THE İMPACT OF SOME EXPECTED AND UNEXPECTED EVENTS ON MARKETS

Abstract

The aim of this study is to test the semi-strong form effectiveness of the companies in the Borsa Istanbul 30 (BIST 30) index against credit rating statements, political events, Central Bank policy rate decisions and terrorist incidents targeting civilians. For this purpose, the event study method was used. 120 days was chosen as the estimating window. The event window was selected as (-10, +5) for abnormal and cumulative abnormal returns. Three different event windows were preferred as (-1, +1), (-5, +5) and (-10, +1) for average abnormal and cumulative average abnormal returns to see the early, late and instant effects of the events. The significance of the anomalies was tested with parametric and non-parametric methods. As a result, it has been revealed that the companies included in the BIST 30 index are not effective in the semi strong form against credit rating statements, political events and policy rate changes, and they are close to effectiveness against terrorist incidents. It has been determined that the market collectively reacts to 55% of policy interest rate changes and political events, 41% of credit rating statements and 33% of terrorist incidents by making a comparison between the event categories. The resulting anomalies are explained by “Prospect Theory” for credit rating disclosures, “Fake Herd Behavior” for policy interest rate changes, “Uncertain Information Hypothesis” for political events and “learning effect” for terrorist events.