Hisse Senedi Piyasalarının Depremlere Karşı Kırılganlığı / Türkiye'de 2023 Yılında Meydana Gelen 7.7 ve 7.6 Ölçekli Depremler: Taş Toprak, Metal Ana, İnşaat ve Bayındırlık İşleri Sektörleri

Yıl 2023, Cilt: 7 Sayı: 2, 370 - 381, 25.12.2023

Cagri Hamurcu

https://doi.org/10.30586/pek.1359526

Öz

Öz: Bu çalışma, borsaların deprem etkilerine karşı kırılgan olup olmadığını ve depremden nasıl etkilendiklerini ortaya çıkarmayı amaçlamaktadır. Bu amaçla Türkiye'de Şubat 2023'te meydana gelen 7,7 ve 7,6 büyüklüğündeki depremler araştırılmıştır. Depremin Borsa İstanbul'a etkisi, taş toprak, metal ana, inşaat ve bayındırlık işleri sektörleri özelinde olay çalışması yöntemiyle analiz edilmiştir. İlk olarak, sektörlere özgü endekslerin ilk depremden önceki ve sonraki 5, 10, 15, 20, 25, 30, 35, 40, 45 ve 50 saatlik zaman periyodlarındaki kümülatif anormal getirileri arasında istatistiksel olarak anlamlı bir fark olup olmadığını değerlendirmek için Eşleştirilmiş Örneklem T Testi ve Wilcoxon İşaretli Sıralar Testi uygulanmıştır. Sonuçlar, ilk meydana gelen depremin ele alınan tüm zaman aralıklarında taş toprak ve metal ana sektörü endekslerini olumlu, inşaat ve bayındırlık işleri endeksini ise olumsuz etkilediğini göstermektedir. İkinci olarak hem birinci hem de ikinci depremlerin etkileri Görünüşte İlişkisiz Regresyonlar (SUR) Modeli ile de analiz edilmiştir. SUR Modeli analizine göre, ilk depremin etkilerinin yönü ilk bulgularımızla tutarlıdır. Bu modele ait sonuçlar, ikinci depremin etkilerinin yönünün birinci deprem ile uyumlu olduğunu gösterirken, etkilerin büyüklüğünün ve eğiliminin zamanla değişmekte olduğunu ortaya koymaktadır. Bulguların, sektörlerin deprem gibi felaketlere mikro düzeyde nasıl tepki verebileceğine ışık tutarak literatüre katkı sağlaması beklenmektedir.

Anahtar Kelimeler

deprem, borsa, taş toprak, metal ana, inşaat ve bayındırlık işleri

Vulnerability of Stock Markets to Earthquakes / The 7.7 and 7.6 Scale Earthquakes in Turkey in 2023: Sectors of Non-Metallic Mineral Products, Basic Metals and Construction & Infrastructure

Öz

This study aims to reveal whether stock markets are vulnerable to the effects of earthquakes and how they are affected by earthquakes. The 7.7 and 7.6 magnitude earthquakes in Turkey in February 2023 were explored. The impact of the earthquake on Borsa Istanbul was analyzed with the event study method, specific to non-metallic mineral products, basic metals, and construction & infrastructure sectors. Firstly, the paired-samples T-Test and the Wilcoxon Signed Ranks Test were used to evaluate whether there was a difference that was statistically significant in the cumulative abnormal returns (CARs) of the sector-specific indexes in the 5, 10, 15, 20, 25, 30, 35, 40, 45 and 50 hour time periods prior to and following the earthquake first occurred. The first results indicate that for all evaluated time intervals, the first occurred earthquake had positive effects on the CARs of the non-metallic mineral products and base metals sector indices and negative effects on the construction & infrastructure sector indices. Secondly, the effects of both the first and second earthquakes were analyzed with the Seemingly Unrelated Regressions (SUR) Model. According to the SUR Model analysis, the direction of the effects of the first earthquake is consistent with the first findings. In this model, the direction of the effects of the second earthquake is also compatible with the direction of the effects of the first earthquake, but the size and trend of the consequences of these earthquakes change over time. The findings are expected to contribute to the literature by shedding light on how sectors can respond to catastrophes like earthquakes occurrences at the micro level.

Anahtar Kelimeler

earthquake, stock market, non-metallic mineral products, basic metals, construction and infrastructure

