EXAMINING THE IMPACT OF COVID-19 PANDEMIC ON THE BIST SUSTAINABILITY INDEX

Öz

COVID-19, which first appeared in Wuhan, China, spread suddenly and rapidly. The declaration of COVID-19 as a pandemic has caused health and economic uncertainty worldwide. This uncertainty primarily reflected negatively on the stock markets. The aim of the study is to examine the impact of the COVID-19 pandemic on Borsa Istanbul sustainability index. For this aim, the event study method was used and the dates of the first confirmed case and death in Turkey were chosen as the event days. On both event days, abnormal returns and cumulative abnormal returns were evaluated in the study. According to the findings of the study, negative abnormal returns were observed on event days. However, the abnormal returns are not significant at the date of the first confirmed case. This result indicates that the response of the sustainability index was delayed when the first case was announced. Despite the sustainability index's negative returns, significant positive cumulative abnormal returns occurred in the event windows of the first confirmed case. Contrarily, after the first confirmed death, it was determined that the cumulative return differed negatively relative to the market. The first confirmed death generally had a negative impact on the sustainability index. The results show that the short-term effects of both event days on the sustainability index may differ.

Anahtar Kelimeler

• Socially Responsible Investments
• Event Study
• BIST Sustainability Index.

COVID-19 PANDEMİSİNİN BİST SÜRDÜRÜLEBİLİRLİK ENDEKSİ ÜZERİNDEKİ ETKİSİNİN İNCELENMESİ

Öz

İlk kez Çin'in Wuhan şehrinde ortaya çıkan COVID-19 ani ve hızlı bir şekilde yayılmıştır. COVID-19'un pandemi olarak ilan edilmesi dünya çapında hem sağlık hem de ekonomi açısından belirsizliğe yol açmıştır. Bu belirsizlik özellikle borsalara olumsuz yönde yansımıştır. Çalışmanın amacı, COVID-19 pandemisinin Borsa İstanbul sürdürülebilirlik endeksi üzerindeki etkisini incelemektir. Bu amaç doğrultusunda olay çalışması yöntemi kullanılarak Türkiye'de ilk vakanın onaylandığı ve ilk ölümün onaylandığı tarihler olay günleri olarak seçilmiştir. Çalışmada her iki olay günündeki anormal getiriler ve kümülatif anormal getiriler belirlenerek değerlendirilmiştir. Çalışmanın bulgularına göre, olay günlerinde negatif anormal getiriler gözlemlenmiştir. Ancak ilk vakanın onaylandığı tarihteki anormal getiriler anlamlı değildir. Bu sonuç, ilk vaka açıklandığında sürdürülebilirlik endeksinin tepkisinin geciktiğini göstermektedir. Sürdürülebilirlik endeksinin negatif getirilerine rağmen, onaylanmış ilk vakanın olay pencerelerinde anlamlı pozitif kümülatif anormal getiriler meydana gelmiştir. Ancak, ilk ölümün açıklanmasından sonra, kümülatif getirinin piyasaya göre negatif yönde farklılaştığı belirlenmiştir. Sürdürülebilirlik endeksi ilk ölümün açıklanmasından sonra olumsuz yönde bir duyarlılık göstermiştir. Sonuçlar, her iki olay gününün sürdürülebilirlik endeksi üzerindeki kısa vadeli etkilerinin farklı olabileceğini göstermektedir.

Anahtar Kelimeler

• Sosyal Sorumlu Yatırımlar
• Olay Çalışması
• BİST Sürdürülebilirlik Endeksi

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