Dizel Skandalı ve Türk Yatırımcılarının Tepkileri Üzerine Bir Araştırma

Amaç – Bu çalışmanın amacı, Volkwagen skandalının ortaya çıkmasının ardından Türk yatırımcıların verdiği tepkileri ve bu tepkilerin kalıcılığını araştırmaktır. Yöntem – Çalışmada, Volkswagen AG’nin Türkiye distribütörü olan Doğuş Otomotiv Servis ve Ticaret A.Ş.’ ye ait hisselerdeki (DOAS) getiri ve oynaklık değişiklikleri incelenmiştir. Öncelikle Sermaye Varlıkları Fiyatlama Modeli yardımıyla DOAS hisselerinin günlük anormal getirileri elde edilmiş, daha sonra günlük anormal getiriler için ortalama modeli olarak ARMA ve oynaklık modeli olarak EGARCH kullanılmıştır. Bulgular – Çalışmada, Volkswagen hakkında çıkan haberler karşısında Türk yatırımcıların sistematik tepkisinin, hem getirilerde hem de oynaklıklarda gözlemlenebildiği fakat bu tepkinin etkisinin zayıf ve oldukça kısa sürdürdüğüne ilişkin kanıtlar sunulmuştur. Tartışma – Türk yatırımcılar tarafından verilen tepkinin, ABD’deki yatırımcılar tarafından verilen tepkiden 1 gün sonra gelmesi bu tepkinin aslında EPA raporundan çok ABD yatırımcılarının hareketleri ile ilgili olduğunu ya da Türk yatırımcıların bu tür olaylara geç tepki verdiğini göstermektedir.

Diesel Scandal and a Research on the Reaction of Turkish Investors

Purpose – The purpose of this study is to investigate the response of Turkish investors and the persistency of these reactions following the Volkswagen scandal. Design/methodology/approach – For this purpose, the stock price changes of Dogus Otomotiv Servis ve Ticaret AŞ (DOAS) which is Volkswagen AG's distributor in Turkey are examined. Firstly, daily abnormal returns of DOAS are obtained by using Capital Asset Pricing Model and then the daily abnormal returns are modeled by ARMA and EGARCH. Findings – This study show evidences of that Turkish investors can react systematically to the news about Volkswagen both in return and volatility. However, some evidence indicates that the impact of the reactions is weak and not persistent. Discussion – The fact that the response of Turkish investors came one day after the response of investors in US shows that this reaction may not be related to the EPA report rather may be related to the response of US investors, or that Turkish investors reaction is not simultaneous with US investors.

