Covid-19 Salgınında Borsa İstanbul Şirketlerinin Fiyatlamalarının Etkinliği

Yıl 2020, Cilt: 5 Sayı: Özel Sayı, 13 - 31, 26.12.2020

Serkan Unal

https://doi.org/10.30784/epfad.795868

Cited By: 4

Öz

Bu çalışmada COVID-19 salgını sırasında Borsa İstanbul’da faaliyet gösteren şirketlerin ne derece etkin bir şekilde fiyatlandığı ve salgının değişik sektörlere yaptığı finansal etkiler araştırılmış ayrıca aşırı tepki hipotezinin geçerliliği test edilmiştir. Borsa İstanbul’da faaliyet gösteren bütün şirketlerin dahil edildiği araştırmada şirketler hisse senedi fiyat performanslarına göre %10’luk dilimlere ayrılmış ve t testi yöntemi ile farklı dilimlerdeki şirketlerin özellikleri ve farklı değişkenlere ait performansları kıyaslanmıştır. Elde edilen bulgulara göre daha küçük piyasa değerine, halka açık piyasa değerine, piyasa değeri / defter değeri oranına ve yabancı yatırımcı oranına sahip şirketlerde COVID-19 salgını sırasında daha olumsuz fiyatlamalar görülmüştür. Sektör bazında bakıldığında havayolları, ulaştırma lojistik, turizm, deri giyim ve pazarlama sektörlerinin hem hisse fiyat performansı hem de finansal performans olarak COVID-19 salgınından en kötü etkilenen sektörler olduğu görülmektedir. Salgının yayıldığı dönemde en düşük fiyat performansına sahip şirketlerin takip eden dönemde en yüksek fiyat performansına sahip olduğu görülmektedir; bu da aşırı tepki hipotezini destekler niteliktedir.

Anahtar Kelimeler

COVID-19, Borsa İstanbul, Aşırı Tepki Hipotezi, Hisse Senedi Getirileri

Efficiency of Market Pricing of Borsa Istanbul Companies During the Covid-19 Pandemic

Öz

In this study, during the COVID-19 pandemic, the efficiency of the market pricing of companies operating in Borsa Istanbul and the financial effects of the pandemic on different sectors were investigated, and the validity of the overreaction hypothesis was tested. In the study in which all companies operating in Borsa Istanbul were included, companies were separated by 10% quantiles according to their stock price performance, and the characteristics of companies in different quantiles and performances of different variables were compared with the t-test method. According to the findings, companies with smaller market capitalization, publicly traded market value, market value/book value, and foreign investor ratio have seen more negative pricing during the COVID-19 pandemic. When viewed from a sectoral perspective, it is seen that airlines, transportation logistics, tourism, leather clothing, and marketing sectors are the worst affected by the COVID-19 pandemic, both in terms of share price performance and financial performance. It is observed that the companies with the lowest price performance in the period during the spread of the pandemic, had the highest price performance in the following period. This is supporting the overreaction hypothesis.

