Analysis of the Effects of the Central Bank’s Interest Announcements on Tourism Index Returns

Fatih Günay; Engin Bayraktaroğlu

doi:10.17233/sosyoekonomi.2022.01.05

Araştırma Makalesi

Analysis of the Effects of the Central Bank’s Interest Announcements on Tourism Index Returns

Yıl 2022, Cilt: 30 Sayı: 51, 91 - 118, 31.01.2022

Fatih Günay , Engin Bayraktaroğlu

https://doi.org/10.17233/sosyoekonomi.2022.01.05

Öz

This paper examines the impact of interest rate announcements by the Central Bank of the Republic of Turkey (CBRT) on Borsa İstanbul tourism index returns. During the period covering 2010-2020, the effects of the CBRT's 20 decrease announcements and eight increase announcements on tourism index daily returns were examined separately using the event study method. Moreover, the BIST100 index was analysed for comparison purposes. According to the study results in which ARs were calculated with the mean adjusted return model, out of 20 announcements of decreases in the interest rate, only 3 showed statistically significant ARs on the event date. This result indicates that tourism investors’ reactions to policy rate announcements are weak and suggests the policy rate does not affect tourism investors' reactions. The findings for the BIST100 support this idea.

Anahtar Kelimeler

Index Returns, BIST Tourism, Interest Rates Announcements, CBRT, Event Study

Kaynakça

Ada, S.S. et al. (2013), “Politik seçimler, referandumlar ve hisse senedi getirileri: İMKB örneği”, Finans Politik & Ekonomik Yorumlar, 50(579), 23-40.
Aktaş, H. et al. (2018), “The effects of foreign central bank monetary policies on BIST100 index volatility”, Yönetim ve Ekonomi Dergisi, 25(3), 749-756.
Al-Najjar, B. (2014), “Corporate governance, tourism growth and firm performance: Evidence from publicly listed tourism firms in five Middle Eastern countries”, Tourism Management, (42), 342-351.
Armitage, S. (1995), “Event Study Methods and Evidence on Their Performance”, Journal of Economic Surveys, 8(4), 25-52.
Assefa, T.A. et al. (2017), “Stock returns and interest rates around the World: A panel data approach”, Journal of Economics and Business, 89, 20-35.
Asteriou, D. et al. (2013), “The London 2012 Olympic Games announcement and its effect on the London Stock Exchange”, Journal of Economic Studies, 40(2), 203-221.
Barrows, C.W. & A. Naka (1994), “Use of macroeconomic variables to evaluate selected hospitality stock returns in the US”, International Journal of Hospitality Management, 13(2), 119-128.
Bayır, M. & N. Abdi̇oğlu (2020), “The effect of interest rate corridor on Turkish financial markets”, Journal of the Human & Social Science Researches, 9(5), 3244-3263.
Bellemore, D.H. & L.H. Blucher (1959), “A study of stock splits in the post war years”, Financial Analysts Journal, 15(5), 19-26.
Beninga, S. (2008), Financial Modeling, (3. edt.), London: The MIT Press.
Berk, J. et al. (2012), Fundamentals of Corporate Finance, (6. edt.), USA: Prentice Hall.
Bernanke, B.S. & K.N. Kuttner (2005), “What explains the stock market's reaction to Federal Reserve policy?”, The Journal of Finance, 60(3), 1221-1257.
Bilson, C.M. et al. (2001), “Selecting macroeconomic variables as explanatory factors of emerging stock market returns”, Pacific-Basin Finance Journal, 9(4), 401-426.
Bloom, B.A.N. & L.A. Jackson (2016), “Abnormal stock returns and volume activity surrounding lodging firms' CEO transition announcements”, Tourism Economics, 22(1), 141-161.
Borde, S.F. et al. (1999), “Stock price reaction to dividend increases in the hotel and restaurant sector”, Journal of Hospitality & Tourism Research, 23(1), 40-52.
Brown, S.J. & J.B. Warner (1980), “Measuring security price performance”, Journal of Financial Economics, 8, 205-258.
Brown, S.J. & J.B. Warner (1985), “Using daily stock returns, The case of event studies”, Journal of Financial Economics, 14, 3-31.
Burton, E.T. & S.N. Shah (2013), Behavioral Finance, Understanding The Social, Cognitive, and Economic Debates, New Jersey: John Wiley.
Cave, J. et al. (2009), “Supply-side investments: an international analysis of the return and risk relationship in the travel & leisure sector”, Tourism Management, 30(5), 665-673.
CBRT (2021a), Central Bank Monetary Policy Framework, <https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Core+Functions/Monetary+Policy/Central+Bank+Monetary+Policy+Framework>, 30.11.2020.
CBRT (2021b), 1 Week Repo Rate, <https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Core+Functions/Monetary+Policy/Central+Bank+Interest+Rates/1+Week+Repo>, 30.11.2020.
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Chan, F. & C. Lim (2011), “Tourism stock performance and macro factors”, 19th International Congress on Modelling and Simulation, Perth, Australia, 12-16 December 2011.
Chang, C. & Y.Y. Zeng (2011), “Impact of terrorism on hospitality stocks and the role of investor sentiment”, Cornell Hospitality Quarterly, 52(2), 165-175.
Chen, M.-H. (2011), “The response of hotel performance to international tourism development and crisis events”, International Journal of Hospitality Management, (30), 200-212.
Chen, M.-H. (2013), “Asymmetric response of hospitality stock prices to FED policy actions”, International Journal of Hospitality Management, (33), 129-139.
Chen, M.H. et al. (2005), “The impact of macroeconomic and non-macroeconomic forces on hotel stock returns”, International Journal of Hospitality Management, 24(2), 243-258.
Chen, M.-H. et al. (2007), “The impact of the SARS outbreak on Taiwanese hotel stock performance: An event-study approach”, Hospitality Management, 26, 200-212.
Chen, M.-H. et al. (2009), “The impact of government weekend policy changes and foreign institutional holdings on weekly effect of tourism stock performance”, Journal of Hospitality & Tourism Research, 33(2), 139-160.
Christiano, L. et al. (2010), “Monetary policy and stock market booms”, National Bureau of Economic Research Working Paper 16402.
Çıtak, L. & E. Ersoy (2016), “Firmaların BIST sürdürülebilirlik endeksine alınmasına yatırımcı tepkisi: Olay çalışması ve ortalama testleri ile bir analiz”, Uluslararası Alanya İşletme Fakültesi Dergisi, 8(1), 43-57.
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Merkez Bankası Faiz Duyurularının Borsa İstanbul Turizm Endeksi Getirilerine Etkisinin Analizi