PDF

___

Adiloğlu, B. & Yücel, G. (2017). Dünyanın en büyük karşılıkları: BP, PLC ve VW AG. Mali Çözüm. 27 (141), 13-30.
Chan, C. C. C. & Milne, M. J. (1999). Investor reactions to corporate environmental saints and sinners: An experimental analysis. Accounting and Business Research, 29(4), 265–279. https://doi.org/10.1080/00014788.1999.9729588
Clairmont, N. (2017). The End of Diesel. The Atlantic. https://www.theatlantic.com/business/archive/2017/06/diesel-smog-pollution-europe/528990/ (Erişim tarihi: 30 Temmuz 2018). Cumhuriyet Gazetesi (18 Ekim 2015). http://www.cumhuriyet.com.tr/haber/teknoloji/390468/Volkswagen__Turkiye_de_323.000_araci_geri _cagiriyor_.html (Erişim tarihi: 10 Ağustos 2018).
Dasgupta, S., Hong, J. H., Laplante, B., & Mamingi, N. (2006). Disclosure of environmental violations and stock market in the Republic of Korea. Ecological Economics, 58(4), 759–777. https://doi.org/10.1016/j.ecolecon.2005.09.003
Davenport,C. & Ewing,J. (2015), “VW is said to cheat on diesel emissions; U.S. to order big recall”, The New York Times, 18 Eylül, https://www.nytimes.com/2015/09/19/business/volkswagen-is-ordered-torecall- nearly-500000-vehicles-over-emissions-software.html (Erişim tarihi: 10 Temmuz 2018).
Dickey, D.A. & W.A. Fuller. (1979). Distribution of the Estimators for Autoregressive Time Series With a Unit Root. Journal of the American Statistical Association, 74(366), 427-431. https://doi.org/10.2307/2286348
Dickey, D.A. & W.A. Fuller. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49(4), 1057-1072. https://doi.org/10.2307/1912517
Doğuş Grubu – Basın Odası (2015). https://www.dogusgrubu.com.tr/tr/dogus-otomotiv-ceo-su-ali-bilaloglu (Erişim tarihi: 10 Temmuz 2018).
Doğuş Grubu – Tarihçe (b.t.). https://www.dogusgrubu.com.tr/tr/tarihce (Erişim tarihi: 10 Temmuz 2018).
Du, X. (2015). How the Market Values Greenwashing? Evidence from China. Journal of Business Ethics, 128(3), 547–574. https://doi.org/10.1007/s10551-014-2122-y
Environmental Protection Agency (EPA). (b.t.). EPA History, https://www.epa.gov/history (Erişim tarihi: 28 Temmuz 2018)
Environmental Protection Agency. (2015). VW Notice of Violation, Clean Air Act (September 18, 2015), 18/09/2015, https://www.epa.gov/sites/production/files/2015-10/documents/vw-nov-caa-09-18-15.pdf (Erişim tarihi: 10 Aralık 2018)
Ewing, J. (2017). Engineering a Deception: What Led to Volkswagen’s Diesel Scandal. https://www.nytimes.com/interactive/2017/business/volkswagen-diesel-emissions-timeline.html (Erişim tarihi: 25 Temmuz 2018)
Ewing, J. & Bowley, G. (2015). VW Reveals It Misstated Emissions of Gas Cars. https://www.nytimes.com/2015/11/04/business/vw-discloses-new-emissions-problem-involvingcarbon- dioxide.html (3 Kasım 2015). (Erişim tarihi: 25 Temmuz 2018).
Fortune, (2015). Doğuş Otomotiv taban oldu. http://www.fortuneturkey.com/dogus-otomotiv-taban-oldu- 18155 (20.08.2015), (Erişim tarihi: 10 Aralık 2018).
Gupta, S., & Goldar, B. (2005). Do stock markets penalize environment-unfriendly behaviour? Evidence from India. Ecological Economics, 52(1), 81–95. https://doi.org/10.1016/j.ecolecon.2004.06.011
Hamilton, J. T. (1995). Pollution as news: Media and stock market reactions to the toxics release inventory data. Journal of Environmental Economics and Management, 28(1), 98–113. https://doi.org/10.1006/jeem.1995.1007
Hirsch, J. & Masunaga, S. (2015). http://www.latimes.com/business/autos/la-fi-hy-volkswagen-rebate- 20151109-story.html# (9 Kasım 2015). (Erişim tarihi: 22 Temmuz 2018).
Hulpke, J. F. (2017). If All Else Fails, A Corporate Death Penalty? Journal of Management Inquiry, 26(4), 433– 439. https://doi.org/10.1177/1056492617706545
Hürriyet Gazetesi, (2013). Piyasalarda 'Gezi Parkı' düşüşü. http://www.hurriyet.com.tr/ekonomi/piyasalarda-gezi-parki-dususu-23423227 (03.06.2013). (Erişim Tarihi: 10 Aralık 2018).
