İSTANBUL MENKUL KIYMETLER BORSASINDA PİYASA SÜRPRİZLERİNE YATIRIMCI TEPKİSİ

Yıl 2011, Cilt: 12 Sayı: 2, 213 - 225, 01.07.2011

Yaman Ömer Erzurumlu

Öz

Bu çalışma İstanbul Menkul Kıymetler Borsasına sürpriz bir bilgi gelişi karşısında yatırımcının tepkisini incelemektedir. IMKB100 endeksi için sonuçlar sürpriz bilgi gelişi karşısında yatırımcının davranışının Aşırı Tepki Hipotezi’ne uygun olduğunu göstermektedir. Bu durum özellikle negatif etkisi olan bilgi gelişi sonrası daha belirgindir. Daha likit ve pazar etkinliği fazla olan şirketler grubunu kapsayan IMKB30 endeksi aynı yapıyı göstermemektedir Çalışmanın bir sonucu; endeksteki aşırı düşmeler sonrası IMKB100 endeksine yatırım yapmanın anormal getiri sağlayabileceğidir. Sonuçlar Sermaye Piyasası Kurulu’nun likiditesi ve toplam piyasa değeri düşük olan hisselerin alım satımı için daha fazla bilgi verilmesini zorunlu kılan son değişikliklerini destekler niteliktedir

Anahtar Kelimeler

İstanbul Menkul Kıymetler Borsası, Pazar Etkinliği, Aşırı Tepki, Belirsizlik Hipotezi, Belirsizlik, Anormal Getiri

INVESTOR REACTION TO MARKET SURPRISES ON THE ISTANBUL STOCK EXCHANGE

Öz

This paper examines the reaction of investors to the arrival of unexpected information on the Istanbul Stock Exchange. The empirical results suggest that the investor reaction following unexpected news on the ISE100 is consistent with Overreaction Hypothesis especially after unfavorable market surprises. Interestingly such pattern does not exist for ISE30 index which includes more liquid and informationally efficient securities. A possible implication of this study for investors is that employing a semi contrarian investment strategy of buying losers in ISE100 may generate superior returns. Moreover, results are supportive of the last regulation change of Capital Market Board of Turkey which mandates more disclosure regarding the trading of less liquid stocks with lower market capitalization.

Anahtar Kelimeler

Istanbul Stock Exchange, Market Efficiency, Overreaction, Uncertain Information Hypothesis, Uncertainty, Abnormal Returns

Kaynakça

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