Yıl 2022, Cilt: 30 Sayı: 51, 91 - 118, 31.01.2022

Fatih Günay , Engin Bayraktaroğlu

https://doi.org/10.17233/sosyoekonomi.2022.01.05

Öz

Bu makale, TCMB'nin açıkladığı faiz kararlarının Borsa İstanbul turizm endeks getirileri üzerindeki etkisini incelemeyi amaçlamaktadır. Çalışmada olay çalışması yöntemiyle 2010-2020 döneminde TCMB’nin açıkladığı 20 faiz indirim ve 8 faiz artırım kararının turizm endeksi günlük getirilerine etkisi ayrı ayrı incelenmiştir. Ayrıca, karşılaştırma amacıyla BIST100 endeksi incelenmiştir. Ortalama getiri modeliyle anormal getirilerin hesaplandığı çalışma bulgularına göre faiz oranı duyurularındaki 20 düşüşten sadece 3'ünde olay gününde turizm endeksi anlamlı anormal getiri gözlenmiştir. Bu sonuçlar, turizm yatırımcılarının politika faiz duyurularına tepkilerinin zayıf olduğunu ve politika faizinin turizm yatırımcılarını doğrudan etkilemediğini göstermektedir. BIST100 endeksinde elde edilen bulgular, faiz kararlarının pay getirilerine doğrudan etkilerinin zayıf olduğu sonucunu desteklemektedir.

