The Reaction of BIST 100 to the Russian Invasion of Ukraine: An Econometric Analysis

Öz

Financial and political crises, social and political events, epidemics and wars in one part of the world affect all sectors. While global economies are trying to heal the wounds of the Covid 19 epidemic, they have entered a new uncertainty with the Russia-Ukraine war. The war between Russia and Ukraine, which started on February 24, 2022, has different effects on the world economy and financial markets.With this war, oil, energy, food and commodity markets all over the world were adversely affected. Therefore, the expected recovery in the global economy after the Covid 19 epidemic was delayed With the war, the current uncertainty in the economies of the world has deepened. Both the parties to the war and the non-parties are affected by this environment of uncertainty. The Russia-Ukraine war has imposed an economic cost on all countries. In addition, as the war continues in all financial markets, a risk environment has emerged with uncertainty. This study aims to quantify how the ongoing conflict between Russia and Ukraine has affected the BIST 100 index. In this study, it was attempted to establish the changes in the BIST 100 Index between 05.08.2021 and 05.09.2022, which covered the time before and after the start of the Russia-Ukraine war on February 24, 2022.Data from investing.com were analyzed in R program in version 4.2.0 "Vigorous Calisthenics". According to the study's findings, some effects of the war on BIST 100 emerged during the period taken into account in the structural break analysis. Key Words: Russia, Ukraine, Occupation, BIST 100, ARIMA JEL Classification: G

Anahtar Kelimeler

• Rusya
• Ukrayna
• İşgal
• Bist 100
• ARIMA

BIST 100'ün Rusya'nın Ukrayna İşgaline Tepkisi: Ekonometrik Bir Analiz

Öz

Dünyanın herhangi bir yerinde yaşanan finansal ve siyasi krizler, sosyal ve politik olaylar, salgın hastalıklar ve savaşlar, ülkelerdeki tüm sektörleri etkilemektedir. Global ekonomiler, Covid 19 salgınının oluşturduğu yaraları sarmaya çalışırken, Rusya-Ukrayna savaşıyla birlikte yeni bir belirsizlik ortamının içerisine girmiştir. Rusya’nın Ukrayna’yı 24 Şubat 2022 tarihinde işgaliyle başlayan savaşın, dünya ekonomisi ve finansal piyasalar üzerinde pek çok etkisi bulunmaktadır. Bu savaşla birlikte tüm dünyada petrol, enerji, gıda ve emtia piyasaları olumsuz etkilenmiştir. Dolayısıyla Covid 19 salgını sonrası küresel olarak ekonomilerde beklenen toparlanma gecikmiştir. Savaşla beraber tüm dünyada ekonomilerinde mevcut belirsizlik ortamı daha da derinleşmiştir. Bu belirsizlik ortamından, savaşa taraf olanlarla beraber taraf olmayanlar da etkilenmektedir. Rusya-Ukrayna savaşı, tüm ülkelere ekonomik bir maliyet yüklemiştir. Ayrıca dünyadaki tüm finansal piyasalarda savaşın devam etmesi nedeniyle belirsizlikle beraber risk ortamıda oluşmuştur. Bu çerçevede, bu çalışma ile Rusya ve Ukrayna arasında devam eden savaşa, BIST 100 endeksinin verdiği tepki ölçülmeye çalışılmıştır. Bu çalışmada Rusya’nın Ukrayna'yı işgal etmeye başladığı 24 Şubat 2022 tarihinin öncesi ve sonrası dönemleri kapsayan, 05.08.2021-05.09.2022 tarihleri arasında, BIST 100 Endeksinin değişimleri tespit edilmeye çalışılmıştır. Çalışmada investing.com adresinden elde edilen verilerin analizi, R programında 4.2.0 "Vigorous Calisthenics" versiyonunda yapılmıştır. Çalışma sonuçlarına göre yapısal kırılma analizinde dikkate alınan dönem içerisinde savaşın BIST 100 üzerinde farklı etkilerinin olduğu ortaya konulmuştur. Anahtar Kelimeler: Rusya, Ukrayna, İşgal, BIST 100, ARIMA JEL Sınıflandırması: G1