Kaynakça

• AFAD (Disaster and Emergency Management Presidency Authority) (2023). 06 February 2023 Preliminary Assessment Report on Pazarcık (Kahramanmaraş) MW 7.7, Elbistan (Kahramanmaraş) MW 7.6 Earthquake. 9 Şubat 2023. https://deprem.afad.gov.tr/assets/pdf/Kahramanmaras%20%20Depremleri_%20On%20Degerlendirme%20Raporu.pdf. (Accessed: 19.02.2023).
• Akkuş, H. T. & Kışlalıoğlu, V. (2023). Investigating the Effects of Natural Disasters on the Stock Market on a Sectoral Basis: The Case of 2023 Kahramanmaraş/Türkiye Earthquake. International Journal of Business and Economic Studies, 5(2), 141-151. https://doi.org/10.54821/uiecd.1296562
• BIST (2023a). BIST Nonmetal Min. Product. https://borsaistanbul.com/en/index-detail/198/bist-nonmetal-min.-product. (Accessed: 19.02.2023).
• BIST (2023b). BIST Basic Metal. https://borsaistanbul.com/en/index-detail/180/bist-basic-metal. (Accessed: 19.02.2023).
• BIST (2023c). BIST Construction. https://borsaistanbul.com/en/index-detail/228/bist-construction. (Accessed: 19.02.2023).
• BIST (2023d). BIST 100. https://borsaistanbul.com/en/index-detail/1000/bist-100. (Accessed: 19.02.2023).
• Binder, J. J. (1985). On The Use Of The Multivariate Regression Model İn Event Studies. Journal of Accounting Research, 370-383. https://doi.org/10.2307/2490925.
• Cılek, A. and Ergün, M. (2023). The Impact Of The 2023 Kahramanmaraş Earthquake On BIST 100 And BIST Bank Index: Evıdence From Toda-Yamamoto Causalıty Test. PressAcademia Procedia, 17(1) , 92-100 . DOI: 10.17261/Pressacademia.2023.1760.
• Fama, E. F. (1970). Efficient Capital Markets: A Review Of Theory And Empirical Work. The Journal of Finance, 25(2), 383-417. https://doi.org/10.2307/2325486.
• Fama, E. F., Fisher, L., Jensen, M. C., and Roll, R. (1969). The Adjustment Of Stock Prices To New Information. International Economic Review, 10(1), 1-21. https://doi.org/10.2307/2525569.
• Ferreira S, Karali B. (2015) Do Earthquakes Shake Stock Markets? PLoS ONE, 10(7), e0133319. https://doi.org/10.1371/journal.pone.0133319.
• Gundes, S. (2011). Exploring The Dynamics Of The Turkish Construction Industry Using Input–Output Analysis. Construction Management And Economics, 29(1), 59-68. https://doi.org/10.1080/01446193.2010.529925.
• Hendricks, K. B., Jacobs, B. W., and Singhal, V. R. (2020). Stock Market Reaction To Supply Chain Disruptions From The 2011 Great East Japan Earthquake. Manufacturing & Service Operations Management, 22(4), 683-699. https://doi.org/10.1287/msom.2019.0777.
• İş Investment (2023). Indexes. https://www.isyatirim.com.tr/en-us/analysis/stocks/Pages/indexes.aspx. (Accessed: 19.02.2023)
• Kanat, E., & Tetik, N. (2023). 6 Şubat 2023 Kahramanmaraş Merkezli Depremlerin Bist (Borsa İstanbul) Üzerindeki Etkileri. Kahramanmaraş Merkezli Depremler Sonrası için Akademik Öneriler. Özgür Yayın Dağıtım. 113-122.
• Kırkağaç, M., and Karpuz, E. (2023). 2023 Kahramanmaraş Depremlerinin BIST Banka ve Sigorta Piyasasına Etkisi Üzerine Bir Olay Çalışması Analizi. Kırıkkale Üniversitesi Sosyal Bilimler Dergisi, 13(2), 387-401. Retrieved from https://dergipark.org.tr/en/pub/kusbd/issue/79236/1292504.
• MacKinlay, A. C. (1997). Event Studies In Economics And Finance. Journal Of Economic Literature, 35(1), 13-39. http://www.jstor.org/stable/2729691.
• Miatto, A., Schandl, H., Fishman, T., and Tanikawa, H. (2017). Global Patterns And Trends For Non-Metallic Minerals Used For Construction. Journal of Industrial Ecology, 21(4), 924-937. https://doi.org/10.1111/jiec.12471.
• Shan, L., and Gong, S. X. (2012). Investor Sentiment And Stock Returns: Wenchuan Earthquake. Finance Research Letters, 9(1), 36-47. https://doi.org/10.1016/j.frl.2011.07.002.
• Tao, Z. (2014). Short-Term Economic Effect Of The M7.0 Lushan Earthquake. Natural hazards, 70, 1247-1261. https://doi.org/10.1007/s11069-013-0871-z.
• Tao, Z., Han, L., Song, Y., and Bai, K. (2019). Stock Market Reactions To The 2011 Off The Pacific Coast of Tohoku Earthquake. International Journal of Disaster Risk Reduction, 41, 101294. https://doi.org/10.1016/j.ijdrr.2019.101294.
• Valizadeh, P., Karali, B., and Ferreira, S. (2017). Ripple Effects Of The 2011 Japan Earthquake On International Stock Markets. Research in International Business and Finance, 41, 556-576. https://doi.org/10.1016/j.ribaf.2017.05.002.
• Yılmaz, F. A., and Karan, M. B. (2015). Detection Of The Sectoral Effects Of The Greatest Earthquakes In Turkey On Borsa İstanbul/Türkiye'deki Büyük Depremlerin Borsa İstanbul'da Sektörel Etkisinin Test Edilmesi. Journal of Insurance Research/Sigorta Arastirmalari Dergisi, 11, 3-21.