COVID-19 PANDEMİSİ SIRASINDA ETKİN PİYASA HİPOTEZİ: BRICS-T ÜLKELERİ

Yıl 2024, Cilt: 17 Sayı: 4, 1036 - 1049, 10.10.2024

Mutlu Başaran Öztürk , Mehmet Sinan Çelik , Gökçe Avbaz

https://doi.org/10.25287/ohuiibf.1542780

Öz

COVID-19’un finansal piyasalara etkisi, literatürde önemli bir araştırma konusu olmuştur. Özellikle 11 Mart 2020’de Dünya Sağlık Örgütü tarafından salgının, küresel bir pandemi olarak ilan edilmesi, yatırımcıların risk algısını değiştirmiş ve hisse senedi piyasalarında büyük dalgalanmalara yol açmıştır. Bu çalışmada, BRICS-T ülkelerinin (Brezilya, Rusya, Hindistan, Çin, Güney Afrika ve Türkiye) borsa endekslerinin pandeminin ilanına nasıl tepki verdiği, Olay çalışması (event study) yöntemi ile analiz edilmiştir. Olay penceresi -5 ile +5 gün olarak belirlenmiş ve tahmin penceresi ise olaydan önceki 90 gün olarak seçilmiştir. Normal ve anormal getirilerin karşılaştırılması yoluyla yapılan analiz sonucunda; Çin harici BRICS-T ülke borsalarının tamamının yarı-güçlü formda etkin olmadığı tespit edilmiştir. Ayrıca tüm borsalar için uygulanan bağımlı örneklem t-testi sonuçları, COVID-19 öncesi ve sonrası dönemde hesaplanan anormal getiriler arasındaki farkın, istatistiksel olarak anlamlı olduğunu göstermektedir. Bu bağlamda, COVID-19 pandemisinin, önceki salgınlardan farklı olarak finansal piyasalarda önemli dalgalanmalara yol açtığı sonucuna varılmıştır. Bu çalışma, pandeminin gelişmekte olan piyasalardaki etkilerini anlamak ve yatırımcı davranışlarını incelemek için önemli bir katkı sağlamaktadır.

Anahtar Kelimeler

Etkin piyasa hipotezi, Covid-19, BRICS ülkeleri, Olay Analizi

EFFICIENT MARKET HYPOTHESIS DURING COVID-19 PANDEMIC: BRICS-T COUNTRIES

Öz

The impact of COVID-19 on financial markets has become a significant topic of research in the literature. Particularly, the declaration of the outbreak as a global pandemic by the World Health Organization on March 11, 2020, altered investors' risk perceptions and led to major fluctuations in stock markets. In this study, the response of stock indices in BRICS-T countries (Brazil, Russia, India, China, South Africa, and Türkiye) to the pandemic declaration was analyzed using the Event Study method. The event window was set as -5 to +5 days, and the estimation window was selected as the 90 days preceding the event. As a result of the analysis based on the comparison of normal and abnormal returns, it was found that all BRICS-T stock markets, except China, were not semi-strong form efficient. In addition, the results of the paired sample t-test applied to all stock markets demonstrated that the difference between abnormal returns calculated before and after COVID-19 was statistically significant. In this context, it was concluded that, unlike previous outbreaks, the COVID-19 pandemic led to significant fluctuations in financial markets. This study provides an important contribution to understanding the effects of the pandemic on emerging markets and examining investor behavior.

