Impacts of Credit Rating Changes on Borsa Istanbul (BIST) Equity Market

Öz

This study aims at analyzing the impacts of Turkey’s sovereign credit rating upgrades and downgrades made by Moody’s Investors Service (Moody’s), Standard and Poor’s (S&P) and Fitch Ratings (Fitch) in 1993-2016 period on Borsa Istanbul (BIST) Equity Market. Event study analysis results show that abnormal returns concur with the relevant rating decision both before and at the event date. However, the effects are reversed afterwards. Moreover, it is apparent that negative sided rating changes have more significance over abnormal returns when compared with positive sided ones

Anahtar Kelimeler

• Credit rating, sovereign credit ratings, event study

Derecelendirme Notu Değişikliklerinin Borsa İstanbul (BIST) Pay Piyasası’na Etkileri

Öz

Bu çalışmada, 1993-2016 yılları arasında Moody’s Investors Service (Moody’s), Standard and Poor’s (S&P) ve Fitch Ratings (Fitch) tarafından Türkiye için verilen ülke kredi derecelendirme notlarındaki olumlu ve olumsuz yöndeki değişikliklerin Borsa İstanbul (BIST) Pay Piyasası’ndaki etkileri olay analizi yöntemiyle incelenmektedir. İnceleme sonuçları değişiklik tarihinden önce ve değişiklik tarihinde anormal getirilerin derecelendirme kararına paralel yönde hareket ettiğini, daha sonraki dönemlerde ise getiri etkilerinin tam tersi bir seyir izlediğini göstermektedir. Ayrıca, olumsuz yöndeki derecelendirme değişikliklerinin etkilerinin olumlu yöndeki değişikliklere nazaran daha fazla olduğu anlaşılmaktadır

Anahtar Kelimeler

• Kredi derecelendirme, ülke kredi derecelendirme notları, olay analizi

Kaynakça

1. Afonso, A., Furceri, D., & Gomes, P. (2012). Sovereign credit ratings and financial markets linkages: application to European data. Journal of International
2. Money and Finance, 31(3), 606-638. Afonso, A., Gomes, P., & Rother, P. (2007). What “Hides”
3. Behind Sovereign Debt Ratings? . Frankfurt: European Central Bank. Brooks, R., Faff, R. W., Hillier, D., & Hillier, J. (2004). The national market impact of sovereign rating changes .
4. Journal of Banking & Finance , 28, 233-250. Cantor, R., & Packer, F. (1995, Haziran). Sovereign Credit
5. Ratings. Current Issues in Economics and Finance, 1(3), 6. Cantor, R., & Packer, F. (1996, Ekim). Determinants and Impact of Sovereign Credit Ratings . Federal Reserve
6. Bank of New York Economic Policy Review , 1-15. Correa, R., Lee, K.-H., Sapriza, H., & Suarez, G. (2014).
7. Sovereign credit risk, banks’ government support, and bank stock returns around the world. Journal of Money, Credit and Banking, 46, 93-121. Harvey, C. R., & Zhou, G. (1993). International asset pricing with alternative distributional specifications.
8. Journal of Empirical Finance, 1, 107-131. Heinrichs, M., & Stanoeva, I. (2013). Country Risk and Sovereign Risk - Building Clearer Borders. S&P Capital IQ.

9. Hooper, V., Hume, T., & Kim, S.-J. (2008, Haziran).
10. Sovereign rating changes—Do they provide new information for stock markets? Economic Systems, (2), 142-166. IMF. (2010). Global Financial Stability Report: Sovereigns,
11. Funding, and Systemic Liquidity. Washington DC: IMF. IOSCO. (2003). Report on the Activities of Credit Rating
12. Agencies. Madrid: IOSCO. Ismailescu, I., & Kazemi, H. B. (2010). The reaction of emerging market credit default swap spreads to sovereign credit rating changes . Journal of Banking & Finance, 34(12), 2861-2873.
13. Kabadayı, B. (2013). The Effects of Sovereign Ratings
14. Changes on Turkey’s Stock Market. Journal of Applied Finance & Banking, 3(6), 87-96. Kaminsky, G., & Schmukler, S. L. (2002). Emerging
15. Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns. The World Bank Economic Review, 16(2), 171-195. Karagöl, E. T., & Mıhçıokur, Ü. İ. (2012). Kredi
16. Derecelendirme Kuruluşları: Alternatif Arayışlar. Ankara: Siyaset, Ekonomi ve Toplum Araştırmaları Vakfı. Katz, J., Salinas, E., & Stephanou, C. (2009 йил Ekim).
17. Credit Rating Agencies: No Easy Regulatory Solutions. Washington DC: The World Bank Group. Kaya Öner, E., Kaya, B., & Yalçıner, K. (2015).
18. Reaction of Credit Default Swap Spreads to Rating Announcements: An Event Study for Turkey. Journal of Economics, Finance and Accounting , 2(4), 558-571. Li, H., Jeon, B. N., Cho, S.-Y., & Chiang, T. C. (2008). The impact of sovereign rating changes and financial contagion on stock market returns: Evidence from five Asian countries. Global Finance Journal, 19, 46-55.
19. Ligeti, I., & Szorfi, Z. (2016, Mart). Methodological issues of credit rating – Are sovereign credit rating actions reconstructible? Financial and Economic Review, 15(1), 7-32.
20. MOODY’S. (2016). Policy for Sovereign Ratings.
21. Moody’s Investors Service. OECD. (2015). Annual Survey of Investment Regulation of Pension Funds. Paris: OECD.
22. Özmen, E., & Doğanay, Ö. Y. (2015). Emerging Markets
23. Sovereign Bond Spreads, Credit Ratings and Global Financial Crisis. Ankara: Economic Research Center. Öztürk Subaşı, F. (2008). The Effect of Sovereign
24. Rating Changes on Stock Returns and Exchange Rates. International Research Journal of Finance and Economics, 20, 46-54. Parsley, D., & Gande, A. (2005). News Spillovers in the Sovereign Debt Market. Journal of Financial Economics, 75(3), 691-734.
25. Reisen, H., & von Maltzan, J. (1999). Boom and Bust and Sovereign Ratings. International Finance, 2(2), 293.
26. SEC. (2003). Report on the Role and Function of Credit
27. Rating Agencies in the Operation of the Securities Markets. Washington D.C.: U.S. Securities and Exchange Commission. SEC. (2016). Annual Report on Nationally Recognized
28. Statistical Rating Organizations. Washington DC: Securities and Exchange Commission. STATA. (2017, Mart 21). swilk — Shapiro–Wilk and Shapiro–Francia tests for normality. Stata.com.
29. UNCTAD. (2009). Compendium on Debt Sustainability and Development. Cenevre: United Nations
30. Conference on Trade and Development. Yıldırım, M., & Bayar, Y. (2014, Mart). Effects of
31. Sovereign Credit Rating Announcements on Stock Markets: Borsa Istanbul Case. International Research Journal of Finance and Economics(120), 75-84.