The Impact of Short Selling Bans and COVID-19 Regulations of Borsa Istanbul Equity Market on Market Efficiency

Abstract

This study firstly examines the impact of the announcement of short selling ban of Borsa İstanbul (BIST) in 28 Feb 2020 on BIST-30 indices firms. Secondly, the effect of COVID-19 epidemic and following market corrections on BIST-30 indices firms are investigated. Turkey reported the first COVID-19 case on 11 March 2020 and World Health Organization announced the virus epidemic as pandemic the same day. Because of the uneasiness in the markets on 12 March, head office of Borsa Istanbul announced that they would change the circuit breaker rate and daily price change limit. Following this announcement, they started to apply new rates on 13 March. By using event study methodology and determining 28 February and 13 March as two different event days, this study examines the impact of these two events on BIST-30 indices firms. According to the empirical results, indices and shares lose value after short sale ban in the first event. In the second event it is found that after the regulations in price margin and breaker rate, abnormal return turns out to be positive. Thus, this regulation is useful for the effectiveness of price fluctuations and price formation in the market.

Keywords

• Short Selling
• Price Margin
• Circuit Breaker
• COVID-19
• Borsa Istanbul

BİST Pay Piyasasında Açığa Satış Yasağı ve COVID-19 Düzenlemelerinin Piyasa Etkinliği Üzerindeki Etkisi

Abstract

 Bu çalışmada ilk olarak 28 Şubat 2020 tarihinde Sermaye Piyasası Kurulunun (SPK) Borsa İstanbul (BİST) pay piyasalarında açığa satışı yasakladığını duyurmasının BİST-30 endeksi şirketleri üzerindeki etkisi incelenmiştir. İkinci olarak ise COVID-19 salgınının ve bunu izleyen BİST piyasa düzenlemelerinin BİST-30 endeksi şirketleri üzerindeki etkisi incelenmiştir. 11 Mart 2020 tarihinde Türkiye'de ilk COVID-19 vakası raporlanmış ve aynı gün Dünya Sağlık Örgütü (DSÖ) virüs salgınını pandemi olarak ilan etmiştir. Piyasalarda oluşan tedirginlik nedeniyle Borsa İstanbul Genel Müdürlüğü 12 Mart günü pay piyasasında devre kesici tetikleme oranı ile günlük fiyat değişim limitlerinde değişikliğe gideceğini duyurmuş ve 13 Mart günü yeni oranları uygulamaya koymuştur. Olay etüdü yöntemi kullanılarak, 28 Şubat ve 13 Mart günleri 2 ayrı olay günü olarak belirlenerek her iki olayın da BİST-30 endeksi şirketleri üzerindeki etkisi incelenmiştir. İlk olay incelendiğinde açığa satış yasağı sonrasında endeks ve pay senetlerinin değer kaybettiği görülmüştür. İkinci olarak fiyat marjı ve devre kesici tetikleme oranı düzenlemeleri sonrasında anormal getirinin pozitif olduğu bulunmuştur. Dolayısıyla bu uygulamanın piyasada fiyat dalgalanmaları ve fiyat oluşumu etkinliği açısından faydalı olduğu sonucuna varılmıştır.

Keywords

• Açığa Satış
• Fiyat Marjı
• Devre Kesici
• COVID-19
• Borsa İstanbul

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