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Do Earthquakes Affect Stock Market Index?

Year 2020, Vol: 15 - Issue: 10. Year Special Issue, 4768 - 4780, 30.06.2020
https://doi.org/10.26466/opus.687318

Abstract

While environmental challenges are being significantly linked with natural disaster such as the earthquake, other implications such as the financial market implication are being almost overlooked. The relationship between natural disasters and financial markets is an important situation for investors and markets. Hence the current study examines the shock impact of earthquake on the stock index of the Republic of Turkey over the period of 2000M2 to 2017M12. While the exchange rate and the global economic policy uncertainty (GEPU) were incorporated in the autoregressive distributed lag (ARDL) model, significant statistical inference that are relevant for policy suggestions were observed. The study found that there is a dynamic impact of earthquake and exchange rate on the Turkish index. Also, while the impact of earthquake is statistically not significant in the short-run, the long-run impact of earthquake, GEPU and exchange rate are all statistically significant and negative. Generally, the study posits a valuable policy direction to government and other related stakeholders.

References

  • Akdağ, S , and Yildirim, H . (2019). Dolar kuru ile seçilmiş bist sektör endeksleri arasindaki ilişki: Asimetrik nedensellik analizi. Akademik Hassasiyetler,6(12),409-425.
  • Akdağ, S., Yıldırım, H., and Kesebir, M. (2019). Jeopolitik risk ile borsa endeksleri arasındaki ilişki: Panel eşbütünleşme ve panel nedensellik analizi. siyasi, sosyal ve kültürel yönleriyle Türkiye ve Rusya. E. İnanir, O. Köse and Y. Ulutürk, Ankara: Berikan Yayınevi. (59-74).
  • Alola, A. A. (2019a). The trilemma of trade, monetary and immigration policies in the United States: Accounting for environmental sustainability. Science of The Total Environment, 658, 260-267.
  • Alola, A. A. (2019b). Carbon emissions and the trilemma of trade policy, migration policy and health care in the US. Carbon Management, 10(2), 209-218.
  • Bekhet, H.A. and Mugableh, M.I., (2012). Investigating equilibrium relationship between macroeconomic variables and malaysian stock market index through bounds tests approach, International Journal of Economics and Finance, 4(10), 69-81.
  • Engle, R. F.; Rangel, J. G. (2005). The Spline GARCH model for unconditional volatility and its global macroeconomic causes. Statistical and Applied Mathematical Sciences Institute Conference. Duke University, North Carolina.
  • Eyüboğlu, S. ve Eyüboğlu, K. (2018). Borsa İstanbul sektör endeksleri ile döviz kurları arasındaki ilişkilerin incelenmesi: ARDL modeli. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 11(1). 8-28.
  • Fifield, S. G. M., Power, D. M. and Sinclair, C. D. (2002). Macroeconomic factors and share returns: An analysis using emerging market data. International Journal of Finance and Economics, 7 (1), 51-62.
  • Hassan, M. K., Maroney, N. C., El-Sady, H. M., and Telfah, A. (2003). Country risk and stock market volatility, predictability, and diversification in the Middle East and Africa, Economic Systems, 27(1), 63-82.
  • Kaya, V., Çömlekçi, İ. and Kara, O. (2013). Hisse senedi getirilerini etkileyen makroekonomik değişkenler 2002-2012 Türkiye örneği. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 35, 167-176.
  • Koutmos, G. ve Martin, A. D. (2003). Asymmetric exchange rate exposure: Theory and evidence. Journal of International Money and Finance, 22 (3), 365-383.
  • Lehkonen, H., Heimonen, K., (2015). Democracy, political risks and stock market performance. Journal of International Money and Finance, 59, 77–99.
  • Mateus, T. (2004). The risk and predictability of equity returns of the eu accession countries. Emerging Markets Review, 5, 41-266.
  • Mutuku, C., Ngeny, K. L. (2014). Macroeconomic variables and the Kenyan equity market: A time series analysis. Bussiness and Economic Research, 5(1), 1-10.
  • Pesaran, M. H., and Shin, Y. (1995). Long-run Structural Modelling. Cambridge, Department of Applied Economics, University of Cambridge (No. 9419). DAE Working Paper.
  • Pesaran, M. H., Shin, Y., and Smith, R. J. (1996). Testing for the'existence of a long-run relationship' (No. 9622). Faculty of Economics, University of Cambridge.
  • Pesaran, M. H., Shin, Y., and Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of applied econometrics, 16(3), 289-326.
  • Prathan, R.P., Arvin, M.B., and Ghoshray, A. (2015). The dynamics of economic growth, oil prices, stock market debpth and other macroeconomic variables: evidence from the g-20 countries. International Review of Financial Analysis, 39, 84-95.
  • Qi, W. K., Song, Y., Peng, Y., and Li, Y. Y. (2019). Greenhouse gas emissions from a sewage contact oxidation emergency treatment plant after destruction by an earthquake and tsunami. Science of The Total Environment.
  • Sadeghzadeh, K. and Elmas, B. (2018). Makroekonomik faktörlerin hisse senedi getirilerine etkilerinin BIST’de araştırılması. Muhasebe ve Finansman Dergisi. DOI: 10.25095/mufad.465941.
  • Saint Akadiri, S., Alola, A. A., Akadiri, A. C., and Alola, U. V. (2019). Renewable energy consumption in EU-28 countries: policy toward pollution mitigation and economic sustainability. Energy Policy, 132, 803-810.
  • Sirucek, M., (2012). Macroeconomic variables and stock market: US review, International Journal of Computer Science and Management Studies.
  • Tükenmez, N and Kutay, N . (2016). Ülke riskinin hisse senetleri getirileri üzerine etkisi: Türkiye ve Arjantin piyasaları için bir karşılaştırma. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi,20(2).
  • Uprety, A., Ozaki, A., Higuchi, A., Leppold, C., and Tanimoto, T. (2019). The 2015 Nepal earthquake and worsening air pollution in Kathmandu. The Lancet Planetary Health, 3(1), 8-9.
  • Yıldırım, H. (2019). The long-term relationship of fear index with Dollar Index, DAX Volatility Index and Crude Oil Prices: ARDL Bond Test. Economics and Administrative. Ankara: Akademisyen Kitabevi. (47-58)
  • Zhou, X., Chen, Z., and Cui, Y. (2016). Environmental impact of CO 2, Rn, Hg degassing from the rupture zones produced by Wenchuan M s 8.0 earthquake in western Sichuan, China. Environmental geochemistry and health, 38(5), 1067-1082.
  • Zügül, M., and Şahin, C., (2009). İMKB 100 Endeksi İle bazı makroekonomik değişkenler arasındaki ilişkiyi incelemeye yönelik bir uygulama, Akademik Bakış, 16, http://www.akademikbakis.org adresinden erişildi.