Anahtar Kelimeler

The Efficient Market Hypothesis, Covid-19, BRICS countries, Event Analysis

Kaynakça

• Alam, M. N., Alam, M. S., & Chavali, K. (2020). Stock market response during COVID-19 lockdown period in India: An event study. The Journal of Asian Finance, Economics and Business, 7(7), 131-137.
• Avşarlıgil, N. (2020). COVID-19 salgının Bitcoin ve diğer finansal piyasalar ile ilişkisi üzerine bir inceleme. Alanya Akademik Bakış, 4(3), 665-682.
• Azzam, I., El-Masry, A. A., & Yamani, E. (2023). Foreign exchange market efficiency during the COVID-19 pandemic. International Review of Economics & Finance, 86, 717-730.
• Bogdan, D. I. M. A., Dima, Ş. M., & Roxana, I. O. A. N. (2021). Remarks on the behavior of financial market efficiency during the COVID-19 pandemic. The case of VIX. Finance Research Letters, 43, 101967.
• Brown, S. J., & Warner, J. B. (1980). Measuring Security Price Performance. Journal of Financial Economics, 8, 205-258.
• Brown, S. J., & Warner, J. B. (1985). Using daily stock returns: The case of event studies. Journal of financial economics, 14(1), 3-31.
• Choi, S. Y. (2021). Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic. Physica A: Statistical Mechanics and Its Applications, 574, 125988.
• Enow, S. T. (2021). The impact of COVID-19 on market efficiency: a comparative market analysis. Eurasian Journal of Economics and Finance, 9(4), 235-244.
• Ercan, S. (2021). Yeni endeks hesaplaması ilanının, endekse dâhil edilen firmaların hisse senedi getirilerine etkisi: BİST Banka Dışı Likit 10 endeksi örneği. Niğde Ömer Halisdemir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 3(1), 1-15.
• Eren, B. S., Goker, I. E. K., & Karaca, S. S. (2021). COVID-19 Pandemisinin finansal piyasalara etkisi: Gelişmiş ülkeler üzerine bir analiz. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 39(COVID 19 Özel Sayısı), 69-90.
• Fama, E. (1965a), “The Behavior of Stock Market Prices,” Journal of Business, 38, pp. 34–105. http://www.jstor.org/stable/2350752
• Fama, E. (1965b), “Random Walks in Stock Market Prices”, Financial Analysts Journal, 21,pp. 55–59. https://www.jstor.org/stable/4479810
• Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). The adjustment of stock prices to new information. International economic review, 10(1), 1-21.
• Fama, E. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance, 25, pp. 383–417. https://doi.org/10.2307/2325486
• Field, A. (2009). Discovering statistics using SPSS. London: SAGE Publication.
• Harabida, M., & Radi, B. (2020). The COVID-19 Pandemic and the Moroccan Financial Market: An Event Study. International Journal of Applied Economics, Finance and Accounting, 7(2).
• Horta, N., Dias, R., Heliodoro, P., Alexandre, P., & Chambino, M. Testing the Weak Form of Efficient Market Hypothesis in Period of the Global Pandemic of 2020 and the Russian Invasion in 2022: Empirical Evidence from XAU, XAG and XPT. Paper Presented at the 6th International Scientific Conference ITEMA 2022, University of Maribor, Slovenia. https://doi.org/10.31410/ITEMA.2022.203
• Iordache, A. (2024). Market Efficiency During the COVID-19 Pandemic. Some Insights Using Non-Parametric Tests. Eastern European Economics, 62(2), 136-164.
• Khan, A., Khan, M. Y., Khan, A. Q., Khan, M. J., & Rahman, Z. U. (2021). Testing the weak form of efficient market hypothesis for socially responsible and Shariah indexes in the USA. Journal of Islamic Accounting and Business Research, 12(5), 625-645.
• Kok, S. C., & Geetha, C. (2023). A Comparison of the Weak-Form Efficiency of the ASEAN Stock Markets Before and During the COVID-19 Pandemic. Malaysian Journal of Business and Economics (MJBE), 10(1), 1-7.
• Lee, C. C., Lee, J. D., & Lee, C. C. (2010). Stock prices and the efficient market hypothesis: Evidence from a panel stationary test with structural breaks. Japan and the world economy, 22(1), 49-58.
• Lo, Andrew W., The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective. Journal of Portfolio Management, Forthcoming, Available at SSRN: https://ssrn.com/abstract=602222
• MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of economic literature, 35(1), 13-39. Mazgit, İ. (2013). Endeks kapsamında olmanın hisse senedi getirilerine etkisi: BIST temettü 25 endeksi üzerine bir uygulama. Sosyoekonomi, 20(20).
• Okiki, V. G. (2022). Stock Market Efficiency in the Semi-strong Form: a Case Study of COVID-19 Announcements in the Nairobi Securities Exchange (Doctoral dissertation, University of Nairobi).
• Okorie, D. I., & Lin, B. (2021). Adaptive market hypothesis: The story of the stock markets and COVID-19 pandemic. The North American Journal of Economics and Finance, 57, 101397.
• Ozkan, O. (2021). Impact of COVID-19 on stock market efficiency: Evidence from developed countries. Research in international business and finance, 58, 101445.
• Pontoh, W., & Budiarso, N. S. (2022). Efficient market and the COVID-19 pandemic: Case of ASEAN-5. The Contrarian: Finance, Accounting and Business Research, 1(1), 23-29.
• Roberts, H. V. (1967), Statistical versus Clinical Prediction of the Stock Market, Unpublished Manuscript, 252. Center for Research in Security Prices, University of Chicago.
• Samuelson, P. A. (1965), Proof that Properly Anticipated Prices Fluctuate Randomly, Industrial Management Review, 6, pp. 41-49. https://doi.org/10.1142/9789814566926_0002
• Suyadal, M. (2021). COVID-19 pandemisinde piyasa etkinliği ve davranışsal finans teorilerinin geçerliliği: uluslararası piyasalarda bir uygulama. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (60), 519-546.
• Syarifudin, M. A. (2020). Stock Return Reaction to COVID-19 Pandemic: An Empirical Study (Bachelor's thesis). Nanjing Xiaozhuang University, School of Business, Nanjing, Jiangsu.
• Tursun, M. (2021). COVID-19 Sürecinde Kısmi ve Tam Kapanma Kararlarının Pay Senedi Getirilerine Etkisi: Borsa İstanbul’da Sektörel Bazlı Bir Analiz. Muhasebe Bilim Dünyası Dergisi, 24(COVID-19 Özel Sayısı), 211-229.
• Vasileiou, E. (2021). Efficient Markets Hypothesis in the time of COVID-19.Review of Economic Analysis, 13(1), 45-63.
• Virgilio, G.P. (2015). High-frequency trading and the efficient market hypothesis. The Business and Management Review, 6 (3).