MSCI Türkiye Endeksi Çerçevesinde Hisse Senetlerinin BIST Getiri Değişimine Etkisi

Abstract

Bu çalışmada, 2014-2018 yılları arasında MSCI Türkiye Endeksi’ne dâhil edilen veya bu endeksten çıkarılan hisse senetlerinin Borsa İstanbul’daki getiri değişimi üzerindeki etkisi incelenmiştir. Kamuya açık şirketlere ilişkin bilgiler ile normal olmayan bir getiri elde edilmesinin mümkün olamayacağı etkin piyasalar hipotezinin savunusu olup, kurulan hipoteze göre, MSCI endeksine dâhil edilme veya endeksten çıkarılma ilanı sonucunda bu hisse senetlerinden anormal getiri elde edilmesinin mümkün olmayacağı ifade edilmektedir. Çalışmanın amacı, MSCI Türkiye Endeksi’ne belirlenen zaman aralığında dâhil edilen veya çıkarılan senetlere dair ilanların bu şirketlere ait hisse getiri oranlarını ne şekilde etkileyeceğinin Olay Çalışması (Event Study) metodu ile incelenmesidir. MSCI hisse senetleri üzerinde yapılan çalışma sonucunda, endekse dahil edilen veya çıkarılan hisse senetlerine ilişkin olarak anormal bir getiri elde edilmesinin mümkün olmadığı sonucuna varılmıştır.

Keywords

• MSCI Endeksi
• BİST
• Olay Çalışması
• Fiyat Etkisi

The Effect of the Stocks on BIST Return Change in the Framework of MSCI Turkey Index

Abstract

In this study, the effect on return changes of stocks in Turkey which are included or excluded from MSCI Turkey Index between the years 2014-2018 in Borsa Istanbul was investigated. Effective markets hypothesis is based on the argument that it is not feasible to obtain an abnormal return due to information on publicly quoted companies as per this argument it will not be possible to obtain abnormal return from these stocks as a result of the announcements about stocks of the MSCI Index. The aim of the study is to analyze how announcements on stock shares included or removed from MSCI Index in specific time intervals have an effect on stock return ratios of these companies based on Event Study method. As a result of the study, it is concluded that it is not feasible to obtain abnormal return pertaining to the stocks incorporated in or removed from the index.

Keywords

• MSCI Index
• BIST
• Event Study
• Price Effect

References

1. Bayraktar, A. (2012). Endeks Etkisi: İMKB Uygulaması. Aksaray Üniversitesi İİBF Dergisi, 4(2): 89-110.
2. Bildik, R. ve Güney, G. (2008). The Effects of Changes in Index Composition on Stock Prices and Volume: Evidence from The Istanbul Stock Exchange. International Review of Financial Analysis, 17(1): 178-197.
3. Chakrabarti, R., Huang, W., Jayaraman, N. and Lee, J. (2005). Price and Volume Effects of Changes in MSCI Indices – Nature and Causes. Journal of Banking & Finance, 29(5): 1237-1264.
4. Chen, H.L., Shiu, C.Y. and Wei, H.S. (2019). Price Effect and Investor Awareness: Evidence from MSCI Standard Index Reconstitutions. Journal of Empirical Finance, 50(C): 93-112.
5. Chiou, I. and Larson, S.J. (2005). The Effects of a Stock Index: Evidence from The Annual Rebalancing of the MSCI USA Index. Journal of the Academy of Business and Economics, 5(2): 1-8.
6. Coakley, J., Kougoulis, P. and Nankervis, J.C. (2008). The MSCI-Canada Index Rebalancing and Excess Comovement. Applied Financial Economics, 18(16): 1277-1287.
7. Elliott, W.B., Bonnie, F., Van, N., Mark D., Warr, W. and Warr R.S. (2006). What Drives the S&P 500 Inclusion Effect? An Analytical Survey. Financial Management, 35(4): 31-48.
8. Fama, E. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2): 383-417.

9. Finucane, S. (2003). Distilling The Information in S&P 500 Delistings (University of British Columbia Faculty of Commerce and Business Administration Finance Division Working Paper May. 03:1-34). Retrieved from: http://www.fsa.ulaval.ca/nfa2003/papiers/Sean%20Finucane.pdf
10. Harijono, A. (2003). Price and Volume Effects Associated with Changes in the LQ45 Index and the MSCI Equity Index Lists. Gadjah Mada International Journal of Business, 5(3): 401-420.
11. Harris, L. and Gurel, E. (1986). Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for The Existence of Price Pressure. The Journal of Finance, 41(4): 815-829.
12. Ivanov, I.S. (2010). Discretionary Deletions from the S&P 500 Index: Evidence on Forecasted and Realized Earnings. The International Journal of Business and Finance Research, 4(4): 1-9.
13. Kamal, R. (2014). New Evidence from S&P 500 Index Deletions. The International Journal of Business and Finance Research, 8(2): 1-10.
14. Karan, M.B. (2004). Yatırım Analizi ve Portföy Yönetimi. Ankara: Gazi Kitabevi.
15. Kothari, S.P. and Warner, J.B. (2006). Econometrics of Event Studies. In B. Espen Eckbo (Ed.), Handbook of Corporate Finance: Emprical Corporate Finance. Amsterdam: North Holland Publications.
16. Levy, H. (1998). Principles of Corporate Finance. Cincinnati: South Western College Publications.
17. Lin, E.C. (2010). Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions. Research in Finance, 26: 127-154.
18. Mazgit, İ. (2013). Endeks Kapsamında Olmanın Hisse Senedi Getirilerine Etkisi: BİST Temettü 25 Endeksi Üzerine Bir Uygulama. Sosyoekonomi Dergisi, 20(20): 225-264.
19. Rao, R. (1995). Financial Manager. Cincinati: South Western Collage Publishing.
20. Shu, P.G., Yeh, Y.H. and Huang, Y.C. (2004). Stock Price and Trading Volume Effects Associated with Changes in the MSCI Free Indices: Evidence from Taiwanese Firms Added to and Deleted from The Indices. Review of Pacific Basin Financial Markets and Policies, 7(4): 471-491.
21. Wilkens, S. and Wimshulte, J. (2005). Price and Volume Effects Associated with 2003’s Major Reorganization of German Stock Indices. Financial Markets and Portfolio Management, 19(1): 61-98.