ŞİRKETLERE ÖZGÜ HABERLERİN HİSSE PERFORMANSINA ETKİSİ: BİST-30 ŞİRKETLERİ ÖRNEĞİ

Yıl 2016, Sayı: 16, 113 - 138, 16.12.2015

Kemal Eyüboğlu Halil Bulut

https://doi.org/10.18092/ijeas.96170

Cited By: 7

Öz

Bu çalışmanın amacı Ocak 2003-Aralık 2012 dönemi için BİST-30’da işlem gören şirketlerce duyurulan haberlerin hisse performansına etkisini araştırmaktır. Bu doğrultuda şirketlerce duyurulan haberler, kurumsal yönetime ilişkin duyurular, finansal duyurular, hukuki duyurular, operasyonel duyurular ve yeniden yapılanmaya ilişkin duyurular olmak üzere 5 ana başlık altında sınıflandırılmıştır. Çalışmanın veri seti ise BİST-30’da işlem gören şirketler tarafından duyurulan 2143 haberi kapsamaktadır. Verilerin analizinde ise olay çalışması (event study) yönteminden yararlanılmıştır. Yapılan hesaplamalar, ortalama aşırı getiriler (ARR) açısından olay günü yatırımcıların en çok operasyonel, finansal ve yeniden yapılanmaya ilişkin haberlere karşı duyarlı olduğunu ortaya koymuştur. Ayrıca olay öncesi ve sonrası ortaya çıkan istatistiksel açıdan anlamlı ortalama kümülatif aşırı getiriler (ACAR) Borsa İstanbul’un yarı kuvvetli formda etkin olmadığını göstermiştir.

Anahtar Kelimeler: Aşırı Getiri, Borsa İstanbul, Olay Çalışması

JEL Sınıflandırması: G14, G34

 

THE EFFECT OF FIRM-SPECIFIC NEWS TO STOCK PERFORMANCE: CASE OF BIST-30 COMPANIES

ABSTRACT

The purpose of this study is to analyze whether the news provides an opportunity to obtain abnormal returns, which news are announced by companies traded in BIST-30 during January 2003 to December 2012. The firm-specific news are classified on 5 main topics which are corporate governance related announcements, financial announcements, legal announcements, operational announcements and restructuring related announcements. The data covers 2143 news announced by BIST-30 companies. For data analysis event study is used. As a result, it is determined investors mostly react to announcements about operational, financial and restructuring news in terms of the average abnormal returns (ARR) at the day of event respectively. Result shows that Borsa Istanbul is not effective at semi-strongly form within the scope of efficient market hypothesis.

Keywords: Abnormal Return, Borsa Istanbul, Event Study

JEL Classification: G14, G34

Anahtar Kelimeler

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