MSCI Türkiye Endeksi Çerçevesinde Hisse Senetlerinin BIST Getiri Değişimine Etkisi

Yıl 2020, Cilt: 2 Sayı: 1, 42 - 54, 30.06.2020

Nurettin Ellialtioğlu Müge Gürgül Ahmet Çakmak

Öz

Bu çalışmada, 2014-2018 yılları arasında MSCI Türkiye Endeksi’ne dâhil edilen veya bu endeksten çıkarılan hisse senetlerinin Borsa İstanbul’daki getiri değişimi üzerindeki etkisi incelenmiştir. Kamuya açık şirketlere ilişkin bilgiler ile normal olmayan bir getiri elde edilmesinin mümkün olamayacağı etkin piyasalar hipotezinin savunusu olup, kurulan hipoteze göre, MSCI endeksine dâhil edilme veya endeksten çıkarılma ilanı sonucunda bu hisse senetlerinden anormal getiri elde edilmesinin mümkün olmayacağı ifade edilmektedir. Çalışmanın amacı, MSCI Türkiye Endeksi’ne belirlenen zaman aralığında dâhil edilen veya çıkarılan senetlere dair ilanların bu şirketlere ait hisse getiri oranlarını ne şekilde etkileyeceğinin Olay Çalışması (Event Study) metodu ile incelenmesidir. MSCI hisse senetleri üzerinde yapılan çalışma sonucunda, endekse dahil edilen veya çıkarılan hisse senetlerine ilişkin olarak anormal bir getiri elde edilmesinin mümkün olmadığı sonucuna varılmıştır.

Anahtar Kelimeler

MSCI Endeksi, BİST, Olay Çalışması, Fiyat Etkisi

The Effect of the Stocks on BIST Return Change in the Framework of MSCI Turkey Index

Öz

In this study, the effect on return changes of stocks in Turkey which are included or excluded from MSCI Turkey Index between the years 2014-2018 in Borsa Istanbul was investigated. Effective markets hypothesis is based on the argument that it is not feasible to obtain an abnormal return due to information on publicly quoted companies as per this argument it will not be possible to obtain abnormal return from these stocks as a result of the announcements about stocks of the MSCI Index. The aim of the study is to analyze how announcements on stock shares included or removed from MSCI Index in specific time intervals have an effect on stock return ratios of these companies based on Event Study method. As a result of the study, it is concluded that it is not feasible to obtain abnormal return pertaining to the stocks incorporated in or removed from the index.

Anahtar Kelimeler

MSCI Index, BIST, Event Study, Price Effect

Kaynakça

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