Küresel Pandemi Sırasında Bedelli ve Bedelsiz Sermaye Artırım Duyurularının Pay Getirileri Üzerindeki Etkisi: Borsa İstanbul’dan Kanıtlar

Çalışmada, küresel pandemi sırasında, Mart-2019 ile Mart-2021 arasındaki dönemde, Borsa İstanbul’daki şirketlerin, bedelli ve bedelsiz sermaye artırım duyurularının pay getirileri üzerindeki etkisi incelenmektedir. Olay analizi kullanılarak, nihai olarak belirlenen 109 olay ile analizler yapılmıştır. Olay penceresi, olay tarihinden önceki 10. gün ile olay tarihinden sonraki 10. gün arasındaki 21 günlük süreyi kapsamaktadır. Tahmin penceresi ise, olay tarihinden önceki 11. gün ile olay tarihinden önceki 110. gün arasındaki 100 günlük süreyi kapsamaktadır. Payların tahmin penceresindeki beklenen getirilerinin hesaplanmasının ardından, olay penceresindeki ortalama anormal getirileri ve kümülatif ortalama anormal getirileri hesaplanmıştır. Kümülatif ortalama anormal getirilerinin anlamlılık düzeyini belirlemek için parametrik ve parametrik olmayan testlerden yararlanılmıştır. Parametrik test olarak t-testi, parametrik olmayan test olarak ise Wilcoxon işaretli sıra testi uygulanmıştır. Bedelli ve bedelsiz sermaye artırım duyuruları birlikte ele alındığında, hem Covid-19 pandemisi öncesindeki dönemde, hemde Covid-19 pandemisi sırasındaki dönemde duyuru tarihi etrafında kümülatif anormal getiriler tespit edilmiştir. Covid-19 pandemisi öncesindeki dönem ile Covid-19 pandemisi sırasındaki dönem karşılaştırıldığında, Covid-19 pandemisi öncesindeki dönemde duyuru sonrasındaki tarihlerde, duyuru öncesindeki tarihlere göre daha fazla kümülatif ortalama anormal getiri sağlanmıştır. Bedelli sermaye artırım duyuruları ayrı ele alındığında Covid-19 pandemisi öncesindeki dönemde duyuru sonrasındaki tarihlerde, duyuru öncesindeki tarihlere göre daha fazla kümülatif ortalama anormal getiri sağlanmıştır. Bedelsiz sermaye artırım duyuruları ayrı ele alındığında ise Covid-19 pandemi sırasındaki dönemde duyuru sonrasındaki tarihlerde, duyuru öncesindeki tarihlere göre daha fazla kümülatif ortalama anormal getiri sağlanmıştır. Ulaşılan sonuçlar Borsa İstanbul'un yarı etkin bir piyasa olmadığını göstermektedir.

Anahtar Kelimeler:

Bedelli Sermaye Artırım, Bedelsiz Sermaye Artırım, Pay Getirisi, Olay Analizi, Küresel Pandemi, Covid-19

Impact of Rights and Bonus Issue Announcements on Stock Returns During The Global Pandemic: Evidence from Borsa Istanbul

In the study, the impact of rights and bonus issue announcements of companies in Borsa Istanbul on stock returns during the global pandemic, between March-2019 and March-2021 is examined. By using the event study analysis, analyzes were made with 109 events that were finally determined. The event window covers the 21-day period between the 10th day before the event date and the 10th day after the event date.The estimation window covers the 100-day period between the 11th day before the event date and the 110th day before the event date. After calculating the expected returns of the stocks in the estimation window, the average abnormal returns in the event window and the cumulative average abnormal returns are calculated. Parametric and non-parametric tests were used to determine the significance level of the cumulative average abnormal returns. T-test was used as parametric test and Wilcoxon signed-rank test was used as non-parametric test. When the rights and bonus issue announcements are considered together, cumulative abnormal returns have been detected around the announcement date both in the period before the Covid-19 pandemic and during the period during the Covid-19 pandemic. When the period before the Covid-19 pandemic is compared with the period during the Covid-19 pandemic, more cumulative average abnormal returns were achieved in the post-announcement period in the pre-COVID-19 pandemic period than in the pre-announcement dates. Considering the rights issue announcements separately, more cumulative average abnormal returns were achieved in the post-announcement dates in the period before the Covid-19 pandemic compared to the dates before the announcement. When bonus issue announcements are considered separately, more cumulative average abnormal returns were achieved in the post-announcement dates during the Covid-19 pandemic than in the dates before the announcement. The results show that Borsa İstanbul is not a semi-efficient market.

Keywords:

Right Issue, Bonus Issue, Stock Return, Event Study, Global Pandemic, Covid-19,

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