MARMARA DEPREMİNİN FİNANSAL KURUMLARIN PİYASA DEĞERLERİ ÜZERİNDEKİ ETKİSİ

Öz

Bu çalışmanın amacı, “olay çalışması” yöntemi kullanmak suretiyle, İMKB’de işlem görmekte olan finansal sektör hisselerinin getirileri üzerinde, büyük Marmara depreminin yarattığı etkiyi ölçebilmektir. Sonuçlar, depremin bu hisseler üzerinde kayda değer büyüklükte negatif bir “artık getiri” oluşturduğuna işaret etmektedir. İnceleme kapsamındaki tüm sigorta sektörü hisselerinde yüksek anlamlılık düzeyinde negatif “artık getiriler” gözlenmiştir. Bankacılık sektörü hisselerinde de negatif “artık getiriler” gözlenmiş olmakla birlikte, anlamlılık düzeyleri daha düşük bulunmuştur

Anahtar Kelimeler

• Deprem , Olay çalışması , Sigorta şirketleri , Bankalar , Türkiye

THE EFFECT OF MARMARA EARTHQUAKE ON FINANCIAL INSTITUTIONS

Öz

This study aims to measure the effect of Marmara earthquake on the stock returns of the firms quoted in ISE and operating in financial sector by the use of conventional econometric methodology of event studies. The results indicate that the occurrence of the earthquake has produced negative and significant abnormal returns. For each of the insurance firms studied, largely significant abnormal returns are observed just after the earthquake. The response of banks is negative but the significance level is less important.

Anahtar Kelimeler

• Earthquake, Event Study, Insurance Firms, Banks, Turkey

Kaynakça

1. AHANORY, J., SWARY, I. (1980). Quarterly dividend and earnings announcements and stockholders’ returns: an empirical analysis. Journal of Finance, Vol. 35, No. 1, pp. 1-12.
2. ASQUITH, P., MULLINS, D.W.. (1983). The impact of initiating dividend payments on shareholders' wealth. Journal of Business, January, pp.77-96.
3. BARRETT, W., HEUSON, A.J., KOLB, R.W., SCHROPP, G.H. (1987). The adjustment of stock prices to completely unanticipated events. Financial Review, Vol. 22, pp. 345-354.
4. CAMPBELL, J.Y., LO, A.W., MACKINLAY, A.C. (1997). The econometrics of financial markets. New Jersey, Princeton University Press.
5. CARTER, D.A., SIMKINS, B.J. (2004). The market’s reaction to unexpected, catastrophic events: the case of airline stock returns and the September 11th attacks. The Quarterly Review of Economics and Finance, Vol. 44, No. 4, pp. 539-558.
6. CHAREST, G. (1978). Dividend information, stock returns and market efficiency. Journal of Financial Economics, Vol. 6, No. 2/3, pp.297-330.
7. FIELDS, A., JANJIGIAN, V. (1989). The effect of Chernobyl on electric-utility stock prices. Journal of Business Research, Vol. 18, pp.81-88.
8. HILL, J., SCHNEEWEIS, T. (1983). The effect of Three Mile Island on electric utility stock prices: a note. The Journal of Finance, Vol. 38, No. 4, pp.1285- 1292.

9. LAMB, R.P. (1995). An exposure-based analysis of property-liability insurer stock values around Hurricane Andrew. Journal of Risk and Insurance, Vol. 62, pp. 111-123.
10. LAMB, R.P. (1998). An examination of market efficiency around hurricanes. Financial Review, Vol. 33, pp. 163-172.
11. MACKINLAY, A.C. (1997). Event studies in economics and finance. Journal of Economic Literature, Vol. 35 No. 1, pp. 13-39.
12. ODABAŞI, A. (1998). Security returns’ reactions to earnings announcements: a case study on the Istanbul Stock Exchange. Boğaziçi Journal: Review of Social, Economic and Administrative Studies, Vol. 12, No. 2, pp.3-19.
13. SHELOR, R.M., ANDERSON, D.C., CROSS, M.L. (1990). The impact of the California earthquake on real estate firms’ stock value. The Journal of Real Estate Research, Vol. 5, No. 3, pp.335-340.
14. SHELOR, R.M., ANDERSON, D.C., CROSS, M.L. (1992). Gaining from loss: property-liability insurer stock values in the aftermath of the 1989 California earthquake. Journal of Risk and Insurance, Vol. 59, No. 3, pp.476-488.
15. YAMORI, N., KOBAYASHI, T. (1999). Is it true that insurers benefit from a catastrophic event? Market reactions to the Hanshin-Awaji earthquake. Pacific Basin Working Paper Series, No:PB99-04. Federal Reserve Bank of San Francisco.