EXAMINING THE IMPACT OF COVID-19 PANDEMIC ON THE BIST SUSTAINABILITY INDEX

Year 2022, Volume: 4 Issue: 2, 138 - 150, 28.12.2022

Hande Uzunoğlu Ünlü

https://doi.org/10.55580/oguzhan.1204604

Cited By: 1

Abstract

COVID-19, which first appeared in Wuhan, China, spread suddenly and rapidly. The declaration of COVID-19 as a pandemic has caused health and economic uncertainty worldwide. This uncertainty primarily reflected negatively on the stock markets. The aim of the study is to examine the impact of the COVID-19 pandemic on Borsa Istanbul sustainability index. For this aim, the event study method was used and the dates of the first confirmed case and death in Turkey were chosen as the event days. On both event days, abnormal returns and cumulative abnormal returns were evaluated in the study. According to the findings of the study, negative abnormal returns were observed on event days. However, the abnormal returns are not significant at the date of the first confirmed case. This result indicates that the response of the sustainability index was delayed when the first case was announced. Despite the sustainability index's negative returns, significant positive cumulative abnormal returns occurred in the event windows of the first confirmed case. Contrarily, after the first confirmed death, it was determined that the cumulative return differed negatively relative to the market. The first confirmed death generally had a negative impact on the sustainability index. The results show that the short-term effects of both event days on the sustainability index may differ.

Keywords

Socially Responsible Investments, Event Study, BIST Sustainability Index.

COVID-19 PANDEMİSİNİN BİST SÜRDÜRÜLEBİLİRLİK ENDEKSİ ÜZERİNDEKİ ETKİSİNİN İNCELENMESİ

Abstract

İlk kez Çin'in Wuhan şehrinde ortaya çıkan COVID-19 ani ve hızlı bir şekilde yayılmıştır. COVID-19'un pandemi olarak ilan edilmesi dünya çapında hem sağlık hem de ekonomi açısından belirsizliğe yol açmıştır. Bu belirsizlik özellikle borsalara olumsuz yönde yansımıştır. Çalışmanın amacı, COVID-19 pandemisinin Borsa İstanbul sürdürülebilirlik endeksi üzerindeki etkisini incelemektir. Bu amaç doğrultusunda olay çalışması yöntemi kullanılarak Türkiye'de ilk vakanın onaylandığı ve ilk ölümün onaylandığı tarihler olay günleri olarak seçilmiştir. Çalışmada her iki olay günündeki anormal getiriler ve kümülatif anormal getiriler belirlenerek değerlendirilmiştir. Çalışmanın bulgularına göre, olay günlerinde negatif anormal getiriler gözlemlenmiştir. Ancak ilk vakanın onaylandığı tarihteki anormal getiriler anlamlı değildir. Bu sonuç, ilk vaka açıklandığında sürdürülebilirlik endeksinin tepkisinin geciktiğini göstermektedir. Sürdürülebilirlik endeksinin negatif getirilerine rağmen, onaylanmış ilk vakanın olay pencerelerinde anlamlı pozitif kümülatif anormal getiriler meydana gelmiştir. Ancak, ilk ölümün açıklanmasından sonra, kümülatif getirinin piyasaya göre negatif yönde farklılaştığı belirlenmiştir. Sürdürülebilirlik endeksi ilk ölümün açıklanmasından sonra olumsuz yönde bir duyarlılık göstermiştir. Sonuçlar, her iki olay gününün sürdürülebilirlik endeksi üzerindeki kısa vadeli etkilerinin farklı olabileceğini göstermektedir.

