TESTING NEWS EFFECT IN THE COVID-19 PROCESS WITH OVERREACTION HYPOTHESIS ON BIST30 INDEX

Yıl 2022, , 66 - 84, 29.05.2022

İlknur Ülkü Armağan , Murat Ali Dulupçu

https://doi.org/10.20875/makusobed.1057500

Öz

Many positive or negative news are announced by the authorities regarding the COVID-19 pandemic process. These news, depending on the degree and duration of their impact on financial investors, cause price anomalies, especially in stock markets, which are the main indicators of national economies. In the study, the effect of five selected news, announced by the authorities regarding the COVID-19 pandemic in Turkey and around the world, between December 2019 and December 2020, is tested on the Borsa Istanbul (BIST30) Index stocks with the Overreaction Hypothesis with the event analysis approach. As a result of the analysis, it has been determined that BIST30 Index stock investors react negative news more than positive news, and also domestic news causes more overreaction anomalies than global news.

Anahtar Kelimeler

Overreaction Hypothesis, Event Analysis, BIST30, Covid-19, Pandemic

COVID-19 SÜRECİNDE HABER ETKİSİNİN BIST30 ENDEKSİ ÜZERİNDE AŞIRI REAKSİYON HİPOTEZİYLE TEST EDİLMESİ

Öz

Tüm dünyayı olumsuz şekilde etkileyen ve etkisi halen devam eden COVID-19 pandemi süreci ile ilgili yetkililer tarafından birçok olumlu ya da olumsuz haber açıklanmaktadır. Bu haberler de finansal yatırımcılar üzerindeki etki derecesi ve süresine göre özelikle ülke ekonomilerinin başlıca göstergelerinden olan menkul kıymet borsalarında farklı reaksiyonlara, fiyat anomalilerine sebep olmaktadır. Çalışmada Aralık 2019 ve Aralık 2020 tarihleri arasında Türkiye’de ve dünyada özellikle COVID-19 pandemisi ve gelişimiyle ilgili yetkililer tarafından açıklanan, seçilen beş haberin etkisi Olay Analizi Yaklaşımıyla Aşırı Reaksiyon Hipotezi ile Borsa Istanbul (BIST30) Endeksi pay senetleri üzerinde test edilmektedir. Yapılan analiz sonucunda, BIST30 Endeksi (XU030) pay senedi yatırımcılarının yaşanan süreçteki olumsuz haberlere olumlu haberlerden daha fazla reaksiyon verdiği, ayrıca yurtiçi haberlerin global haberlere göre daha çok aşırı reaksiyon anomalisine neden olduğu tespit edilmektedir.

Anahtar Kelimeler

Aşırı Reaksiyon Hipotezi, Fiyat Anomalileri, Olay Analizi, BIST30, Covid-19, Pandemi