Anahtar Kelimeler

• Rusya
• Ukrayna
• İşgal
• Bist 100
• ARIMA

Kaynakça

1. Abbassi, W., Kumari, V. and Pandey, D. K. (2022). What makes firms vulnerable to the Russia– Ukraine crisis?. The Journal of Risk Finance, (ahead-of-print). doi: 10.1108/JRF-05-2022- 0108.
2. Adekoya, O. B. , J. A.Oliyide, O. S.Yaya and M. A. SalehAl-Faryan (2022), Does Oil Connect Differently With Prominent Assets During War? Analysis of Intra-day Data During The Russia-Ukraine Saga. https://doi.org/10.1016/j.resourpol.2022.102728 , Resources Policiy, vol:77.
3. Ahmed S., M. M. Hasan and M. R. Kamal (2022), Russia‐Ukraine Crisis: The Effects On The European Stock Market, https://doi.org/10.1111/eufm.12386, European Financial Management.
4. Akhtar, S., Faff, R., Oliver, B., Subrahmanyam, A. (2011). The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns. Journal of Banking and Finance, 35, 1239-1249.
5. Bacık E., M. Özer ve S. Altınırmak (2017), Terörün Volatilitiye Etkisi: Türkiye BIST 100 Endeksinde Bir Uygulama, Optimum Ekonomi ve Yönetim Bilimleri Dergisi, 4(2), 55-75.
6. Bai, J. and Perron, P. (1998). Estimating and Testing Linear Models with Multiple Structural Changes. Econometrica, 66(1), 47–78.
7. Bakan, S. (2022), Savaş, dünya ekonomisi ve finansal piyasalar için de felaket mi?. International Journal of Economics, Politics, Humanities & Social Sciences, 5(2), 59-74.
8. Bolgün, E. (2022), “Rusya-Ukrayna Savaşının Dünya Ve Türkiye Ekonomilerine Etkileri”, Ülke Politikaları Vakfı, Haziran 2022 İkinci Yüzyıl Serisi-3, 51-63.

