AVRUPA’DAKİ HAVA YOLU PAY SENETLERİNİN COVID-19 PANDEMİSİNE TEPKİSİ: OLAY ÇALIŞMASI METODOLOJİSİ

Year 2020, Volume: 19 Issue: 39, 1309 - 1326, 27.12.2020

Fatih Yiğit , İsmail Canöz

https://doi.org/10.46928/iticusbe.831057

Cited By: 8

Abstract

COVID-19 salgını tüm yaşamı, küresel ekonomiyi ve finans piyasalarını olumsuz etkiledi. Avrupa’da ve dünyanın birçok bölgesindeki çoğu işletmeyi olumsuz etkilediği gibi havayolu taşımacılığını da belirli bir süre durdurdu. Bu süreçte doğal olarak borsalarda aşırı kayıplar yaşandı. Bu durumdan en çok etkilenenler arasında havayolu pay senetleri de bulunuyordu. Bu açıdan bakıldığında, çalışma 14 Avrupa ülkesinin borsalarında işlem gören 38 havayolu hissesini “olay çalışması metodolojisi” ile analiz etmektedir. Temel amaç, bu ülkelerin borsalarında işlem gören havayolu hisse senetlerinin pandemiye tepkisini karşılaştırmak ve bunların istatistiksel olarak anlamlı kümülatif ortalama anormal getiri sağlayıp sağlamadığını belirlemektir. Buna göre olay pencereleri, olay çalışması kapsamında kısa ve uzun pencereler olarak belirlenmiştir. Bulgular, -50 +50 olay penceresinde tüm ülkelerdeki havayolu hisse senetleri için istatistiksel olarak anlamlı kümülatif ortalama anormal getirilerin gerçekleştiğini göstermektedir. Ayrıca, bu çalışmada olay tarihi olarak kabul edilen 11 Mart salgın duyurusunun etrafındaki kısa olay pencerelerinde, bazı ülkelerdeki havayolu pay senetleri pandemiye önemli ölçüde tepki verirken bazıları vermemektedir.

Keywords

COVID-19 Pandemisi, Olay Çalışması, Hava Yolu Pay Senetleri, Anormal Getiri

THE REACTION OF AIRLINE STOCKS IN EUROPE TO THE COVID-19 PANDEMIC: AN EVENT STUDY METHODOLOGY

Abstract

The COVID-19 pandemic has struck all life, global economy, and financial markets. It stopped airline transportation in Europe and many regions of the world for a certain period as well as affecting many businesses negatively. In this process, naturally, excessive losses occurred in stock markets. Airline stocks were among the most affected by this situation. From this point of view, this study analyzes 38 airline stocks traded in the stock markets of 14 European countries with “the event study methodology”. The main purpose is to compare the reaction of the airline stocks traded in the stock markets of these countries to the pandemic and to determine whether a statistically significant cumulative average abnormal return is provided from them. Accordingly, event windows are determined as short and long windows within the scope of the event study. The findings show that a statistically significant cumulative average abnormal returns for airline stocks in all countries occurred in the -50 +50 event window. Besides, in short event windows around the pandemic announcement on March 11, which is accepted as the event date in this study, airline stocks in some countries respond to the pandemic significantly, while others do not.

