Vulnerability of Stock Markets to Earthquakes / The 7.7 and 7.6 Scale Earthquakes in Turkey in 2023: Sectors of Non-Metallic Mineral Products, Basic Metals and Construction & Infrastructure

Cagri Hamurcu

Makale detayları

Vulnerability of Stock Markets to Earthquakes / The 7.7 and 7.6 Scale Earthquakes in Turkey in 2023: Sectors of Non-Metallic Mineral Products, Basic Metals and Construction & Infrastructure

Yazarlar:

Cagri Hamurcu

Yayıncı:

Ahmet Arif EREN

Ana Başlıklar:

Finans

Dergi:

Politik Ekonomik Kuram Vol.7 Issue 2, pp.370-381

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001306466

pISSN:

2587-2567

Anahtar kelimeler:

Özet:

 This study aims to reveal whether stock markets are vulnerable to the effects of earthquakes and how they are affected by earthquakes. The 7.7 and 7.6 magnitude earthquakes in Turkey in February 2023 were explored. The impact of the earthquake on Borsa Istanbul was analyzed with the event study method, specific to non-metallic mineral products, basic metals, and construction  infrastructure sectors. Firstly, the paired-samples T-Test and the Wilcoxon Signed Ranks Test were used to evaluate whether there was a difference that was statistically significant in the cumulative abnormal returns CARs of the sector-specific indexes in the 5, 10, 15, 20, 25, 30, 35, 40, 45 and 50 hour time periods prior to and following the earthquake first occurred. The first results indicate that for all evaluated time intervals, the first occurred earthquake had positive effects on the CARs of the non-metallic mineral products and base metals sector indices and negative effects on the construction  infrastructure sector indices. Secondly, the effects of both the first and second earthquakes were analyzed with the Seemingly Unrelated Regressions SUR Model. According to the SUR Model analysis, the direction of the effects of the first earthquake is consistent with the first findings. In this model, the direction of the effects of the second earthquake is also compatible with the direction of the effects of the first earthquake, but the size and trend of the consequences of these earthquakes change over time. The findings are expected to contribute to the literature by shedding light on how sectors can respond to catastrophes like earthquakes occurrences at the micro level.

 This study aims to reveal whether stock markets are vulnerable to the effects of earthquakes and how they are affected by earthquakes. The 7.7 and 7.6 magnitude earthquakes in Turkey in February 2023 were explored. The impact of the earthquake on Borsa Istanbul was analyzed with the event study method, specific to non-metallic mineral products, basic metals, and construction  infrastructure sectors. Firstly, the paired-samples T-Test and the Wilcoxon Signed Ranks Test were used to evaluate whether there was a difference that was statistically significant in the cumulative abnormal returns CARs of the sector-specific indexes in the 5, 10, 15, 20, 25, 30, 35, 40, 45 and 50 hour time periods prior to and following the earthquake first occurred. The first results indicate that for all evaluated time intervals, the first occurred earthquake had positive effects on the CARs of the non-metallic mineral products and base metals sector indices and negative effects on the construction  infrastructure sector indices. Secondly, the effects of both the first and second earthquakes were analyzed with the Seemingly Unrelated Regressions SUR Model. According to the SUR Model analysis, the direction of the effects of the first earthquake is consistent with the first findings. In this model, the direction of the effects of the second earthquake is also compatible with the direction of the effects of the first earthquake, but the size and trend of the consequences of these earthquakes change over time. The findings are expected to contribute to the literature by shedding light on how sectors can respond to catastrophes like earthquakes occurrences at the micro level.