Depremler Borsa Endeksini Etkiler Mi

Year 2020, Vol: 15 - Issue: 10. Year Special Issue, 4768 - 4780, 30.06.2020
https://doi.org/10.26466/opus.687318

Abstract

Çevresel zorluklar deprem gibi doğal afetlerle önemli ölçüde bağlantılı olmakla birlikte, finansal piyasalarda neden olduğu sonuçlar neredeyse göz ardı edilmektedir.Doğal afetler ile finansal piyasalar arasındaki ilişki yatırımcılar ve piyasalar için önemli bir durumdur. Bu nedenle, söz konusu çalışma 2000/2 - 2017/12 döneminde depremin Türkiye'deki hisse senedi endeksi üzerindeki şok etkisini incelemektedir. Diğer yandan çalışmada, döviz kuru ve küresel ekonomi politikası belirsizliği (GEPU) otoregresif dağıtılmış gecikme (ARDL) modeline dahil edilirken, politika önerileri ile ilgili önemli istatistiksel çıkarım gözlenmiştir. Elde edilen bulgular ise deprem ve döviz kurunun Türkiye endeksi üzerinde dinamik bir etkisi olduğu yönündedir. Ayrıca, deprem etkisi kısa vadede istatistiksel olarak anlamlı olmasa da, deprem, GEPU ve döviz kurunun uzun dönemli etkisi istatistiksel olarak anlamlı ve negatif yönlü olduğu yönündedir. Genel olarak, çalışma hükumete ve diğer ilgili paydaşlara değerli bir politika yönelimi ortaya koymaktadır.