Anahtar Kelimeler

COVID-19, Borsa İstanbul, Overreaction Hypothesis, Stock Market Returns

Kaynakça

• Aktaş. A. (2020, 23 Temmuz). 300 bin küçük yeni yatırımcı borsaya altı ayda 7 milyar getirdi. Dünya Gazetesi. Erişim adresi: https://www.dunya.com/kose-yazisi/300-bin-kucuk-yeni-yatirimci-borsaya-alti-ayda-7-milyar-getirdi/475923
• Alfaro, L., Chari, A., Greenland, A. N. and Schott, P. K. (2020). Aggregate and firm-level stock returns during pandemics, in real time (NBER Working Paper No.26950). Retrieved from https://economics.yale.edu/sites/default/files/schott_-_covid_market_reactions_085.pdf
• Anderson, K. and Brooks, C. (2006). The long‐term price‐earnings ratio. Journal of Business Finance & Accounting, 33(7‐8), 1063-1086. doi:10.1111/j.1468-5957.2006.00621.x
• Chen, C., Liu, L. and Zhao, N. (2020). Fear sentiment, uncertainty, and bitcoin price dynamics: The case of COVID-19. Emerging Markets Finance and Trade, 56(10), 2298-2309. https://doi.org/10.1080/1540496X.2020.1787150
• Clare, A. and Thomas, S. (1995). The overreaction hypothesis and the UK stockmarket. Journal of Business Finance and Accounting, 22, 961-961. https://doi.org/10.1111/j.1468-5957.1995.tb00888.x
• De Bondt, W. F. and Thaler, R. (1985). Does the stock market overreact?. The Journal of Finance, 40(3), 793-805. https://doi.org/10.1111/j.1540-6261.1985.tb05004.x
• EU Open Data Portal. (2020). COVID-19 cases worldwide. Retrieved from https://data.europa.eu/euodp/en/data/dataset/covid-19-coronavirus-data/resource/55e8f966-d5c8-438e-85bc-c7a5a26f4863
• Fama, E. F. and French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56. https://doi.org/10.1016/0304-405X(93)90023-5
• Göker, İ. E. K., Eren, B. S. and Karaca, S. S. (2020). The impact of the COVID-19 (Coronavirus) on the Borsa Istanbul sector index returns: An event study [Special Issue]. Gaziantep Üniversitesi Sosyal Bilimler Dergisi, 19(COVID-19 Special Issue), 14-41. https://doi.org/10.21547/jss.731980
• Griffin, J. M. and Lemmon, M. L. (2002). Book‐to‐market equity, distress risk, and stock returns. The Journal of Finance, 57(5), 2317-2336. Retrieved from https://www.jstor.org/
• Harjoto, M. A., Rossi, F. and Paglia, J. (2020). COVID-19: Stock market reactions to the shock and the stimulus. Applied Economics Letters, 1-4. https://doi.org/10.1080/13504851.2020.1781767
• Hassan, T. A., Hollander, S., Van Lent, L. and Tahoun, A. (2020). Firm-level exposure to epidemic diseases: Covid-19, SARS, and H1N1 (NBER Working Paper No.26971). https://doi.org/10.36687/inetwp119
• He, Q., Liu, J., Wang, S. and Yu, J. (2020). The impact of COVID-19 on stock markets. Economic and Political Studies, 8(3), 275-288. doi:10.1080/20954816.2020.1757570
• Howe, J. S. (1986). Evidence on stock market overreaction. Financial Analysts Journal, 42(4), 74-77. https://doi.org/10.2469/faj.v42.n4.74
• Huo, X. and Qiu, Z. (2020). How does China’s stock market react to the announcement of the COVID-19 pandemic lockdown?. Economic and Political Studies, 1-26. https://doi.org/10.1080/20954816.2020.1780695
• Kashif, M., Saad, S., Chhapra, I. U. and Ahmed, F. (2018). An empirical evidence of over reaction hypothesis on Karachi Stock Exchange (KSE). Asian Economic and Financial Review, 8(4), 449. doi:10.18488/journal.aefr.2018.84.449.465
• Keleş, E. (2020). COVID-19 ve BİST-30 endeksi üzerine kısa dönemli etkileri. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 42(1), 91-105. https://doi.org/10.14780/muiibd.763962
