Derecelendirme Notu Değişikliklerinin Borsa İstanbul (BIST) Pay Piyasası’na Etkileri
Bu çalışmada, 1993-2016 yılları arasında Moody’s Investors Service (Moody’s), Standard and Poor’s (S&P) ve Fitch Ratings (Fitch) tarafından Türkiye için verilen ülke kredi derecelendirme notlarındaki olumlu ve olumsuz yöndeki değişikliklerin Borsa İstanbul (BIST) Pay Piyasası’ndaki etkileri olay analizi yöntemiyle incelenmektedir. İnceleme sonuçları değişiklik tarihinden önce ve değişiklik tarihinde anormal getirilerin derecelendirme kararına paralel yönde hareket ettiğini, daha sonraki dönemlerde ise getiri etkilerinin tam tersi bir seyir izlediğini göstermektedir. Ayrıca, olumsuz yöndeki derecelendirme değişikliklerinin etkilerinin olumlu yöndeki değişikliklere nazaran daha fazla olduğu anlaşılmaktadır
Anahtar Kelimeler:
Kredi derecelendirme, ülke kredi derecelendirme notları, olay analizi
Impacts of Credit Rating Changes on Borsa Istanbul (BIST) Equity Market
This study aims at analyzing the impacts of Turkey’s sovereign credit rating upgrades and downgrades made by Moody’s Investors Service (Moody’s), Standard and Poor’s (S&P) and Fitch Ratings (Fitch) in 1993-2016 period on Borsa Istanbul (BIST) Equity Market. Event study analysis results show that abnormal returns concur with the relevant rating decision both before and at the event date. However, the effects are reversed afterwards. Moreover, it is apparent that negative sided rating changes have more significance over abnormal returns when compared with positive sided ones
Keywords:
Credit rating, sovereign credit ratings, event study,
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- ISSN: 1303-099X
- Yayın Aralığı: Yılda 4 Sayı
- Başlangıç: 2000
- Yayıncı: Ege Üniversitesi