ANALYSIS OF THE EFFECT OF APPLICATION CHANGE IN REQUIRED EQUIPMENT RATIOS ON BIST BANK INDEX

Abstract

In this study, the effect of the Central Bank of the Republic of Turkey (CBRT) announcement numbered 2022-24 on 23.04.2022 and the application of required reserves to the active side of the required reserves, which were applied to the liabilities side of the banks' balance sheets, on the share prices of the banks in the BIST Bank Index were analyzed using the case study method. Average abnormal returns (AAR), t-test statistics and p-values were calculated to measure the reaction of share prices to the change in reserve requirement applications dated April 23, 2022. The result of the study shows that the announcement of the change in the reserve requirement application causes abnormal returns in BIST bank shares and the market is not efficient in semi-strong form.

Keywords

• Required Reserves
• BIST Bank Index
• Stock Prices
• Event Study

ZORUNLU KARŞILIK ORANLARINDAKİ UYGULAMA DEĞİŞİKLİĞİNİN BIST BANKA ENDEKSİ ÜZERİNDEKİ ETKİSİNİN ANALİZİ

Öz

Bu çalışmada Türkiye Cumhuriyet Merkez Bankası (TCMB)’ nın 23.04.2022 tarihinde yapılan 2022-24 sayılı duyurusu ile zorunlu karşılıkların bankaların bilançolarının pasif tarafına uygulanan zorunlu karşılıkların aktif tarafına da uygulanmaya başlanmasının BIST Banka Endeksinde yer alan bankaların pay fiyatlarına etkisi olay çalışması yöntemiyle analiz edilmiştir. Pay fiyatlarının 23 Nisan 2022 tarihli zorunlu karşılık uygulamalarında meydana gelen değişime tepkisini ölçmek için ortalama anormal getirileri (AAR), t-test istatistikler ve p-değerleri hesaplanmıştır. Çalışma sonucu zorunlu karşılık uygulamasında meydana gelen değişim duyurusunun BIST banka paylarında anormal getirilere neden olduğu ve piyasanın yarı güçlü formda etkin olmadığını göstermektedir.

Anahtar Kelimeler

• Zorunlu Karşılık
• BIST Banka Endeksi
• Pay Fiyatları
• Olay Çalışması

Kaynakça

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