Anahtar Kelimeler

Endeks Getirisi, BİST Turizm, Faiz Oranı Duyuruları, TCMB, Olay Çalışması

Kaynakça

Ada, S.S. et al. (2013), “Politik seçimler, referandumlar ve hisse senedi getirileri: İMKB örneği”, Finans Politik & Ekonomik Yorumlar, 50(579), 23-40.
Aktaş, H. et al. (2018), “The effects of foreign central bank monetary policies on BIST100 index volatility”, Yönetim ve Ekonomi Dergisi, 25(3), 749-756.
Al-Najjar, B. (2014), “Corporate governance, tourism growth and firm performance: Evidence from publicly listed tourism firms in five Middle Eastern countries”, Tourism Management, (42), 342-351.
Armitage, S. (1995), “Event Study Methods and Evidence on Their Performance”, Journal of Economic Surveys, 8(4), 25-52.
Assefa, T.A. et al. (2017), “Stock returns and interest rates around the World: A panel data approach”, Journal of Economics and Business, 89, 20-35.
Asteriou, D. et al. (2013), “The London 2012 Olympic Games announcement and its effect on the London Stock Exchange”, Journal of Economic Studies, 40(2), 203-221.
Barrows, C.W. & A. Naka (1994), “Use of macroeconomic variables to evaluate selected hospitality stock returns in the US”, International Journal of Hospitality Management, 13(2), 119-128.
Bayır, M. & N. Abdi̇oğlu (2020), “The effect of interest rate corridor on Turkish financial markets”, Journal of the Human & Social Science Researches, 9(5), 3244-3263.
Bellemore, D.H. & L.H. Blucher (1959), “A study of stock splits in the post war years”, Financial Analysts Journal, 15(5), 19-26.
Beninga, S. (2008), Financial Modeling, (3. edt.), London: The MIT Press.
Berk, J. et al. (2012), Fundamentals of Corporate Finance, (6. edt.), USA: Prentice Hall.
Bernanke, B.S. & K.N. Kuttner (2005), “What explains the stock market's reaction to Federal Reserve policy?”, The Journal of Finance, 60(3), 1221-1257.
Bilson, C.M. et al. (2001), “Selecting macroeconomic variables as explanatory factors of emerging stock market returns”, Pacific-Basin Finance Journal, 9(4), 401-426.
Bloom, B.A.N. & L.A. Jackson (2016), “Abnormal stock returns and volume activity surrounding lodging firms' CEO transition announcements”, Tourism Economics, 22(1), 141-161.
Borde, S.F. et al. (1999), “Stock price reaction to dividend increases in the hotel and restaurant sector”, Journal of Hospitality & Tourism Research, 23(1), 40-52.
Brown, S.J. & J.B. Warner (1980), “Measuring security price performance”, Journal of Financial Economics, 8, 205-258.
Brown, S.J. & J.B. Warner (1985), “Using daily stock returns, The case of event studies”, Journal of Financial Economics, 14, 3-31.
Burton, E.T. & S.N. Shah (2013), Behavioral Finance, Understanding The Social, Cognitive, and Economic Debates, New Jersey: John Wiley.
Cave, J. et al. (2009), “Supply-side investments: an international analysis of the return and risk relationship in the travel & leisure sector”, Tourism Management, 30(5), 665-673.
CBRT (2021a), Central Bank Monetary Policy Framework, <https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Core+Functions/Monetary+Policy/Central+Bank+Monetary+Policy+Framework>, 30.11.2020.
CBRT (2021b), 1 Week Repo Rate, <https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Core+Functions/Monetary+Policy/Central+Bank+Interest+Rates/1+Week+Repo>, 30.11.2020.
Çelik, M.S. & R. Koç (2019), “Türkiye ve Rusya arasındaki uçak krizinin Borsa İstanbul (BİST) turizm ve enerji şirket hisselerine etkisi üzerine bir event study analizi”, Niğde Ömer Halisdemir Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 1(1), 1-15.
Çelik, Ş. et al. (2015), “TCMB para politikası kararlarındaki değişimlerin ve TCMB, FED ve ECB sözlü yönlendirmelerin BIST100 oynaklığı üzerindeki etkisinin analizi (2002-2014)”, Maliye ve Finans Yazıları, (103), 51-83.
Cengiz, V. (2009), “Parasal aktarım mekanizması işleyişi ve ampirik bulgular”, Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, (33), 225-247.
Çetin, M. (2016), “Türkiye Cumhuriyet Merkez Bankası (TCMB) para politikası uygulamalarının gelişimi”, Finansal Araştırmalar ve Çalışmalar Dergisi, 8(14), 67-101.
Chadwick, M.G. (2018), “Dependence of the 'Fragile Five' and 'Troubled Ten' emerging market financial systems on US monetary policy and monetary policy uncertainty”, Research in International Business and Finance, 49, 251-268.
Chan, F. & C. Lim (2011), “Tourism stock performance and macro factors”, 19th International Congress on Modelling and Simulation, Perth, Australia, 12-16 December 2011.
Chang, C. & Y.Y. Zeng (2011), “Impact of terrorism on hospitality stocks and the role of investor sentiment”, Cornell Hospitality Quarterly, 52(2), 165-175.
Chen, M.-H. (2011), “The response of hotel performance to international tourism development and crisis events”, International Journal of Hospitality Management, (30), 200-212.
Chen, M.-H. (2013), “Asymmetric response of hospitality stock prices to FED policy actions”, International Journal of Hospitality Management, (33), 129-139.
Chen, M.H. et al. (2005), “The impact of macroeconomic and non-macroeconomic forces on hotel stock returns”, International Journal of Hospitality Management, 24(2), 243-258.
Chen, M.-H. et al. (2007), “The impact of the SARS outbreak on Taiwanese hotel stock performance: An event-study approach”, Hospitality Management, 26, 200-212.
Chen, M.-H. et al. (2009), “The impact of government weekend policy changes and foreign institutional holdings on weekly effect of tourism stock performance”, Journal of Hospitality & Tourism Research, 33(2), 139-160.
Christiano, L. et al. (2010), “Monetary policy and stock market booms”, National Bureau of Economic Research Working Paper 16402.
Çıtak, L. & E. Ersoy (2016), “Firmaların BIST sürdürülebilirlik endeksine alınmasına yatırımcı tepkisi: Olay çalışması ve ortalama testleri ile bir analiz”, Uluslararası Alanya İşletme Fakültesi Dergisi, 8(1), 43-57.
Demir, E. & O. Ersan (2018), “The impact of economic policy uncertainty on stock returns of Turkish tourism companies”, Current Issues in Tourism, 21(8), 847-855.
Demir, E. et al. (2017), “Macro explanatory factors of Turkish tourism companies' stock returns”, Asia Pacific Journal of Tourism Research, 22(4), 370-380.
Dolley, J.C. (1933), “Characteristics and procedure of common stock split-ups”, Harvard Business Review, 11(3), 316-326.
Domian, D.L. et al. (1996), “Expected inflation, interest rates, and stock returns”, Financial Review, 31(4), 809-830.
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Toplam 94 adet kaynakça vardır.

