Depremlerin Sigortacılık Sektörü Hisse Senetleri Üzerinde Etkisi Olabilir mi? 2020 Yılındaki İzmir Depremi Üzerine Bir Araştırma

Abstract

Bu çalışmada, depremlerin sigortacılık sektöründe faaliyet gösteren firmaların hisse senetleri üzerindeki etkisinin incelenmesi amaçlanmıştır. Bu amaçla, İzmir şehrinde şiddetli yıkıcı etkiler yaratan 30 Ekim 2020 tarihinde meydana gelen deprem, bu çalışmada ele alınmıştır. BIST TUM endeksi içerisinde bulunan sigortacılık sektörü hisse senetlerinin bu deprem felaketine verdiği tepkiler olay çalışması yöntemi ile analiz edilmiştir. Analizde, hisse senetlerinin deprem tarihi öncesindeki ve sonrasındaki 15, 30, 45, 60 ve 75 günlük zaman dilimlerindeki kümülatif anormal getirilerinde (cumulative abnormal return-CAR) farklılaşma olup olmadığı bağımlı örneklem t testi (paired samples t test) ile analiz edilmiştir. Sonuçlara göre depremin, sigortacılık sektörü hisse senetlerine ait kümülatif getirilerde 15, 30, 45 ve 60 günlük dönemler için negatif yönde etkiler yarattığı tespit edilmiştir. Riskten kaçınma, kayıptan kaçınma ve belirsizlikten kaçınma davranışsal finans eğilimlerinin, yatırımcılar üzerinde yaratmış olabileceği birtakım etkilerin, hisse senetlerinin getirilerinde meydana gelen düşüşlerin nedenleri arasında olabileceği akıllara gelmektedir. Çalışma sonuçlarının, özellikle felaket dönemlerinde sigortacılık sektörü hisse senetlerinin bu olaylara nasıl tepkiler verebileceğinin ortaya konulabilmesi açısından literature katkı sağlayabileceği düşünülmektedir.

Keywords

• davranışsal finans
• sigortacılık
• deprem
• olay çalışması

Could Earthquakes Have an Effect on Insurance Sector Stocks? A Study on the Izmir Earthquake in 2020

Abstract

In this study, it is aimed to examine the effects of earthquakes on the stocks of companies operating in the Insurance Sector. For this purpose, the earthquake that occurred on October 30, 2020, which caused severe destructive effects in the city of Izmir, was investigated in this study. The reactions of the insurance sector stocks included in the BIST TUM index to this earthquake disaster were analyzed using case study method. In the analysis, whether there is a differentiation in the cumulative abnormal return (CAR) of the stocks in the 15, 30, 45, 60 and 75 days before and after the earthquake was analyzed with the paired samples t test. According to the results, it has been determined that the earthquake has negative effects on the cumulative returns of the insurance sector stocks for the periods of 15, 30, 45 and 60 days. It comes to mind that risk aversion, loss aversion and ambiguty aversion may be among the reasons for the decline in the returns of stocks due to certain effects that behavioral finance trends may have on investors. It is thought that the results of the study could contribute to the literature in terms of demonstrating how the insurance sector stocks might react to these events, especially in disastrous periods.

Keywords

• behavioral finance
• insurance
• earthquake
• event study

References

1. AFAD. (2020). 30 Ekim 2020 Sisam Adası (İzmir Seferihisar Açıkları) Mw 6.6 Depremi Raporu. Erişim tarihi: 19.04.2021, https://deprem.afad.gov.tr/downloadDocument?id=2065
2. Aiuppa, T., Carney, R., & Krueger, T. (1993). An Examınatıon of Insurance Stock Prıces Followıng The 1989 Loma Prıeta Earthquake. Journal of Insurance Issues, 16(1),1-14. http://www.jstor.org/stable/41946350
3. Aiuppa, T. A., & Krueger, T. M. (1995). Insurance stock prices following the 1994 Los Angeles earthquake. Journal of Insurance Issues, 23-35. https://www.jstor.org/stable/41946092
4. Angbazo, L. A., & Narayanan, R. (1996). Catastrophic shocks in the property-liability insurance industry: Evidence on regulatory and contagion effects. Journal of Risk and Insurance, 619-637. https://doi.org/10.2307/253474
5. Bolak, M. ve Süer, Ö. (2007). 17 Ağustos 1999 depreminin taş ve toprağa dayalı sanayide faaliyet gösteren firmaların hisse senetleri üzerindeki etkisine ilişkin amprik bir çalışma. Iktisat Isletme ve Finans, 22(255), 73-84. https://doi.org/10.3848/iif.2007.255.5020
6. Brenner, M. (1979). The sensitivity of the efficient market hypothesis to alternative specifications of the market model. The Journal of Finance, 34(4), 915-929. https://doi.org/10.1111/j.1540-6261.1979.tb03444.x.
7. Fama, E. F., L. Fisher, ve M. Jensen. (1969). The adjustment of stock price to new information. International Economic Review 10:1–21. doi:10.2139/ssrn.321524. https://doi.org/10.2307/2525569
8. Ferreira, S. ve Karali, B. (2015). Do earthquakes shake stock markets?. PLoS ONE, 10(7), e0133319. https://doi.org/10.1371/journal.pone.0133319