References

  • Akdağ, S , and Yildirim, H . (2019). Dolar kuru ile seçilmiş bist sektör endeksleri arasindaki ilişki: Asimetrik nedensellik analizi. Akademik Hassasiyetler,6(12),409-425.
  • Akdağ, S., Yıldırım, H., and Kesebir, M. (2019). Jeopolitik risk ile borsa endeksleri arasındaki ilişki: Panel eşbütünleşme ve panel nedensellik analizi. siyasi, sosyal ve kültürel yönleriyle Türkiye ve Rusya. E. İnanir, O. Köse and Y. Ulutürk, Ankara: Berikan Yayınevi. (59-74).
  • Alola, A. A. (2019a). The trilemma of trade, monetary and immigration policies in the United States: Accounting for environmental sustainability. Science of The Total Environment, 658, 260-267.
  • Alola, A. A. (2019b). Carbon emissions and the trilemma of trade policy, migration policy and health care in the US. Carbon Management, 10(2), 209-218.
  • Bekhet, H.A. and Mugableh, M.I., (2012). Investigating equilibrium relationship between macroeconomic variables and malaysian stock market index through bounds tests approach, International Journal of Economics and Finance, 4(10), 69-81.
  • Engle, R. F.; Rangel, J. G. (2005). The Spline GARCH model for unconditional volatility and its global macroeconomic causes. Statistical and Applied Mathematical Sciences Institute Conference. Duke University, North Carolina.
  • Eyüboğlu, S. ve Eyüboğlu, K. (2018). Borsa İstanbul sektör endeksleri ile döviz kurları arasındaki ilişkilerin incelenmesi: ARDL modeli. Ömer Halisdemir Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 11(1). 8-28.
  • Fifield, S. G. M., Power, D. M. and Sinclair, C. D. (2002). Macroeconomic factors and share returns: An analysis using emerging market data. International Journal of Finance and Economics, 7 (1), 51-62.
  • Hassan, M. K., Maroney, N. C., El-Sady, H. M., and Telfah, A. (2003). Country risk and stock market volatility, predictability, and diversification in the Middle East and Africa, Economic Systems, 27(1), 63-82.
  • Kaya, V., Çömlekçi, İ. and Kara, O. (2013). Hisse senedi getirilerini etkileyen makroekonomik değişkenler 2002-2012 Türkiye örneği. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 35, 167-176.
  • Koutmos, G. ve Martin, A. D. (2003). Asymmetric exchange rate exposure: Theory and evidence. Journal of International Money and Finance, 22 (3), 365-383.
  • Lehkonen, H., Heimonen, K., (2015). Democracy, political risks and stock market performance. Journal of International Money and Finance, 59, 77–99.
  • Mateus, T. (2004). The risk and predictability of equity returns of the eu accession countries. Emerging Markets Review, 5, 41-266.
  • Mutuku, C., Ngeny, K. L. (2014). Macroeconomic variables and the Kenyan equity market: A time series analysis. Bussiness and Economic Research, 5(1), 1-10.
  • Pesaran, M. H., and Shin, Y. (1995). Long-run Structural Modelling. Cambridge, Department of Applied Economics, University of Cambridge (No. 9419). DAE Working Paper.
  • Pesaran, M. H., Shin, Y., and Smith, R. J. (1996). Testing for the'existence of a long-run relationship' (No. 9622). Faculty of Economics, University of Cambridge.
  • Pesaran, M. H., Shin, Y., and Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of applied econometrics, 16(3), 289-326.
  • Prathan, R.P., Arvin, M.B., and Ghoshray, A. (2015). The dynamics of economic growth, oil prices, stock market debpth and other macroeconomic variables: evidence from the g-20 countries. International Review of Financial Analysis, 39, 84-95.
  • Qi, W. K., Song, Y., Peng, Y., and Li, Y. Y. (2019). Greenhouse gas emissions from a sewage contact oxidation emergency treatment plant after destruction by an earthquake and tsunami. Science of The Total Environment.
  • Sadeghzadeh, K. and Elmas, B. (2018). Makroekonomik faktörlerin hisse senedi getirilerine etkilerinin BIST’de araştırılması. Muhasebe ve Finansman Dergisi. DOI: 10.25095/mufad.465941.
  • Saint Akadiri, S., Alola, A. A., Akadiri, A. C., and Alola, U. V. (2019). Renewable energy consumption in EU-28 countries: policy toward pollution mitigation and economic sustainability. Energy Policy, 132, 803-810.
  • Sirucek, M., (2012). Macroeconomic variables and stock market: US review, International Journal of Computer Science and Management Studies.
  • Tükenmez, N and Kutay, N . (2016). Ülke riskinin hisse senetleri getirileri üzerine etkisi: Türkiye ve Arjantin piyasaları için bir karşılaştırma. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi,20(2).
  • Uprety, A., Ozaki, A., Higuchi, A., Leppold, C., and Tanimoto, T. (2019). The 2015 Nepal earthquake and worsening air pollution in Kathmandu. The Lancet Planetary Health, 3(1), 8-9.
  • Yıldırım, H. (2019). The long-term relationship of fear index with Dollar Index, DAX Volatility Index and Crude Oil Prices: ARDL Bond Test. Economics and Administrative. Ankara: Akademisyen Kitabevi. (47-58)
  • Zhou, X., Chen, Z., and Cui, Y. (2016). Environmental impact of CO 2, Rn, Hg degassing from the rupture zones produced by Wenchuan M s 8.0 earthquake in western Sichuan, China. Environmental geochemistry and health, 38(5), 1067-1082.
  • Zügül, M., and Şahin, C., (2009). İMKB 100 Endeksi İle bazı makroekonomik değişkenler arasındaki ilişkiyi incelemeye yönelik bir uygulama, Akademik Bakış, 16, http://www.akademikbakis.org adresinden erişildi.
There are 27 citations in total.

Details

Primary Language English
Subjects Operation
Journal Section Articles
Authors

Hakan Yıldırım 0000-0002-3271-2841

Andrew Alola This is me 0000-0001-5355-3707

Publication Date June 30, 2020
Acceptance Date June 22, 2020
Published in Issue Year 2020 Vol: 15 - Issue: 10. Year Special Issue

Cite

APA Yıldırım, H., & Alola, A. (2020). Do Earthquakes Affect Stock Market Index?. OPUS International Journal of Society Researches, 15(1), 4768-4780. https://doi.org/10.26466/opus.687318