COVID-19 Pandemisine Karşı Pay Piyasa Tepkileri Üzerinde Mikro Faktörlerin Rolü: BİST Sınai Endeksinden Bulgular

Öz

Bu çalışma, BIST Sınai endeksi payları örnekleminde pay getirilerinin Dünya Sağlık Örgütü (DSÖ) tarafından COVID-19’un pandemi olarak ilan edilmesine karşı nasıl tepki verdiklerini ve mikro faktörlerin pay piyasa tepkileri üzerinde nasıl rol oynadığını incelemektedir. Pay piyasa tepkilerinin ölçülmesinde olay analizi yöntemiyle hesaplanan anormal getiriler kullanılmıştır. Olay analizi sonuçları COVID-19’un pandemi olarak ilan edilmesinin negatif ve anlamlı anormal getirilere yol açtığını göstermiştir. Tüm değişkenlere göre sıralı portföyler negatif anormal getirilere sahiplerdir. Ayrıca bağımsız örneklem t-testi sonuçları daha küçük, daha düşük kurumsal yatırımcı sahipliği oranına, daha düşük nakit oranına ve daha düşük aktif karlılığa sahip firmaların paylarının ve daha yüksek kendine özgü oynaklığa sahip payların COVID-19 pandemisi karşısında anlamlı şekilde daha düşük kümülatif anormal getirilere sahip olduklarını ortaya koymaktadır. Çok değişkenli regresyon bulguları, büyüklük, kurumsal yatırımcı oranı, nakit oranı ve aktif karlılık değişkenlerinin kümülatif anormal getirileri olumlu etkilediğini göstermektedir. Bu çalışma COVID-19’un pay anormal getirileri üzerindeki mikro heterojen etkilerine ilişkin değerli çıkarımlar sunmaktadır.

Anahtar Kelimeler

• COVID-19
• BIST Sınai Endeksi
• Olay Analizi
• Anormal Getiriler

The Role of Micro Factors in Stock Market Reactions to the COVID-19 Pandemic: Evidence from the BIST Industrials Index

Öz

This paper investigates how stock returns react to the declaration of COVID-19 as a pandemic by the World Health Organization (WHO) and how micro factors play a role in the stock market reactions in the sample of the BIST Industrials Index stocks. The abnormal returns calculated by the event study methodology are used to measure the stock market reactions. The event study results indicate that the declaration of COVID-19 as a pandemic led to significant negative abnormal returns. All variable-sorted portfolios have negative abnormal returns. In addition, the results of the independent sample t-test reveal that stocks of firms with smaller size, lower institutional shareholding ratio, lower cash ratio and lower return on assets, and stocks with higher idiosyncratic volatility have significantly lower cumulative abnormal returns in response to the COVID-19 pandemic. The multivariate regression results show that the variables of size, institutional shareholding ratio, cash ratio, and return on assets positively affect the cumulative abnormal returns. This study provides valuable insights into the micro-heterogeneous effects of the COVID- 19 on abnormal stock returns.

Anahtar Kelimeler

• COVID-19
• The BIST Industrials Index
• Event Study
• Abnormal Returns

Kaynakça

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