References

• Agrawal, J., & Kamakura, W. A. (1995). The economic worth of celebrity endorsers: An event study analysis. Journal of marketing, 59(3), 56-62.
• Armitage, S. (1995). Event study methods and evidence on their performance. Journal of economic surveys, 9(1), 25-52.
• Ball, R., & Brown, P. (1968). An empirical evaluation of accounting income numbers. Journal of Accounting Research, 159-178.
• Basdas, U., & Oran, A. (2014). Event studies in Turkey. Borsa Istanbul Review, 14(3), 167-188.
• Binder, J. (1998). The event study methodology since 1969. Review of Quantitative Finance and Accounting, 11(2), 111-137.
• Brown, S. J., & Warner, J. B. (1985). Using daily stock returns: The case of event studies. Journal of Financial Economics, 14(1), 3-31.
• Chauhan, S., & Kaushik, N. (2017). Impact of demonetization on stock market: Event study methodology. Indian Journal of Accounting, 49(1), 127-132.
• Chen, M.-H., Jang, S. S., & Kim, W. G. (2007). The impact of the SARS outbreak on Taiwanese hotel stock performance: an event-study approach. International Journal of Hospitality Management, 26(1), 200-212.
• Cheung, A. W. K. (2011). Do stock investors value corporate sustainability? Evidence from an event study. Journal of Business Ethics, 99(2), 145-165.
• Corrado, C. J. (2011). Event studies: A methodology review. Accounting & Finance, 51(1), 207-234.
• Dangol, J. (2008). Unanticipated political events and stock returns: An event study. Economic Review, 20, 86-110.
• Dimpfl, T. (2011). The impact of US news on the German stock market—An event study analysis. The Quarterly Review of Economics and Finance, 51(4), 389-398.
• Duso, T., Gugler, K., & Yurtoglu, B. (2010). Is the event study methodology useful for merger analysis? A comparison of stock market and accounting data. International Review of Law and Economics, 30(2), 186-192.
• Dyckman, T., Philbrick, D., & Stephan, J. (1984). A comparison of event study methodologies using daily stock returns: A simulation approach. Journal of Accounting Research, 22, 1-30.
• Eryiğit, M. (2007). Stock market reaction to developments in Turkish-European union relations. Ekonomik Yaklasim, 18(63), 55-68.
• Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.
• 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.
• Gao, Y., & Tse, Y. K. (2004). Market segmentation and information values of earnings announcements: Some empirical evidence from an event study on the Chinese stock market. International Review of Economics & Finance, 13(4), 455-474.
• Im, K. S., Dow, K. E., & Grover, V. (2001). Research Report: A Reexamination of IT Investment and the Market Value of the Firm. Information Systems Research, 12(1), 103-117.
• Kholodilin, K., Montagnoli, A., Napolitano, O., & Siliverstovs, B. (2009). Assessing the impact of the ECB's monetary policy on the stock markets: A sectoral view. Economics Letters, 105(3), 211-213.
• Kliger, D., & Gurevich, G. (2014). Event Studies for Financial Research: A Comprehensive Guide. NY, US: Palgrave Macmillan.
• Kothari, S. P., & Warner, J. B. (2007). Econometrics of Event Studies. In B. E. Eckbo (Ed.), Handbook of Empirical Corporate Finance (Vol. 1, pp. 3-36). North-Holland: Elsevier: Elsevier.
• Maneenop, S., & Kotcharin, S. (2020). The impacts of COVID-19 on the global airline industry: An event study approach. Journal of Air Transport Management, 89, 101920.
• Mitchell, M. L., & Netter, J. M. (1994). The role of financial economics in securities fraud cases: Applications at the Securities and Exchange Commission. The Business Lawyer, 49(2), 545-590.
• Peterson, P. P. (1989). Event studies: A review of issues and methodology. Quarterly journal of business and economics, 28(3), 36-66.
• Scholtens, B., & Peenstra, W. (2009). Scoring on the stock exchange? The effect of football matches on stock market returns: an event study. Applied Economics, 41(25), 3231-3237.
• Serra, A. P. (2004). Event study tests: A brief survey. Gestão. Org-Revista Electrónica de Gestão Organizacional, 2(3), 248-255.
• Sewell, M. (2011). History of the efficient market hypothesis. UCL Reserach Note, 11(4), 1-14.
• Sharma, R. (2011). Stock Price Behaviour around Dividend Announcements: An Event Study Methodology. Vilakshan: The XIMB Journal of Management, 8(2).
• Sharpe, W. F. (1963). A simplified model for portfolio analysis. Management Science, 9(2), 277-293.
• Spais, G. S., & Filis, G. N. (2006). Stock market reaction on Olympic sponsorship announcement using event-study method. Journal of Global Academy of Marketing Science, 16(2), 95-108.