COVID-19 PANDEMİSİ SIRASINDA ETKİN PİYASA HİPOTEZİ: BRICS-T ÜLKELERİ

Year 2024, , 1036 - 1049, 10.10.2024

Mutlu Başaran Öztürk , Mehmet Sinan Çelik , Gökçe Avbaz

https://doi.org/10.25287/ohuiibf.1542780

Abstract

COVID-19’un finansal piyasalara etkisi, literatürde önemli bir araştırma konusu olmuştur. Özellikle 11 Mart 2020’de Dünya Sağlık Örgütü tarafından salgının, küresel bir pandemi olarak ilan edilmesi, yatırımcıların risk algısını değiştirmiş ve hisse senedi piyasalarında büyük dalgalanmalara yol açmıştır. Bu çalışmada, BRICS-T ülkelerinin (Brezilya, Rusya, Hindistan, Çin, Güney Afrika ve Türkiye) borsa endekslerinin pandeminin ilanına nasıl tepki verdiği, Olay çalışması (event study) yöntemi ile analiz edilmiştir. Olay penceresi -5 ile +5 gün olarak belirlenmiş ve tahmin penceresi ise olaydan önceki 90 gün olarak seçilmiştir. Normal ve anormal getirilerin karşılaştırılması yoluyla yapılan analiz sonucunda; Çin harici BRICS-T ülke borsalarının tamamının yarı-güçlü formda etkin olmadığı tespit edilmiştir. Ayrıca tüm borsalar için uygulanan bağımlı örneklem t-testi sonuçları, COVID-19 öncesi ve sonrası dönemde hesaplanan anormal getiriler arasındaki farkın, istatistiksel olarak anlamlı olduğunu göstermektedir. Bu bağlamda, COVID-19 pandemisinin, önceki salgınlardan farklı olarak finansal piyasalarda önemli dalgalanmalara yol açtığı sonucuna varılmıştır. Bu çalışma, pandeminin gelişmekte olan piyasalardaki etkilerini anlamak ve yatırımcı davranışlarını incelemek için önemli bir katkı sağlamaktadır.

Keywords

Etkin piyasa hipotezi, Covid-19, BRICS ülkeleri, Olay Analizi

EFFICIENT MARKET HYPOTHESIS DURING COVID-19 PANDEMIC: BRICS-T COUNTRIES

Abstract

The impact of COVID-19 on financial markets has become a significant topic of research in the literature. Particularly, the declaration of the outbreak as a global pandemic by the World Health Organization on March 11, 2020, altered investors' risk perceptions and led to major fluctuations in stock markets. In this study, the response of stock indices in BRICS-T countries (Brazil, Russia, India, China, South Africa, and Türkiye) to the pandemic declaration was analyzed using the Event Study method. The event window was set as -5 to +5 days, and the estimation window was selected as the 90 days preceding the event. As a result of the analysis based on the comparison of normal and abnormal returns, it was found that all BRICS-T stock markets, except China, were not semi-strong form efficient. In addition, the results of the paired sample t-test applied to all stock markets demonstrated that the difference between abnormal returns calculated before and after COVID-19 was statistically significant. In this context, it was concluded that, unlike previous outbreaks, the COVID-19 pandemic led to significant fluctuations in financial markets. This study provides an important contribution to understanding the effects of the pandemic on emerging markets and examining investor behavior.

Keywords

The Efficient Market Hypothesis, Covid-19, BRICS countries, Event Analysis

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