Samet GÜRSOY, Feyyaz ZEREN, Mustafa KEVSER, Gökçen AKYOL, Mert Baran TUNÇEL

2023 Türkiye Depreminin Borsa İstanbul Üzerindeki Etkisi: Fourier Volatilite Yayılımı Testinden Kanıtlar

Bu çalışma 2023 Türkiye depreminin finansal piyasalar üzerindeki etkilerini araştırmaktadır. 06.02.2023 tarihinde Türkiye’de gerçekleşen ve Kahramanmaraş merkez kaynaklı 7,7 ve 7,6 büyüklüğünde meydana gelen depremler 11 ili (Kahramanmaraş, Hatay, Gaziantep, Malatya, Diyarbakır, Kilis, Şanlıurfa, Osmaniye, Adıyaman, Adana, Elâzığ) etkilemiştir. Bu bağlamda çalışmada bu denli büyük bir felaketin Türkiye’de sektörel bazlı olarak finansal piyasalar nezdinde etkisi araştırılmak istenmiştir. Çalışma iki günlük süreçte (06.02.2023, 07.02.2023) gerçekleşen dakikalık depremler ve bunlar ile eşleşen endeks fiyatlarından oluşmaktadır. Endeksler ise Borsa İstanbul’da yer alan BIST Gıda, İçecek, BIST GMYO, BIST Madencilik, BIST Bankalar, BIST Aracı Kurumlar, BIST Teknoloji, BIST KOBİ Sanayi, BIST Tekstil, Deri gibi önde gelen büyük sektörleri kapsamaktadır. Çalışmanın ekonometrik uygulama kısmında trigonometrik fonksiyonları kullanarak varyanstaki yumuşak geçişli kırılmaları hesaba katabilen Li ve Enders (2018) Fourier Volatilite Yayılımı testinden yararlanılmıştır. Analiz sonuçlarına göre depremin etkileri sektörler için farklılık göstermektedir. Gerçekleşen deprem büyüklüğünün Borsa İstanbul’da yer alan Gıda, GMYO ve Madencilik sektörlerinde volatilite yayılımı bakımından bir etkisi olmadığı tespit edilirken; Bankacılık, Aracı Kurumlar, Bilişim, KOBİ ve tekstil sektörlerinde ise deprem büyüklüğünden bu endekslere doğru volatilitede nedensellik etkisi görüldüğü bulgusuna ulaşılmıştır.

Anahtar Kelimeler:

Doğal Afetler, 2023 Kahramanmaraş depremi, Fourier Volatilite Yayılımı Testi, Borsa İstanbul.

The Impact of 2023 Turkey Earthquake on Istanbul Stock Market: Evidence from Fourier Volatility Spillover Test

This study investigates the effects of the 2023 Turkey earthquake on financial markets. This great disaster that took place in Turkey on 06.02.2023, Earthquakes originating from the center of Kahramanmaraş occurred with magnitudes of 7.7 and 7.6, and affected 11 cities (Kahramanmaraş, Hatay, Gaziantep, Malatya, Diyarbakır, Kilis, Şanlıurfa, Osmaniye, Adıyaman, Adana, Elazığ). Thus, the impact of such a major disaster on the financial markets in Turkey on a sectoral basis was sought to be investigated. The study consists of minute earthquakes that took place in a two-day (06.02.2023, 07.02.2023) period and the stock market index prices that match them. The indices, on the other hand, cover leading large sectors such as BIST Food, Beverage, BIST GMYO, BIST Mining, BIST Banks, BIST Brokerage Houses, BIST Inf. Technology, BIST SME Industrial, BIST Textile, Leather. In the econometric application part of the study, Li and Enders (2018) Fourier Volatility Spread test, which can take into account smooth transition breaks in variance by using trigonometric functions, was used. According to the results of the analysis, the effects of the earthquake differ for the sectors. While it was found that the earthquake-sized effect did not have an effect in the Food, REIT and Mining sectors traded in Borsa İstanbul, it was found that there was a causality effect in the volatility in the Banking, Brokerage, IT, SME and textile sectors.

Keywords:

Natural Disasters, 2023 Kahramanmaraş earthquake, Fourier Volatility Spillover Test, İstanbul Stock Exchange.,

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