Kaynakça

• Al-Awadhi, A.M., Al-Saifi, K., Al-Awadhi, A. and Alhamadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, (27), 1-5. https://doi.org/10.1016/j.jbef.2020.100326
• Ali, M., Alam, N. and Rizvi, S.A.R. (2020). Coronavirus (COVID-19) an epidemic or pandemic for financial markets. Journal of Behavioral and Experimental Finance, (27), 1–6. https://doi.org/10.1016/j.jbef.2020.100341
• Ball, R. and Brown, P. (1968). An empirical evaluation of accounting income numbers. Journal of Accounting Research, Autumn, 6(2), 159-178. https://doi.org/10.2307/2490232
• Barberis, N., Shleifer, A. and Vishny, R. (1998), A model of investor sentiment. Journal of Financial Economics, 49(3), 307–343. http://dx.doi.org/10.1016/S0304-405X(98)00027-0
• Blancard, G.C. and Tatu, D. (2012). Stock market reaction to layoff announcements: European evidence (2002-2010), 21-22.
• Borsa İstanbul (BIST). (30 Eylül 2021). Pay piyasası verileri. https://datastore.borsaistanbul.com
• Bowman, R. G. and Iverson, D. (1998). Short-run overreaction in the New Zealand stock market. Pacific-Basin Finance Journal, 6(5), 475–491. https://doi.org/10.1016/S0927-538X(98)00021-3
• Brooks, R. M., Patel, A. and Su, T. (2003). How the equity market responds to unanticipated events. Journal of Business, 76(1), 109-133. https://doi.org/10.1086/344115
• Brown, S.J. and Wagner, J.B. (1980). Measuring security price performance. Journal of Financial Economics, Volume 8(3), 205-258. https://doi.org/10.1016/0304-405X(80)90002-1
• Brown, S. J. and Warner, J.B. (1985). Using daily stock returns: The case of event studies of event-induced variance. Journal of Financial Economics, 14(1), 3-31. https://doi.org/10.1016/0304-405X(85)90042-X
• Brown, K. C. and Harlow, W. V. (1988), Market overreaction: Magnitude and intensity. Journal of Portfolio Management, 14(2), 6-13. https://doi.org/10.3905/jpm.1988.409137
• Daniel, K., Hirshleifer, D. and Subrahmanyam, A. (1998), Investor psychology and security market under and overreactions. The Journal of Finance, 53(6), 1839-1885. https://doi.org/10.1111/0022-1082.00077
• Debondt, W.F.M. and Thaler, R. (1985). Does stock market overreact? The Journal of Finance, 40(3), 793-805. https://doi.org/10.1111/j.1540-6261.1985.tb05004.x
• De Bondt, F.M. and Thaler R. (1987). Further evidence on investor overreaction and stock market seasonality. Journal of Finance, 42(3), 557-581. https://doi.org/10.1111/j.1540-6261.1987.tb04569.x
• Dreman, D. (1982). The new contrarian investment strategy. Random House Publishment. Erişim tarihi: 11 Ocak 2022. https://www.amazon.com/New-Contrarian-Investment-Strategy/dp/0394523644
• Cox, D.R. and Peterson, D.R. (1994). Stock returns following large one-day declines: Evidence on short-term reversals and longer-term performance. Journal of Finance, 49(1), 255-267. https://doi.org/10.1111/j.1540-6261.1994.tb04428.x
• Edwards, W. (1968). Conservatism in human information processing, Book; Judgment under uncertainty heuristics and biases, Chapter-25. Cambridge University Press, 2013, 359-369. https://doi.org/10.1017/CBO9780511809477.026
• Eizentas V., Krusinskas, R. and Stankeviciene, J. (2012). Impact of public information signals on share prices: Evidence from Lithuania. Economics and Management, 17(3), 879-888. https://doi.org/10.5755/j01.em.17.3.2098
• Fama, E.F, Fisher, L., Jensen, M.C. and Roll, R. (1969). The adjustment of stock prices to new information. International Economic Review, 10(1), 1-21. http://dx.doi.org/10.2139/ssrn.321524
• Fama, E.F. (1970). Efficient capital markets: a review of theory and empirical work. Journal of Finance, 25(2), 383–417. https://doi.org/10.2307/2325486
• Fama, E.F. (1991). Efficient capital markets: II. The Journal of Finance, 46(5), 1575–1617. https://doi.org/10.2307/2328565
• Farag, H. and Cressy, R.C. (2010). Do unobservable factors explain the disposition effect in emerging stock markets. Applied Financial Economics August, 20(15), 1173-1183. https://doi.org/10.1080/09603101003781463
• Fernande-Perez, A., Gilbert, A., İndriawan, I. and Nguyen, N.H. (2021). COVID-19 pandemic and stock market response: A culture effect, Journal of Behavioral and Experimental Finance, 29. https://doi.org/10.1016/j.jbef.2020.100454
• Gormsen, N.J. and Koijen, R.S.J. (2020). Coronavirus: Impact on stock prices and growth expectations, The Review of Asset Pricing Studies, 10(4), 574–597. https://doi.org/10.1093/rapstu/raaa013
