Kredi Derecelendirmenin Borsa Endeksleri Üzerindeki Etkileri: T-BRICS Ülkeleri Üzerine Bir Araştırma

Year 2020, , 309 - 335, 24.08.2020

Musa Ovalı , Turan Kocabıyık , Umut Burak Geyikçi

https://doi.org/10.18657/yonveek.624355

Cited By: 2

Abstract

Bu çalışmanın amacı derecelendirme kuruluşları tarafından verilen ülke derecelendirme notlarının ülkelerin borsa endeksleri üzerindeki etkilerini ortaya koymaktır. Bu amaçla, S&P, Moody’s ve Fitch derecelendirme kuruluşları tarafından 2004-2019 yılları arasında T-BRICS ülkelerine verilen derecelendirme notlarının hisse senedi piyasaları üzerine etkileri olay çalışması yöntemiyle incelenmiştir. Anormal getirilerin varlığı, olayın etkilerini açık bir şekilde ortaya koyabilmek amacıyla ±15, ±10, ±5 ve ±1 günlük olay pencereleri dahilinde incelenmiştir. Analiz sonucunda bazı ülkelerin borsa endekslerinde negatif (pozitif) olayla aynı yönde negatif (pozitif) anormal getiriler tespit edilmiştir. Ek olarak bazı ülkelerin ise coğrafi konumları itibarıyla aynı olaylar karşısında farklı tepkiler verebildiği sonucuna ulaşılmıştır. Analiz sonucunda not duyurularının istatistiki olarak anlamlı kümülatif anormal getiri, ortalama anormal getiri ve kümülatif ortalama anormal getiriye yol açtığı tespit edilmiş, ilgili ülkelerdeki mevcut piyasaların yarı-etkin piyasa formunda etkin olmadığı sonucuna ulaşılmıştır.
Anahtar Kelimeler: Kredi Derecelendirme, Ülke Kredi Derecelendirme, T-BRICS, Olay Çalışması, Anormal Getiri, Kümülatif Anormal Getiri.
JEL Sınıflandırması: G14, G24, N20

Keywords

Ülke Kredi Derecelendirme, Olay Çalışması, Anormal Getiri

The Impacts Of Credit Ratings On Stock Exchanges: A Research On T-BRICS Countries

Abstract

The aim of this study is to reveal the effects of sovereign credit ratings given by the rating agencies on the stock exchanges of the countries. For this purpose, the effects of the ratings given by S&P, Moody’s and Fitch rating institutions for T-BRICS countries stock markets have been investigated by event study method between 2004-2019. The presence of abnormal returns have been examined within ± 15, ± 10, ± 5 and ± 1 day event windows in order to clearly demonstrate the effects of the event. As a result of the analysis, it has been found that negative (positive) event in the same direction of negative (positive) abnormal return in the stock exchanges of some countries. In addition, it has been concluded that some countries may react differently to the same events due to their geographical location. Finally it has been concluded that sovereign credit rating announcements caused statistically significant cumulative abnormal returns, average abnormal returns and cumulative average abnormal returns, consequently the current markets in the relevant countries were not semi-strong form efficiency.
Key Words: Credit Rating, Sovereign Credit Rating, T-BRICS, Event Study, Abnormal Return, Cumulative Abnormal Return.
JEL Classification: G14, G24, N20

