An Event Study Analysis on the Effect of Interest Rate Decisions of the Central Bank of the Republic of Turkey on the Share Earnings of Istanbul Stock Exchange, Holdings and Investment Companies
Abstract
The aim of this study is to measure the effect of the first interest rate increase decision of the Central Bank of the Republic of Turkey (CBRT) monetary policy committee dated June 22, 2023 on the share earnings of Istanbul Stock Exchange, Holding and Investment Companies regarding the monetary tightening process of increasing the policy rate, which is the one-week repo auction interest rate from 8.5 percent to 15 percent. In the study, the impact of the central bank monetary policy decision on share earnings on 49 companies within the scope of Istanbul Stock Exchange, Holding and Investment Companies was examined with the event study method and dependent sample t-test. In the study, abnormal and cumulative abnormal returns were calculated and within the scope of the determined event windows, share earnings before and after the event were examined, and it was determined that 49 holding and investment companies were positively affected by the monetary policy decision of the Central Bank of The Republic of Turkey dated June 22, 2023.23.
Keywords
Kaynakça
- Aktaş, Z., Alp, H., Gürkaynak, R., Kesriyeli, M., Orak, M. (2008). Türkiye’de para politikasının aktarımı: Para politikasının mali piyasalara etkisi. Türkiye Cumhuriyet Merkez Bankası Araştırma ve Para Politikası Genel Müdürlüğü Çalışma Tebliği, No:08/11.
- Armitage, S. (1995). Event study methods and evidence on their performance. Journal Of Economic Surveys, 9(1), 25–52.
- Bissoon, R., Seetanah, B., Bhattu-Babajee, R., Gopy-Ramdhany, N., Seetah, K. (2016). Monetary policy ımpact on stock return: Evidence from growing stock markets. Theoretical Economics Letters, 6, 1186-1195.
- Bredin, D., Hyde, S., Nitzsche, D., O’Reilly, G. (2009). European monetary policy surprises: the aggregate and sectoral stock market response. İnternational Journal of Finance and Economics, 14, 156-171.
- Bulut, M., Karasoy, H.G. (2016). Para politikası belirsizliği altında aktarım mekanizması: Türkiye örneği. TCMB ekonomi notları, 21, 1-13.
- Büker, S., Aşıkoğlu, R., Sevil, G. (2009). Finansal yönetim (5. Baskı). Ankara: Sözkesen Matbaacılık.
- Chulia, H., Martens, M., Dijk, D. V. (2010). Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations. Journal of Banking & Finance, 34, 834-839.
- Duran, M., Özlü, P., Ünalmış, D. (2010). TCMB faiz kararlarının hisse senedi piyasaları üzerine etkisi. Central Bank Review, 10(20), 23-32.
- Duran, M., Gürkaynak, R., Özlü, P., Ünalmış, D. (2010). TCMB faiz kararlarının piyasa faizleri ve hisse senedi piyasaları üzerine etkisi. TCMB Ekonomi Notları, 8, 1-9.
- Ehrmann, M., Fratzscher, M. (2004). Taking stock: monetary policy transmission to equity markets. European Central Bank, Working Paper Series, No:354.