• Kılıç, Y. (2020). Borsa İstanbul’da COVID-19 (Koronavirüs) etkisi. JOEEP: Journal of Emerging Economies and Policy, 5(1), 66-77. Retrieved from https://dergipark.org.tr/en/pub/joeep
• Lang, L. H. and Stulz, R. M. (1994). Tobin's q, corporate diversification, and firm performance. Journal of Political Economy, 102(6), 1248-1280. Retrieved from https://www.jstor.org/
• Liu, H., Manzoor, A., Wang, C., Zhang, L. and Manzoor, Z. (2020). The COVID-19 outbreak and affected countries stock markets response. International Journal of Environmental Research and Public Health, 17(8), 2800. doi:10.3390/ijerph17082800
• Lyócsa, Š., Baumöhl, E., Výrost, T. and Molnár, P. (2020). Fear of the coronavirus and the stock markets (ZBW – Leibniz Information Centre for Economics, Kiel, Hamburg). Retrieved from https://www.econstor.eu/handle/10419/219336
• Mazur, M., Dang, M. and Vega, M. (2020). COVID-19 and the March 2020 stock market crash. Evidence from S&P1500. Finance Research Letters, 101690. https://doi.org/10.1016/j.frl.2020.101690
• McKibbin, W. J. and Fernando, R. (2020). The global macroeconomic impacts of COVID-19: Seven scenarios (CAMA Working Paper No. 19/2020). Retrieved from http://www.sensiblepolicy.com/download/2020/2020WorkingPapers/2020_19_CAMA_COVID19_mcKibbin_fernando_0.pdf
• Merkezi Kayıt Istanbul. (2020). BIST trends report. Retrieved from: https://www.mkk.com.tr/tr-tr/Veri-Depolama-Hizmetleri/Sayfalar/Borsa-Trendleri-Raporu.aspx
• Phan, D. H. B. and Narayan, P. K. (2020). Country responses and the reaction of the stock market to COVID-19—A preliminary exposition. Emerging Markets Finance and Trade, 56(10), 2138-2150. https://doi.org/10.1080/1540496X.2020.1784719
• Ramelli, S. and Wagner, A. (2020). What the stock market tells us about the consequences of COVID-19. In Baldwin, R. and Weder di Mauro, B. (Eds.), Mitigating the COVID Economic Crisis: Act Fast and Do Whatever (pp. 63-71). London: CERP Press. Retrieved from http://www.itsr.ir/Content/upload/O79CB-COVIDEconomicCrisis.pdf#page=70
• Ritter, J. R. (2003). Behavioral finance. Pacific-Basin finance journal, 11(4), 429-437. doi:10.1016/S0927-538X(03)00048-9
• Shen, H., Fu, M., Pan, H., Yu, Z. and Chen, Y. (2020). The impact of the COVID-19 pandemic on firm performance. Emerging Markets Finance and Trade, 56(10), 2213-2230. https://doi.org/10.1080/1540496X.2020.1785863
• Tayar, T., Gümüştekin, E., Dayan, K. ve Mandi, E. (2020). Covid-19 krizinin Türkiye’deki sektörler üzerinde etkileri: Borsa İstanbul sektör endeksleri araştırması [Özel Sayı]. Yüzüncü Yıl Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, (Salgın Hastalıklar Özel Sayısı), 293-320. Erişim adresi: https://dergipark.org.tr/en/pub/yyusbed
• Türkiye İstatistik Kurumu. (2020). Konut satış istatistikleri [Veri seti]. Erişim adresi: http://tuik.gov.tr/PreTablo.do?alt_id=1056
• World Health Organization. (2020). WHO timeline- COVID-19. Retrieved from https://www.who.int/news-room/detail/27-04-2020-who-timeline---covid-19
• Worldometer. (2020). COVID-19 Coronavirus pandemic. Retrieved from https://www.worldometers.info/coronavirus/
• Xiong, H., Wu, Z., Hou, F. and Zhang, J. (2020). Which firm-specific characteristics affect the market reaction of Chinese listed companies to the COVID-19 pandemic?. Emerging Markets Finance and Trade, 56(10), 2231-2242. https://doi.org/10.1080/1540496X.2020.1787151
• Zeren, F. and Hizarcı, A. E. (2020). The impact of covid-19 coronavirus on stock markets: Evidence from selected countries. Muhasebe ve Finans İncelemeleri Dergisi, 3(1), 78-84, doi:10.32951/mufider.706159