TESTING NEWS EFFECT IN THE COVID-19 PROCESS WITH OVERREACTION HYPOTHESIS ON BIST30 INDEX

Year 2022, , 66 - 84, 29.05.2022

İlknur Ülkü Armağan , Murat Ali Dulupçu

https://doi.org/10.20875/makusobed.1057500

Abstract

Many positive or negative news are announced by the authorities regarding the COVID-19 pandemic process. These news, depending on the degree and duration of their impact on financial investors, cause price anomalies, especially in stock markets, which are the main indicators of national economies. In the study, the effect of five selected news, announced by the authorities regarding the COVID-19 pandemic in Turkey and around the world, between December 2019 and December 2020, is tested on the Borsa Istanbul (BIST30) Index stocks with the Overreaction Hypothesis with the event analysis approach. As a result of the analysis, it has been determined that BIST30 Index stock investors react negative news more than positive news, and also domestic news causes more overreaction anomalies than global news.

Keywords

Overreaction Hypothesis, Event Analysis, BIST30, Covid-19, Pandemic

COVID-19 SÜRECİNDE HABER ETKİSİNİN BIST30 ENDEKSİ ÜZERİNDE AŞIRI REAKSİYON HİPOTEZİYLE TEST EDİLMESİ

Abstract

Tüm dünyayı olumsuz şekilde etkileyen ve etkisi halen devam eden COVID-19 pandemi süreci ile ilgili yetkililer tarafından birçok olumlu ya da olumsuz haber açıklanmaktadır. Bu haberler de finansal yatırımcılar üzerindeki etki derecesi ve süresine göre özelikle ülke ekonomilerinin başlıca göstergelerinden olan menkul kıymet borsalarında farklı reaksiyonlara, fiyat anomalilerine sebep olmaktadır. Çalışmada Aralık 2019 ve Aralık 2020 tarihleri arasında Türkiye’de ve dünyada özellikle COVID-19 pandemisi ve gelişimiyle ilgili yetkililer tarafından açıklanan, seçilen beş haberin etkisi Olay Analizi Yaklaşımıyla Aşırı Reaksiyon Hipotezi ile Borsa Istanbul (BIST30) Endeksi pay senetleri üzerinde test edilmektedir. Yapılan analiz sonucunda, BIST30 Endeksi (XU030) pay senedi yatırımcılarının yaşanan süreçteki olumsuz haberlere olumlu haberlerden daha fazla reaksiyon verdiği, ayrıca yurtiçi haberlerin global haberlere göre daha çok aşırı reaksiyon anomalisine neden olduğu tespit edilmektedir.

Keywords

Aşırı Reaksiyon Hipotezi, Fiyat Anomalileri, Olay Analizi, BIST30, Covid-19, Pandemi

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