• Griffen, D. and Tversky, A. (1992). The weighing of evidence and the determinants of confidence, Cognitive Psychology, 24(3), 411-435. https://doi.org/10.1016/0010-0285(92)90013-R
• Grofi-Klufiman, A. and Nikolaus, H. (2011). When machines read the news: Using automated text analysis to quantify high frequency news-implied market reactions. Journal of Empirical Finance, 18(2), 321-340. https://doi.org/10.1016/j.jempfin.2010.11.009
• Gutierrez Jr., R. C. and Kelley, E.K. (2005). Evidence to the contrary: Extreme weekly returns are not overreactions. Thesis.
• Howe, John S. (1986). Evidence on stock market overreaction, Financial Analysts Journal, 42(4), 74-77. Kamuyu Aydınlatma Platformu (KAP). (30 Eylül 2021). BIST Şirketleri, Endeksler, Erişim Tarihi: 11 Ocak 2022. https://www.kap.org.tr/tr/Endeksler
• Klößner, S., Becker, M. and Friedmann, R. (2012). Modeling and measuring intraday overreaction of stock prices, Journal of Banking & Finance, 36(4), 1152-1163.
• Lasfer, M. A., Melnik, A. and Thomas, D. C. (2003). Short-term reaction of stock markets in stressful circumstances, Journal of Banking and Finance, 27(10), 1959-1977. https://doi.org/10.1016/S0378-4266(02)00313-8
• Lehmann, B. N. (1990). Fads, martingales, and market efficiency. Quarterly Journal of Economica, 105(1), 1-28. https://doi.org/10.2307/2937816
• Liang, Y. and Mullineaux, D.J. (1994). Overreaction and reverse anticipation: Two related puzzles? Journal of Financial Research, 17(1), 31-43. https://doi.org/10.1111/j.1475-6803.1994.tb00172.x
• Lintner, J. (1965). The valuation of risk assets and the selection of risky investment in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(1), 13-37. https://doi.org/10.2307/1926735
• Maneenop, S. and Kotcharin, S. (2020). The impacts of COVID-19 on the global airline industry: An event study approach. Journal of Air Transport Management, 89(2). https://doi.org/10.1016/j.jairtraman.2020.101920
• Mun, J., Vasconcellos, G. M. and Kish, R. (1999). Tests of the contrarian investment strategy evidence from the French and German stock markets. International Review of Financial Analysis, 8(3), 215-234. https://doi.org/10.1016/S1057-5219(99)00016-2
• Musnadi, S., Faisal, M. and Majid, S., (2018). Overreaction and underreaction anomalies in the Indonesian stock market: A sectoral analysis. International Journal of Ethics and Systems, 34(4), 2514-9369. https://doi.org/10.1108/IJOES-12-2017-0235
• Ramelli, S. and Wagner, A.F. (2020). Feverish stock price reactions to COVID-19. The Review of Corporate Finance Studies, 9(3), 622–655. http://dx.doi.org/10.2139/ssrn.3550274
• Saens, R. and Sandoval, E. (2005). Measuring security price performance using Chilean daily stock returns: The event study method. Cuadernos de Economía, 42(126), 307-328.
• Sharpe, W.F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance, 19(3), 425-442. https://doi.org/10.1111/j.1540-6261.1964.tb02865.x
• Sprenger, O.T. and Welpe, I.M. (2011). News or noise? The stock market reaction to different types of company-specific news events, January. SSRN Electronic Journal. http://dx.doi.org/10.2139/ssrn.1734632
• Storkenmaier, A., Wagener, M. and Weinhardt, C. (2012). Public information in fragmented markets. Journal of Financial Markets and Portfolio Management, 26(2), 179–215. https://doi.org/10.1007/s11408-012-0185-2
• Tuominen, T. (2005). Corporate layoff announcements and shareholder value: Empirical evidence from Finland, Department of Business Administration. [Yayımlanmamış Yüksek Lisans Tezi]. Lappeenranta University of Technology.
• Tversky, A. and Kahneman, D. (1974). Judgment under uncertainty: Heuristics and biases. Science, New Series, 185(4157), 1124-1131. https://doi.org/10.1126/science.185.4157.1124
• Woolridge, R. J. (1988). Competitive decline and corporate restructurings: Is a myopic stock market to blame?”. Journal of Applied Corporate Finance, 1(1), 26-36. https://doi.org/10.1111/j.1745-6622.1988.tb00155.x
• Worrel, D.L., Davidson, W.N. and Sharma, V.M. (1991). Layoff announcements and stockholder wealth. The Academy of Management Journal, September, 34(3), 662-678. https://doi.org/10.5465/256410
• Vardar, G. and Okan, B. (2008). Short term overreaction effect: Evidence on the Turkish Stock Market. International Conference on Emerging Economic Issues in a Globalizing World, 155-165.