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

Year 2021, Volume: 2 Issue: 4, 878 - 894, 30.12.2021
https://doi.org/10.52835/19maysbd.994159

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.

References

  • Andersson M., Overby L. J., & Sebestyen S. (2009). Which News Moves the Euro Area Bond Market? German Economic Review, 10(1), 1–31.
  • Avci, E., & Gürsoy, Ö. (2017). The Impact of Sovereign Rating Changes on Turkish Stock Market Returns. International Research Journal of Applied Finance, 8(2), 120-128.
  • Balduzzi P., Elton E. J., & Green T. C. (2001). Economic News and Bond Prices: Evidence from the U.S. Treasury Market. Journal of Financial and Quantitative Analysis, 36, 523-543.
  • Bartolini L., Goldberg L., & Sacarny A. (2008). How Economic News Moves Markets. Current Issues in Economics and Finance, Federal Reserve Bank of New York, 14 (6).
  • Byström, H. (2016). Language, news and volatility. Journal of International Financial Markets, Institutions and Money, 42, 139-154.
  • Çekiç, A. İ., & Gültekin, H. (2020). Macroeconomic Surprises and the Turkish Financial Market. In Applied Econometric Analysis: Emerging Research and Opportunities, 60-88.
  • Ekinci, C., Akyildirim, E., & Corbet, S. (2019). Analysing the dynamic influence of US macroeconomic news releases on turkish stock markets. Finance Research Letters, 31, 155-164.
  • Eyüboglu K., & Bulut H. İ. (2015). Şirketlere özgü haberlerin hisse performansına etkisi: BİST-30 şirketleri örneği. UİİİD-IJEAS, (16), 113-138.
  • Gok, I. Y., & Topuz, S. (2016). The Impact Of The Domestıc And Foreıgn Macroeconomıc News Announcements On The Turkısh Stock Market. Financial Studies, 20(3).
  • Goonatilake, R., & Herath, S. (2007). The volatility of the stock market and news. International Research Journal of Finance and Economics, 3(11), 53-65.
  • Green, T. C. (2004). Economic News and the Impact of Trading on Bond Prices. The Journal of Finance, 59 (3), 1201-1233.
  • Kim S., McKenzie M. D., & Faff R. W. (2003). Macroeconomic news announcements and the role of expectations: evidence for US bond, stock and foreign exchange markets. Journal of Multinational Financial Management, 14, 217-232.
  • Kosmidou, K. V., Kousenidis, D. V., & Negakis, C. I. (2015). The impact of the EU/ECB/IMF bailout programs on the financial and real sectors of the ASE during the Greek sovereign crisis. Journal of Banking & Finance, 50, 440-454.
  • Kutan A. M., Muradoglu G., & Sudjana G. (2011). IMF programs, financial and real sector performance, and the Asian crisis. Journal of Banking & Finance, 36, 164-182.
  • Norden L., Weber M. (2004). Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements, Journal of Banking & Finance, 28(11), 2813-2843.
  • Pirgaip, B. (2017). Derecelendirme Notu Değişikliklerinin Borsa İstanbul (BIST) Pay Piyasası'na Etkileri. Ege Akademik Bakis, 17(3), 351-367.
  • Sarıgül H. (2015). Sendikasyon kredisi kullanım duyurularının bankaların hisse senedi getirilerine etkisi. Finansal Araştırmalar ve Çalışmalar Dergisi, 12 (7), 113-129

News and Credit Rating Agency Related Volatility on Turkish Stock Market

Year 2021, Volume: 2 Issue: 4, 878 - 894, 30.12.2021
https://doi.org/10.52835/19maysbd.994159

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.

References

  • Andersson M., Overby L. J., & Sebestyen S. (2009). Which News Moves the Euro Area Bond Market? German Economic Review, 10(1), 1–31.
  • Avci, E., & Gürsoy, Ö. (2017). The Impact of Sovereign Rating Changes on Turkish Stock Market Returns. International Research Journal of Applied Finance, 8(2), 120-128.
  • Balduzzi P., Elton E. J., & Green T. C. (2001). Economic News and Bond Prices: Evidence from the U.S. Treasury Market. Journal of Financial and Quantitative Analysis, 36, 523-543.
  • Bartolini L., Goldberg L., & Sacarny A. (2008). How Economic News Moves Markets. Current Issues in Economics and Finance, Federal Reserve Bank of New York, 14 (6).
  • Byström, H. (2016). Language, news and volatility. Journal of International Financial Markets, Institutions and Money, 42, 139-154.
  • Çekiç, A. İ., & Gültekin, H. (2020). Macroeconomic Surprises and the Turkish Financial Market. In Applied Econometric Analysis: Emerging Research and Opportunities, 60-88.
  • Ekinci, C., Akyildirim, E., & Corbet, S. (2019). Analysing the dynamic influence of US macroeconomic news releases on turkish stock markets. Finance Research Letters, 31, 155-164.
  • Eyüboglu K., & Bulut H. İ. (2015). Şirketlere özgü haberlerin hisse performansına etkisi: BİST-30 şirketleri örneği. UİİİD-IJEAS, (16), 113-138.
  • Gok, I. Y., & Topuz, S. (2016). The Impact Of The Domestıc And Foreıgn Macroeconomıc News Announcements On The Turkısh Stock Market. Financial Studies, 20(3).
  • Goonatilake, R., & Herath, S. (2007). The volatility of the stock market and news. International Research Journal of Finance and Economics, 3(11), 53-65.
  • Green, T. C. (2004). Economic News and the Impact of Trading on Bond Prices. The Journal of Finance, 59 (3), 1201-1233.
  • Kim S., McKenzie M. D., & Faff R. W. (2003). Macroeconomic news announcements and the role of expectations: evidence for US bond, stock and foreign exchange markets. Journal of Multinational Financial Management, 14, 217-232.
  • Kosmidou, K. V., Kousenidis, D. V., & Negakis, C. I. (2015). The impact of the EU/ECB/IMF bailout programs on the financial and real sectors of the ASE during the Greek sovereign crisis. Journal of Banking & Finance, 50, 440-454.
  • Kutan A. M., Muradoglu G., & Sudjana G. (2011). IMF programs, financial and real sector performance, and the Asian crisis. Journal of Banking & Finance, 36, 164-182.
  • Norden L., Weber M. (2004). Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements, Journal of Banking & Finance, 28(11), 2813-2843.
  • Pirgaip, B. (2017). Derecelendirme Notu Değişikliklerinin Borsa İstanbul (BIST) Pay Piyasası'na Etkileri. Ege Akademik Bakis, 17(3), 351-367.
  • Sarıgül H. (2015). Sendikasyon kredisi kullanım duyurularının bankaların hisse senedi getirilerine etkisi. Finansal Araştırmalar ve Çalışmalar Dergisi, 12 (7), 113-129
There are 17 citations in total.

Details

Primary Language English
Subjects Economics, Finance
Journal Section Research Articles
Authors

Fatih Cingoz 0000-0002-9425-7725

Mustafa Nal 0000-0001-6190-6437

Publication Date December 30, 2021
Submission Date September 11, 2021
Acceptance Date November 12, 2021
Published in Issue Year 2021 Volume: 2 Issue: 4

Cite

APA Cingoz, F., & Nal, M. (2021). News and Credit Rating Agency Related Volatility on Turkish Stock Market. 19 Mayıs Sosyal Bilimler Dergisi, 2(4), 878-894. https://doi.org/10.52835/19maysbd.994159