Türkiye'de Hisse Senedi Piyasasının Enflasyon Açıklamalarındaki Sürprizlere Tepkisi

Modern finans teorisi yatırım riskinin kaynağı olarak makroekonomik faktörler üzerinde yoğunlaşmıştır. Açıklanan makroekonomik değişken sistematik risk faktörlerinden biri ise bu değişkenle ilgili gelecek sürprizlerin (yenilik veya haber) hisse senedi getirilerini etkilemesi beklenir. Enflasyon sistematik risk kaynağı olarak önemli makroekonomik değişkenlerden biridir. Bu çalışmanın amacı enflasyon açıklamalarındaki sürprizlerin (beklenti ve gerçekleşen arasındaki fark) hisse senedi piyasasında fiyatlanıp fiyatlanmadığının belirlenmesidir. Bu amaçla çalışmada Ocak 2006-Şubat 2016 arası aylık TÜFE beklenti ve gerçekleşmeleri ile Borsa İstanbul 100 Endeksi (BIST 100) verileri kullanılmıştır. Olay çalışması yöntemi kullanılarak yapılan analizde anormal getirilerin mevcut olduğu fakat sistematik bir şekilde seyretmediği ve özellikle olay gününde belirgin bir anlamlılığın olmadığı sonucuna ulaşılmıştır. Çalışmada ayrıca beklenen, gerçekleşen ve beklenmeyen enflasyonun anormal getirilerdeki değişimi açıklayamadığı bulunmuştur.

The Stock Market's Reaction to the Surprises in Inflation Announcements in Turkey

Modern finance theory has focused on macroeconomic factors as sources of investment risk. If released macroeconomic variable is one of the systematic risk factors it is expected that surprises (innovation or news) about the variable will impact on the stock returns. As a source of systematic risk, inflation is one the important macroeconomic variables. The aim of this study is to determine whether the surprises in inflation announcements (the difference between expected and actual inflation) is priced in the stock market or not. For this purpose, monthly expected and actual CPI data between January 2000 and February 2016, and BIST 100 Index were used in the study. By employing event study methodology in the analysis it is found that there are abnormal returns but they don't continue systematically and particularly in the event day it is not significant. There is also found in the study that expected, actual and unexpected inflation couldn't explain changes in the abnormal returns

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