9. Boubaker, S., Goodell, J. W., Pandey, D. K. and Kumari, V. (2022). Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine. Finance Research Letters, 48, 102934. doi: 10.1016/j.frl.2022.102934.
10. Boungou Whelsy and Alhonita Yatié (2022), “The impact of the Ukraine-Russia war on world stock market returns”, Economics Letters,Volume 215, 110516.
11. Caldara, D., and Iacoviello, M. (2022). Measuring geopolitical risk. American Economic Review, 112 (4), 1194-1225.
12. Cheung, Y.W and Laı, K.S. (1995). Lag order and critical values of the augmented Dickey-Fuller Test. Journal of Bussiness & Economic Statistics. 13 (3). 277-280.
13. Choi, S. Y. (2022). Evidence From A Multiple And Partial Wavelet Analysis On The Impact Of Geopolitical Concerns On Stock Markets In North-East Asian Countries. Finance Research Letters, 46, 102465.
14. Choudhry, T. (2010). World War II events and the Dow Jones industrial index. Journal of Banking & Finance, 34(5), 1022-1031.
15. Deng, M. , Leippold, M., Wagner, A. F. and Wang, Q. (2022), Stock Prices and the Russia-Ukraine War: Sanctions, Energy and ESG. CEPR Discussion Paper No. DP17207, Available at SSRN: https://ssrn.com/abstract=4121382
16. Doğan, M. (2022), The Impact of The Russia-Ukraine War on Stock Returns. Sosyal Bilimler Araştırma Dergisi, 11 (1) , 1-9 . Retrieved from https://dergipark.org.tr/en/pub/ssrj/issue/68794/1083034
17. Dufour, J. M. (1980). Dummy Variables And Predictive Tests For Structural Change. Economics Letters. 6(3). 241-247.
18. FAO (2022), https://www.fao.org/turkiye/news/detail-news/tr/c/1475697 (Erişim Tarihi: 10.10.2022) Federle, J. and Meier, A. and Müller, G. J. and Sehn, V.(2022), Proximity to War: The Stock Market Response to the Russian Invasion of Ukraine. PR Discussion Paper No. DP17185, Available at SSRN: https://ssrn.com/abstract=4060222 or http://dx.doi.org/10.2139/ssrn.4060222.
19. Frey B.and Kucher M., (2003). Wars and Markets: How Bond Values Reflect The Second World War. Economica, 68 (271), 317-333.
20. Gemici, E., ve Polat, M. (2018). MIST Borsalarında Rassal Yürüyüş Hipotezi. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 13(1), 129-142.
21. Goel S., Cagle S.and Shawky H. (2017). How Vulnerable Are International Financial Markets To Terrorism? An Empirical Study Based On Terrorist Incidents Worldwide. Journal of Financial Stability, 33, 120–132.
22. Götz, E. (2015), It's geopolitics, stupid: explaining Russia's Ukraine Policy, Global Affairs, http://www.tandfonline.com/doi/full/10.1080/23340460.2015.960184.
23. Hudson R. and Urquhart A., 2015. War and stock markets: The effect of World War Two on the British Stock Market. International Review of Financial Analysis, 40, 166-177.
24. Kočenda, E. and Alexandr, Č. (2014), Elements of Time Series Econometrics: An Applied Approach, Karolinum Press.
25. Money. (2022). The Russia-Ukraine Conflict Is Rattling the Stock Market. Here's What Investors Should Do Now, https://money.com/russia-ukraine-stock-market/ , (Erişim Tarihi: 02.08.2022)
26. Nivorozhkin E. and Giorgio C.-G. (2016), Russian Stock Market In The Aftermath Of The Ukrainian Crisis, Russian Journal of Economics 2, 23–40.
27. Pandey, D. K. ve Kumar, R. (2022). Russia-Ukraine war and the global tourism sector: A 13-day tale. Current Issues in Tourism, 1-9. doi: 10.1080/13683500.2022.2081789.
28. Reuters. (2022). Europe at war: Six charts to know in financial markets. https://www.reuters.com/markets/europe/europe-war-six-charts-know-financial-markets-2022-02-26/ , (Erişim Tarihi: 03.09.2022)
29. Richard C., Burdekin K. and Siklos P., (2022). Armageddon And The Stock Market: Us, Canadian And Mexican Market Responses To The 1962 Cuban Missile Crisis. Quarterly Review of Economics and Finance, 84, 112-117.
30. Rigobon, R. and Sack, B. (2005). The Effects Of War Risk On Us Financial Markets. Journal of Banking & Finance, 29(7), 1769-1789.
31. Salisu, A. A., Lasisi, L. ve Tchankam, J. P. (2022) Historical Geopolitical Risk And The Behaviour Of Stock Returnsin Advanced Economies, The European Journal of Finance, 28(9), 889–906.
32. Schneider, Gerald and Vera E Troeger (2006). “War and the world economy: Stock market reactions to international conflicts”. Journal of Conflict Resolution 50 (5), pp. 623– 645.
33. Tanrıöver B., ve Çöllü D.A. (2015). Türkiye’de Yatırımcıların Öngörü Performanslarının Rassal Yürüyüş Modeli Çerçevesinde Analizi. Business and Economics Research Journal, 6(2), 127- 139.
34. United Nations (2022). Global Impact of war in Ukraine on food, energy and finance systems, https://unsdg.un.org/resources/global-impact-war-ukraine-energy-crisis-brief-no3, (Erişim Tarihi: 13.10.2022).
35. Wang, Y., Elie B., Zeeshan F. and Yuhui D. (2022), Geopolitical risk and the systemic risk in the commodity markets under the war in Ukraine , https://doi.org/10.1016/j.frl.2022.103066, Finance Research Letters, Volume 49, 103066.
36. Yousaf I., Ritesh P. ve Yarovaya L. (2022), The Reaction Of G20+ Stock Markets To The Russia–Ukraine Conflict ‘‘Black-Swan’’ Event: Evidence From Event Study Approach, Journal of Behavioral and Experimental Finance, https://doi.org/10.1016/j.jbef.2022.100723