Keywords

Sosyal Sorumlu Yatırımlar, Olay Çalışması, BİST Sürdürülebilirlik Endeksi

References

• Basdas, U., & Oran, A. (2014). Event studies in Turkey. Borsa Istanbul Review, 14(3), 167-188.
• Bash, A. (2020). International Evidence of COVID-19 and Stock Market Returns: An Event Study Analysis. International Journal of Economics and Financial Issues, 10(4), 34-38.
• Beaver, W. H. (1981). Econometric properties of alternative security return methods. Journal of Accounting Research, 163-184.
• Becchetti, L., Ciciretti, R., Dalò, A., & Herzel, S. (2015). Socially responsible and conventional investment funds: performance comparison and the global financial crisis. Applied Economics, 47(25), 2541-2562.
• Brenner, M. (1979). The sensitivity of the efficient market hypothesis to alternative specifications of the market model. The Journal of Finance, 34(4), 915-929.
• BİST (2014). Şirketler için sürdürülebilirlik rehberi. Erişim 13 Mayıs 2021, www.borsaistanbul.com/data/kilavuzlar/surdurulebilirlik-rehberi.pdf.
• BİST (2021). Sürdürülebilirlik endeksi. Erişim 13 Mayıs 2021, www.borsaistanbul.com/tr/sayfa/165/bist-surdurulebilirlik-endeksleri.
• Chiappini, H., & Vento, G. A. (2018). Socially responsible investments and their anticyclical attitude during financial turmoil evidence from the brexit shock. Journal of Applied Finance & Banking, 8(1), 1-4.
• Chiappini, H., Vento, G., & De Palma, L. (2021). The impact of COVID-19 lockdowns on sustainable indexes. Sustainability, 13(4), 1846.
• CNBC (2020). Stock market live Thursday, Erişim 05 Kasım 2022, https://www.cnbc.com/2020/03/12/stock-market-today-live.html.
• De la Torre, O., Galeana, E., & Aguilasocho, D. (2016). The use of the sustainable investment against the broad market one. A first test in the Mexican stock market. European Research on Management and Business Economics, 22(3), 117-123.
• Eren, B. S., Göker, İ. E. K., & Karaca, S. S. (2021). COVID-19 pandemisinin finansal piyasalara etkisi: gelişmiş ülkeler üzerine bir analiz. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 39(Covid 19 Özel Sayısı), 69-90.
• Eurosif (2018). European SRI study 2018. Erişim 13 Mayıs 2021, www.eurosif.org/wp-content/uploads/2021/10/European-SRI-2018-Study.pdf.
• Fernandez-Perez, A., Gilbert, A., Indriawan, I., & Nguyen, N. H. (2021). COVID-19 pandemic and stock market response: A culture effect. Journal of Behavioral and Experimental Finance, 29, 100454.
• Global Sustainable Investment Alliance. (2021). Global sustainable investment review 2020. Erişim 13 Mayıs 2021, http://www.gsi-alliance.org/wp-content/uploads/2021/08/GSIR-20201.pdf.
• Göçmen Yağcılar, G. (2021). Borsa İstanbul’da COVID-19 etkisi: kısa dönemli sektörel piyasa tepkilerinin endeks bazında ölçülmesi. Ekonomi Politika ve Finans Araştırmaları Dergisi, 6(2), 439-463.
• Harabida, M., Radi, B., & Gueyie, J. P. (2022). Socially Responsible Investment During the COVID-19 Pandemic: Evidence from Morocco, Egypt and Turkey. International Journal of Economics and Finance, 14(4), 1-65.
• He, P., Sun, Y., Zhang, Y., & Li, T. (2020). COVID–19’s impact on stock prices across different sectors—An event study based on the Chinese stock market. Emerging Markets Finance and Trade, 56(10), 2198-2212.
• Heyden, K. J., & Heyden, T. (2021). Market reactions to the arrival and containment of COVID-19: an event study. Finance Research Letters, 38, 101745.
• Jain, M., Sharma, G. D., & Srivastava, M. (2019). Can sustainable investment yield better financial returns: A comparative study of ESG indices and MSCI indices. Risks, 7(1), 15.
• Kandil Göker, İ. E., Eren, B. S., & Karaca, S. S. (2020). The impact of the COVID-19 (Coronavirus) on the Borsa Istanbul sector index returns: An event study. Gaziantep University Journal of Social Sciences, 19 (COVID-19 Special Issue), 14-41.
• Keleş, E. (2021). COVID-19 krizinde sürdürebilirlik performansı ve anormal pay getirisi. Tide Academia Research, 3(1), 83-102.
• Khatatbeh, I. N., Hani, M. B., & Abu-Alfoul, M. N. (2020). The impact of COVID-19 pandemic on global stock markets: An event study. International Journal of Economics and Business Administration, 8(4), 505-514.
• Kılıç, Y. (2020). Borsa İstanbul’da COVID-19 (Koronavirüs) etkisi. Journal of Emerging Economies and Policy, 5(1), 66-77.