Hürriyet Gazetesi, (2015). Doğuş Otomotiv’den Volkswagen açıklaması. http://www.hurriyet.com.tr/ekonomi/dogus-otomotivden-volkswagen-aciklamasi-30231239 (14.10.2015). (Erişim Tarihi: 10 Aralık 2018)
Jarque, C. M. & Bera, A. K. A Test for Normality of Observations and Regression Residuals. International Statistical Review / Revue Internationale De Statistique, 55(2), 163-172. https://doi.org/10.2307/1403192
Jung, K., Chilton, K., & Valero, J. N. (2017). Uncovering stakeholders in public–private relations on social media: a case study of the 2015 Volkswagen scandal. Quality and Quantity, 51(3), 1113–1131. https://doi.org/10.1007/s11135-016-0462-7
Kozakoğlu, C. (2015). Volkwagen Skandalı, dizelin imajına darbe mi? https://www.bbc.com/turkce/ekonomi/2015/09/150924_volkswagen_dizel_yakit (Erişim tarihi: 5 Ağustos 2018).
Küçükşahin, H. & Coşkun, E., (2016). The Examination of the Volkswagen Emission Scandal’s Impact on the Stock Price Movements. European Scientific Journal, Special Edition, 56-69.
Lam, B. (2015). Phase Two of the Volkswagen Scandal: Lawsuits https://www.theatlantic.com/business/archive/2015/09/vw-volkswagen-lawsuits-emissionsscandal/ 407800/ (Erişim tarihi: 10 Ağustos 2018)
Lang, G. F. (2015). VW’s dieselgate - Loss of engineering integrity; a poor excuse for economic insanity. Sound and Vibration, 5-6.
Lawder, D. (2017), Timeline: Volkswagen's long road to a U.S. Dieselgate settlement, https://www.reuters.com/article/us-volkswagen-emissions-timeline/timeline-volkswagens-longroad- to-a-u-s-dieselgate-settlement-idUSKBN14V100, Editör: Mark Potter, 11 Ocak 2017, (Erişim tarihi: 10 Aralık 2018).
Muller, J. (2013), “How Volkswagen will rule the world”, Forbes, 17 Nisan, https://www.forbes.com/sites/joannmuller/2013/04/17/volkswagens-mission-to-dominate-globalauto- industry-gets-noticeably-harder/ (Erişim tarihi: 22 Temmuz 2018)
Nelson, D. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. doi:10.2307/2938260
Nunes, F. M., & Park, L. C. (2016). Caught red-handed: the cost of the Volkswagen Dieselgate. Journal of Global Responsibility, 7(2), 288–302. https://doi.org/10.1108/JGR-05-2016-0011
Siano, A., Vollero, A., Conte, F., & Amabile, S. (2017). “More than words”: Expanding the taxonomy of greenwashing after the Volkswagen scandal. Journal of Business Research, 71, 27–37. https://doi.org/10.1016/j.jbusres.2016.11.002
Snyder, B. & Jones, S.: Here’s a Timeline of Volkswagen’s Sinking Stock Price. Fortune. http://fortune.com/2015/09/23/volkswagen-stock-drop/ (Erişim tarihi: 23 Eylül 2018)
Stanwick, P. & Stanwick, S. (2017). Volkswagen Emissions Scandal: The Perils of Installing Illegal Software, International Review of Management and Business Research, Vol. 6, Issue 1. 18-24.
Vaccarino, E. (2015). The Impact of Volkswagen on the Automobile Stock Market, http://bruegel.org/2015/09/chart-of-the-week-the-impact-of-volkswagen-on-the-automobile-stockmarket/ (Erişim tarihi: 26 Temmuz 2018)
Volkswagen AG. (2015). Dissemination of an Ad Hoc Announcement According to x 15 WpHG (2015-09-22). https://www.volkswagenag.com/en/news/2015/9/Ad_hoc_US.html (Erişim tarihi: 5 Temmuz 2018)
Whyte, D. (2016). It’s common sense, stupid! Corporate crime and techniques of neutralization in the automobile industry. Crime, Law and Social Change, 66(2), 165–181. https://doi.org/10.1007/s10611-016- 9616-8
Wood, L. C., Wang, J. X., Duong, L. N. K., Reiners, T., & Smith, R. (2018). Stock Market Reactions to Auto Manufacturers’ Environmental Failures. Journal of Macromarketing, 1-19. https://doi.org/10.1177/0276146718781915
Xu, X. D., Zeng, S. X., & Tam, C. M. (2012). Stock Market’s Reaction to Disclosure of Environmental Violations: Evidence from China. Journal of Business Ethics, 107(2), 227–237. https://doi.org/10.1007/s10551-011-1035-2