References

• Alsakka, R., & Gwilym, O. a. (2012). Foreign exchange market reactions to sovereign credit news. Journal of International Money and Finance, 845-864. Ashley, J. W. (1962). Stock Prices and Changes in Earnings and Dividends: Some Empirical Results. Journal of Political Economy, 70(1), 82-85. Ball, R., & Brown, P. (1968). An Empirical Evaluation of Accounting Income Numbers. Journal Accounting Research, 6(2), 159-178. Barker, C. A. (1956). Effective Stock Splits. Harvard Business Review, 101-106. Barker, C. A. (1957). Stock Splits in a Bull Market. Harvard Business Review, 35(3), 72-79. Barker, C. A. (1958). Evaluation of Stock Dividends. Harvard Business Review, 36(4), 99-114. Bheenick, E. B. (2004). Rating timing differences between the two leading agencies: Standard and Poor's and Moody's. Emerging Markets Review, 5(3), 361-378. Binder, J. (1998). The Event Study Methodology Since 1969. Review of Quantitative Finance and Accounting, 11(2), 111-137. Brooks, R., Faff, R. W., Hillier, D., & Hillier, J. (2004). The national market impact of sovereign rating changes. Journal of Banking & Finance(28), 233-250. Brown, S. J., & Warner, J. B. (1985). Using Daily Stock Returns. Journal of Financial Economics, 3-31. Cartony, F. (1999). The Siskel and Ebert of financial markets: Two thumbs down for the credit rating agencies. Washington University Law Quarterly, 77, 619-712. Caselli, S., Gandolfi, G., & Soana, M. G. (2016). The Impact of Sovereign Rating News on European Banks. European Financial Management, 22(1), 142-167. http://www.cfr.org/united-states/credit-rating-controversy/p22328 Erişim Tarihi: 15.02.2019 Clay, J. D. (1933). Characteristics and Procedure of Common Stock Split-Ups. Harvard Business Review(11), 316-26. Committee on Banking, Housing, and Urban Affairs United States Senate. (2008, Nisan 22). Turmoil in U.S. Credıt Markets: The Role of Credit Rating Agencies. Washington. Correa, R., Lee, K. H., Sapriza, H., & Suarez, G. (2014). Sovereign credit risk, banks’ government support, and bank stock returns around the world. Journal of Money, Credit and Banking(46), 93-121. Coşkun, Y. (2018). Event Study Investigation: The Impact of Credit Rating on Index Returns. Journal of Current Researches on Business and Economics, 8(2), 31-52. Dickev, I. D., & Piotroski, J. D. (2002). The Long‐Run Stock Returns Following Bond Ratings Changes. The Journal of Finance(56), 173-203. Dyckman, T., Philbrick, D., & Stephan, J. (1984). A Comparison of Event Study Methodologies Using Daily Stock Returns: A Simulation Approach. Journal of Accounting Research, 22, 1-30. Ederington, L. H., Yawitz, J. B., & Roberts, B. E. (1987). The Informal Content of Bond Ratings. Journal of Financial Research, 10(3), 211-226. Eugene Fama vd. (1969). The Adjustment of Stock Prices to New Information. International Economic Review, 10(1), 1-21. https://eventstudytools.com/axc/upload Erişim Tarihi: 02.04.2019 Ferreira, M. A., & Gama, P. M. (2007). Does sovereign debt ratings news spill over to international stock markets? Journal of Banking & Finance, 3162-3182. Goh, C. J., & Louis, H. E. (1993). Is a Bond Rating Downgrade Bad News, Good News or No News for Stockholders. The Journal of Finance, 48(5), 2001-2008. Griffin, P. A., & Sanvicente, A. Z. (1982). Common Stock Returns and Rating Changes: A Methodological Comparison. The Journal of Finance, 31(1), 103-119. Hooper, V., Hume, T., & Kim, S.-J. (2008). Sovereign rating changes—Do they provide new information for stock markets? Economic Systems(32), 142-166. Hunt, J. P. (2009). Credit Rating Agencies and the Wordwide Credit Crisi: The Limits of reputation, the Insufficiency of Reform, and a Proposal for Improvement. Columbia Business Law Review, 1-74. https://www.investing.com Erişim Tarihi: 11.03.2019 Kaminsky, G., & Schmukler, S. L. (2002). Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns? World Bank Economic Review, 16(2), 171-195. Klimavičienė, A. (2011). Sovereign Credit Rating Announcements and Baltic Stock Markets. Organizations and Markets in Emerging Economies, 2(1(3)), 51-62. Kocabıyık, T., & Altunay, M. A. (2008). Artan Rekabet Ortamında KOBİ’lerin Sorunları ve Buna İlişkin Bir Araştırma. Marmara Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 25(2), 743-761. Kocabıyık, T. (2015). Borsalar Arasında Etkileşim: BRIC Ülkeleri ve Türkiye Üzerine Ampirik Bir Araştırma. Uluslararası Davraz Kongresi, 2975-2995. Koçyiğit, M., & Kılıç, A. (2008). Leasing Sektöründe KDV Oranı Değişikliğinin İMKB’de İşlem Gören Leasing Şirketlerinin Hisse Senedi Getirisine Etkisi. Muhasebe ve Finansman Dergisi(40), 165-174. Korkmaz, T., Yaman, S., & Metin, S. (2017). Ülke Kredi Notlarının Pay Getirileri Üzerindeki Etkileri: BİST 30 Endeksi Üzerinde Bir Event Study Analizi. Sosyal Bilimler Metinleri, 171-187. Kothari, S. P., & Warner, J. B. (2004). Econometrics of Event Studies. Hollanda: Handbook of Corporate Finance. Kräussl, R. (2000). Sovereign Credit Ratings and Their Impact on Recent Financial Crises. Frankfurt: Center For Financial Studies. Liu, P., & Thakor, A. V. (1984). Interest Yields, Credit Ratings, and Economic Characteristics of State Bonds: An Empirical Analysis: Note. Journal of Money, Credit and Banking, 344-351. Mackinlay, A. C. (1997). Event Studies in Economics and Finance. Journal of Economic Literature, 35, 13-39. Martell, R. (2005). The Effect of Sovereign Credit Rating Changes on Emerging Stock Markets. SSRN Electronic Journal. Moshirian, F., Ng, D., Wu, E. (2009). The value of stock analysts' recommendations: Evidence from emerging markets. International Review of Financial Analysis, 18(1):74-83 Myers, J. H., & Bakay, J. A. (1948). Influence of Stock Split-Ups on Market Price. Harvard Business Review, 251-255. Neuhierl, A., Scherbina, A., & Schiusene, B. (2013). Market Reaction to Corporate Press Releases. The Journal of Financial and Quantitative Analysis, 48(4), 1207-1240. Norden, L., & Weber, M. (2004). Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements. Journal of Banking & Finance(28), 2813-2843. https://www.nytimes.com Erişim Tarihi: 22.03.2019 Ovalı, S. (2014). Ülke Kredi Notu Değerlendirme Kriterleri Açısından Türkiye: AB ile Karşılaştırılmalı Analiz. Uluslararası yönetim İktisat ve İşletme Dergisi, 10(23), 53-80 Paterson, A., & Gauthier, D. (2013). Stock Market Impact of Sovereign Credit Rating Announcements: The Case of GIIPS and BRIC countries during the European Sovereign Debt Crisis of 2009-2013. Stockholm, İsveç. Pinches, G. E., & Singleton, J. C. (1978). The Adjustment of Stock Prices to Bond Rating Changes. The Journal of Finance, 29-44. Pirgaip, B. (2017). Derecelendirme Notu Değişikliklerinin Borsa İstanbul(BIST) Pay Piyasası'na Etkileri. Ege Akademik Bakış, 17(3), 351-368. Pukthuanthong-Le, K., Eayan, F. A., & Rose, L. C. (2007). Equity and debt market responses to sovereign credit ratings announcement. Global Fİnance Journal(18), 47-83. Reisen , H., & von Maltzan, J. (1998, March/April). Sovereign Credit Ratings, Emerging Market Risk and Financial Market Volatility. Intereconomics, 73-82. SEC. (2003). Report on the Role and Function of Credit Rating Agencies in the Operation of the Securities Markets. U.S Securities and Exchange Commision. Sorokina, N., Booth, D., & Thornton, J. (2013). Robust methods in event studies: empirical evidence and theoretical implications. Journal of Data Science, 575-606. SPK. (2017, 07 12). Sermaye Piyasasında Derecelendirme Faaliyeti ve Derecelendirme Kuruluşlarına İlişkin Esaslar Tebliği. SPK. Subaşı, F. O. (2008). The Effect of Sovereign Rating Changes on Stock Returns and Exchange Rates. International Research Journal of Finance and Economics(20), 46-54. Sakarya, Ş. (2011). İMKB Kurumsal Yönetim Endeksi Kapsamındaki Şirketlerin Kurumsal Yönetim Derecelendirme Notu ve Hisse Senedi Getirileri Arasındaki İlişkinin Olay Çalışması(Event Study) Yöntemi ile Analizi. ZKÜ Sosyal Bilimler Dergisi, 7(13), 147-162. https://sputniknews.com Erişim Tarihi: 11.02.2019 http://www.tcmb.gov.tr/wps/wcm/connect/e2d6f0ab-0806-4cf4-9260-9589d71aec03/Bulten_Turkce18.pdf?MOD=AJPERES&CACHEID=ROOTWORKSPACE-e2d6f0ab-0806-4cf4-9260-9589d71aec03-m3fB9BJ Erişim Tarihi: 12.02.2019 https://www.theguardian.com Erişim Tarihi: 15.02.2019 http://www.tradingeconomics.com Erişim tarihi: 24.02.2019 Yıldırım, H. H., Yıldız, C., & Aydemir, Ö. (2018). Kredi Derecelendirme Kuruluşlarından S&P, Moody’s ve Fitch’in Türkiye için Yapmış Oldukları Not Açıklamalarının Hisse Senedi Endeksleri Üzerine Etkisi: Borsa İstanbul Örneği 2012-2016. Maliye ve Finans Yazıları, 9-30.