 This study aims to reveal whether stock markets are vulnerable to the effects of earthquakes and how they are affected by earthquakes. The 7.7 and 7.6 magnitude earthquakes in Turkey in February 2023 were explored. The impact of the earthquake on Borsa Istanbul was analyzed with the event study method, specific to non-metallic mineral products, basic metals, and construction  infrastructure sectors. Firstly, the paired-samples T-Test and the Wilcoxon Signed Ranks Test were used to evaluate whether there was a difference that was statistically significant in the cumulative abnormal returns CARs of the sector-specific indexes in the 5, 10, 15, 20, 25, 30, 35, 40, 45 and 50 hour time periods prior to and following the earthquake first occurred. The first results indicate that for all evaluated time intervals, the first occurred earthquake had positive effects on the CARs of the non-metallic mineral products and base metals sector indices and negative effects on the construction  infrastructure sector indices. Secondly, the effects of both the first and second earthquakes were analyzed with the Seemingly Unrelated Regressions SUR Model. According to the SUR Model analysis, the direction of the effects of the first earthquake is consistent with the first findings. In this model, the direction of the effects of the second earthquake is also compatible with the direction of the effects of the first earthquake, but the size and trend of the consequences of these earthquakes change over time. The findings are expected to contribute to the literature by shedding light on how sectors can respond to catastrophes like earthquakes occurrences at the micro level.

 Öz: Bu çalışma, borsaların deprem etkilerine karşı kırılgan olup olmadığını ve depremden nasıl etkilendiklerini ortaya çıkarmayı amaçlamaktadır. Bu amaçla Türkiyede Şubat 2023te meydana gelen 7,7 ve 7,6 büyüklüğündeki depremler araştırılmıştır. Depremin Borsa İstanbula etkisi, taş toprak, metal ana, inşaat ve bayındırlık işleri sektörleri özelinde olay çalışması yöntemiyle analiz edilmiştir. İlk olarak, sektörlere özgü endekslerin ilk depremden önceki ve sonraki 5, 10, 15, 20, 25, 30, 35, 40, 45 ve 50 saatlik zaman periyodlarındaki kümülatif anormal getirileri arasında istatistiksel olarak anlamlı bir fark olup olmadığını değerlendirmek için Eşleştirilmiş Örneklem T Testi ve Wilcoxon İşaretli Sıralar Testi uygulanmıştır. Sonuçlar, ilk meydana gelen depremin ele alınan tüm zaman aralıklarında taş toprak ve metal ana sektörü endekslerini olumlu, inşaat ve bayındırlık işleri endeksini ise olumsuz etkilediğini göstermektedir. İkinci olarak hem birinci hem de ikinci depremlerin etkileri Görünüşte İlişkisiz Regresyonlar SUR Modeli ile de analiz edilmiştir. SUR Modeli analizine göre, ilk depremin etkilerinin yönü ilk bulgularımızla tutarlıdır. Bu modele ait sonuçlar, ikinci depremin etkilerinin yönünün birinci deprem ile uyumlu olduğunu gösterirken, etkilerin büyüklüğünün ve eğiliminin zamanla değişmekte olduğunu ortaya koymaktadır. Bulguların, sektörlerin deprem gibi felaketlere mikro düzeyde nasıl tepki verebileceğine ışık tutarak literatüre katkı sağlaması beklenmektedir.

Makale detayları

Vulnerability of Stock Markets to Earthquakes / The 7.7 and 7.6 Scale Earthquakes in Turkey in 2023: Sectors of Non-Metallic Mineral Products, Basic Metals and Construction & Infrastructure

Yazarlar:

Cagri Hamurcu

Yayıncı:

Ahmet Arif EREN

Ana Başlıklar:

Finans

Dergi:

Politik Ekonomik Kuram Vol.7 Issue 2, pp.370-381

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001306466

pISSN:

2587-2567

earthquake

stock market

non-metallic mineral products

basic metals

construction and infrastructuredeprem

borsa

taş toprak

metal ana

inşaat ve bayındırlık işleri

Sayı

Makale detayları

Yazarlar: Cagri Hamurcu

Yayıncı: Ahmet Arif EREN

Ana Başlıklar: Finans

Dergi: Politik Ekonomik Kuram Vol.7 Issue 2, pp.370-381

Belge Tipi: Makale

Yayın Tarihi: 12/2023

Belge Dili: İngilizce

Document ID (Org No.): 2001306466

pISSN: 2587-2567

Sayı

Yazarlar:

Cagri Hamurcu

Yayıncı:

Ahmet Arif EREN

Ana Başlıklar:

Finans

Dergi:

Politik Ekonomik Kuram Vol.7 Issue 2, pp.370-381

Belge Tipi:

Makale

Yayın Tarihi:

12/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001306466

pISSN:

2587-2567