KREDİ DERECELENDİRME KURULUŞLARININ VE EKONOMİ İLE İLGİLİ HABERLERİN HİSSE SENEDİ PİYASASINDA YARATTIĞI VOLATİLİTE

Year 2021, Volume: 2 Issue: 4, 878 - 894, 30.12.2021

Fatih Cingoz , Mustafa Nal

https://doi.org/10.52835/19maysbd.994159

Cited By: 1

Abstract

Çalışmada toplam 103 haber, kaynakları ve yatırımcılar üzerinde yaratacağı beklentiler dikkate alınarak gruplandırılmıştır. Bu haberlerin BİST100 ve BİST Banka endeksleri üzerinde yarattığı etkiler araştırılmıştır. Ocak 2018 ve Mart 2019 arasındaki tarihte ilgili endekslerin günlük kapanış verileri dikkate alınmıştır. Bulgular, bankacılık sektörünün hükümetin yaptığı açıklamalardan etkilenmediğini göstermektedir. Öte yandan, kredi derecelendirme kuruluşlarının açıklamalarının bilgilendirici bir değer taşıdığı ve oynaklıkta önemli rol oynadığı bulunmuştur. Ayrıca, ulusal piyasa için ekonomik göstergeler ile oynaklık arasındaki ilişki mevcuttur. Yatırımcıların Standard & Poor's ve Fitch'e ait duyurulara 2 gün öncesinden tepki verme eğiliminde oldukları gözlemlenmiştir.

Keywords

Kredi Derecelendirme Kuruluşu, Borsa, BİST100, Duyurular, Haberler.

News and Credit Rating Agency Related Volatility on Turkish Stock Market

Abstract

The study aims to identify volatility in the banking sector and general market related to some different types of announcements. Totally 103 announcements are clustered considering their sentiment and source. Daily closing values of banking and market indices, XBANK and BIST100, are included in the dataset which spans from the beginning of January 2018 to the end of March 2019. Findings indicate that the banking sector is not affected by the announcements released by the government. Announcements of credit rating agencies carry an informative value and play an important role in volatility. Furthermore, the relationship between economic indicators and volatility exists for the national market. As an interesting finding, investors tend to react 2 days before to the announcements belonging to Standard & Poor’s and Fitch.

Keywords

Credit Rating Agency, Stock Market, BIST100, Announcements, News.

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