• COVID-19
• Borsa
• Olay Çalışması
• Anormal Getiriler
• Sektör Endeksleri

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