• Kothari, S. P. and Warner, J. B. (2007). Econometrics of event studies. In B.E. Eckbo (Ed.), Handbook of corporate finance: Empirical corporate finance (3-36). Amsterdam: Elsevier.
• Lean, H. H., & Nguyen, D. K. (2014). Policy uncertainty and performance characteristics of sustainable investments across regions around the global financial crisis. Applied Financial Economics, 24(21), 1367-1373.
• Lean, H. H., Ang, W. R., & Smyth, R. (2015). Performance and performance persistence of socially responsible investment funds in Europe and North America. The North American Journal of Economics and Finance, 34, 254-266.
• Lean, H. H., & Pizzutilo, F. (2021). Performances and risk of socially responsible investments across regions during crisis. International Journal of Finance & Economics, 26(3), 3556-3568.
• Leite, P., & Cortez, M. C. (2015). Performance of European socially responsible funds during market crises: Evidence from France. International review of financial analysis, 40, 132-141.
• Lesser, K., Rößle, F., & Walkshäusl, C. (2016). Socially responsible, green, and faith-based investment strategies: Screening activity matters!. Finance Research Letters, 16, 171-178.
• Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020a). The COVID-19 outbreak and affected countries stock markets response. International Journal of Environmental Research and Public Health, 17(8), 2800.
• Liu, H., Wang, Y., He, D., & Wang, C. (2020b). Short term response of Chinese stock markets to the outbreak of COVID-19. Applied Economics, 52(53), 5859-5872.
• MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of Economic Literature, 35,13-39.
• Nakai, M., Yamaguchi, K., & Takeuchi, K. (2016). Can SRI funds better resist global financial crisis? Evidence from Japan. International Review of Financial Analysis, 48, 12-20.
• Narayan, P. K., Phan, D. H. B., & Liu, G. (2021). COVID-19 lockdowns, stimulus packages, travel bans, and stock returns. Finance Research Letters, 38, 101732.
• Nofsinger, J., & Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking & Finance, 48, 180-193.
• Omura, A., Roca, E., & Nakai, M. (2021). Does responsible investing pay during economic downturns: Evidence from the COVID-19 pandemic. Finance Research Letters, 42, 101914.
• Peterson, P. P. (1989). Event studies: A review of issues and methodology. Quarterly Journal of Business and Economics, 36-66.
• Plastun, A., Bouri, E., Gupta, R., & Ji, Q. (2022). Price effects after one-day abnormal returns in developed and emerging markets: ESG versus traditional indices. The North American Journal of Economics and Finance, 59, 101572.
• Ramelli, S., & Wagner, A. F. (2020). Feverish stock price reactions to COVID-19. The Review of Corporate Finance Studies, 9(3), 622-655.
• Revelli, C., & Viviani, J. L. (2015). Financial performance of socially responsible investing (SRI): what have we learned? A meta‐analysis. Business Ethics: A European Review, 24(2), 158-185.
• Sağlık Bakanlığı (2022). COVID-19 Bilgilendirme Platformu. Erişim 05 Kasım 2022, https://covid19.saglik.gov.tr/.
• Singh, B., Dhall, R., Narang, S., & Rawat, S. (2020). The outbreak of COVID-19 and stock market responses: An event study and panel data analysis for G-20 countries. Global Business Review, 1, 26.
• Śliwiński, P., & Łobza, M. (2017). The impact of global risk on the performance of socially responsible and conventional stock indices. Equilibrium. Quarterly Journal of Economics and Economic Policy, 12(4), 657-674.
• Topcu, M., & Gulal, O. S. (2020). The impact of COVID-19 on emerging stock markets. Finance Research Letters, 36, 101691.
• Vives, A., & Wadhwa, B. (2012). Sustainability indices in emerging markets: Impact on responsible practices and financial market development. Journal of Sustainable Finance & Investment, 2(3-4), 318-337.
• Weber, O., Mansfeld, M., and Schirrmann, E. (2011). The financial performance of RI funds after 2000. In W. Vandekerckhove, J. Leys, K. Alm, B. Scholtens, S. Signori, and H. Schaefer (Eds.), In Responsible investment in times of turmoil (75-91). Berlin, Germany: Springer.
• WHO (2020). Timeline-COVID-19, Erişim 29 Temmuz 2022, https://www.who.int/news/item/27-04-2020-who-timeline---COVID-19 -.
• Wu, J., Lodorfos, G., Dean, A., & Gioulmpaxiotis, G. (2017). The market performance of socially responsible investment during periods of the economic cycle–Illustrated using the case of FTSE. Managerial and Decision Economics, 38(2), 238-251.