9. Hagendorff, B., J. Hagendorff, and K. Keasey. 2015. The impact of mega-catastrophes on insurers: An exposure-based analysis of the U.S. homeowners’ insurance market. Risk Analysis 35 (1): 157–73. https://doi.org/10.1111/risa.12252
10. KAP. (2021). Kamu Aydınlatma Platformu, Sektörler. Erişim tarihi: 23.04.2021, https://www.kap.org.tr/tr/Sektorler
11. Lamb, R. P. (1995). An exposure-based analysis of property-liability insurer stock values around Hurricane Andrew. Journal of Risk and Insurance, 111-123. https://doi.org/10.2307/253695
12. Ragin, M. A., & Xu, J. (2019). An Ex Post Assessment of Investor Response to Catastrophes. North American Actuarial Journal, 23(2), 250-275. https://doi.org/10.1080/10920277.2018.1536885
13. Scholtens, B., & Voorhorst, Y. (2013). The impact of earthquakes on the domestic stock market. Earthquake spectra, 29(1), 325-337. https://doi.org/10.1193/1.4000103
14. Shelor, R., Anderson, D., & Cross, M. (1990). The impact of the California earthquake on real estate firms' stock value. Journal of Real Estate Research, 5(3), 335-340. https://doi.org/10.1080/10835547.1990.12090623
15. Shupp, R., Loveridge, S., Skidmore, M., Lim, J., & Rogers, C. (2017). Risk, loss, and ambiguity aversion after a natural disaster. Economics of disasters and climate change, 1(2), 121-142. https://doi.org/10.1007/s41885-017-0013-2
16. Takao, A., Yoshizawa, T., Hsu, S., & Yamasaki, T. (2013). The effect of the Great East Japan earthquake on the stock prices of non-life insurance companies. The Geneva Papers on Risk and Insurance-Issues and Practice, 38(3), 449-468. https://doi.org/10.1057/gpp.2012.34
17. Valizadeh, P., Karali, B., & Ferreira, S. (2017). Ripple effects of the 2011 Japan earthquake on international stock markets. Research in International Business and Finance, 41, 556-576. https://doi.org/10.1016/j.ribaf.2017.05.002
18. Worthington, A. C. (2008). The impact of natural events and disasters on the Australian stock market: A GARCH-M analysis of storms, floods, cyclones, earthquakes and bushfires. Global Business and Economics Review, 10(1), 1-10. https://doi.org/10.1504/GBER.2008.016824
19. Yamori, N., & Kobayashi, T. (2002). Do Japanese insurers benefit from a catastrophic event?: Market reactions to the 1995 Hanshin–Awaji earthquake. Journal of the Japanese and international economies, 16(1), 92-108. https://doi.org/10.1006/jjie.2001.0477
20. Yıldırım, H. ve Alola, A . (2020). Do Earthquakes Affect Stock Market Index?. OPUS Uluslararası Toplum Araştırmaları Dergisi, Cilt: 15 - Sayı: 10 Yıl Özel Sayısı, 4768-4780. https://doi.org/10.26466/opus.687318
21. Yılmaz, F. A., ve Karan, M. B. (2015). Türkiye'deki Büyük Depremlerin Borsa İstanbul'da Sektörel Etkisinin Test Edilmesi. Journal of Insurance Research/Sigorta Arastirmalari Dergisi, (11), s 3-21. http://web.a.ebscohost.com/ehost/pdfviewer/pdfviewer?vid=0&sid=2a1f67d3-e663-4dff-8ce5-79ec8fe5de32%40sessionmgr4007& Bioinformatics (IJBB), 3(6), 96–105.