Ayrıntılar

Birincil Dil	İngilizce
Bölüm	Makaleler
Yazarlar	Fatih Günay 0000-0003-0892-514X Engin Bayraktaroğlu 0000-0002-9956-2593
Erken Görünüm Tarihi	28 Ocak 2022
Yayımlanma Tarihi	31 Ocak 2022
Gönderilme Tarihi	27 Nisan 2021
Yayımlandığı Sayı	Yıl 2022 Cilt: 30 Sayı: 51

Kaynak Göster

APA	Günay, F., & Bayraktaroğlu, E. (2022). Analysis of the Effects of the Central Bank’s Interest Announcements on Tourism Index Returns. Sosyoekonomi, 30(51), 91-118. https://doi.org/10.17233/sosyoekonomi.2022.01.05
AMA	Günay F, Bayraktaroğlu E. Analysis of the Effects of the Central Bank’s Interest Announcements on Tourism Index Returns. Sosyoekonomi. Ocak 2022;30(51):91-118. doi:10.17233/sosyoekonomi.2022.01.05
Chicago	Günay, Fatih, ve Engin Bayraktaroğlu. “Analysis of the Effects of the Central Bank’s Interest Announcements on Tourism Index Returns”. Sosyoekonomi 30, sy. 51 (Ocak 2022): 91-118. https://doi.org/10.17233/sosyoekonomi.2022.01.05.
EndNote	Günay F, Bayraktaroğlu E (01 Ocak 2022) Analysis of the Effects of the Central Bank’s Interest Announcements on Tourism Index Returns. Sosyoekonomi 30 51 91–118.
IEEE	F. Günay ve E. Bayraktaroğlu, “Analysis of the Effects of the Central Bank’s Interest Announcements on Tourism Index Returns”, Sosyoekonomi, c. 30, sy. 51, ss. 91–118, 2022, doi: 10.17233/sosyoekonomi.2022.01.05.
ISNAD	Günay, Fatih - Bayraktaroğlu, Engin. “Analysis of the Effects of the Central Bank’s Interest Announcements on Tourism Index Returns”. Sosyoekonomi 30/51 (Ocak 2022), 91-118. https://doi.org/10.17233/sosyoekonomi.2022.01.05.
JAMA	Günay F, Bayraktaroğlu E. Analysis of the Effects of the Central Bank’s Interest Announcements on Tourism Index Returns. Sosyoekonomi. 2022;30:91–118.
MLA	Günay, Fatih ve Engin Bayraktaroğlu. “Analysis of the Effects of the Central Bank’s Interest Announcements on Tourism Index Returns”. Sosyoekonomi, c. 30, sy. 51, 2022, ss. 91-118, doi:10.17233/sosyoekonomi.2022.01.05.
Vancouver	Günay F, Bayraktaroğlu E. Analysis of the Effects of the Central Bank’s Interest Announcements on Tourism Index Returns. Sosyoekonomi. 2022;30(51):91-118.

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