GOOD FORECASTING OR INFORMATION LEAKAGE EXPLAINING MARKET BEHAVIOR PRIOR TO THE ANNOUNCEMENT OF SOVEREIGN RATING DOWNGRADES: EVIDENCE FROM TURKEY
Yıl: 2020 Cilt: 42 Sayı: 2 Sayfa Aralığı: 327 - 339 Metin Dili: İngilizce DOI: 10.14780/muiibd.854499 İndeks Tarihi: 29-07-2022
GOOD FORECASTING OR INFORMATION LEAKAGE EXPLAINING MARKET BEHAVIOR PRIOR TO THE ANNOUNCEMENT OF SOVEREIGN RATING DOWNGRADES: EVIDENCE FROM TURKEY
Öz: This paper aims to empirically test the impact of Turkey’s sovereign credit rating downgrades by threemajor credit rating agencies on the Borsa İstanbul equity market prior to the official announcement,and to ascertain whether any significant impact found is due to market players’ accurate forecasting orinformation leakages. In this paper, the effects of nine downgrade announcements between 2016 and 2018are analyzed using the Event Study method. In eight of the nine events, statistically significant negativecumulative abnormal returns were estimated during the five trading days before the announcement.Evidence suggests that three of the eight events reflected information leakage to the market, and fiveindicated sound forecasting by market players alongside some information leakage. These results revealthat it is necessary to take preventive measures against information leakage before the announcement ofthe ratings assessments.
Anahtar Kelime: ÜLKE KREDİ DERECELENDİRME NOTLARININ DÜŞÜRÜLMESİNE İLİŞKİN DUYURULAR ÖNCESİNDE PİYASANIN DAVRANIŞINI İYİ TAHMİN Mİ BİLGİ SIZINTISI MI AÇIKLIYOR: TÜRKİYE ÖRNEĞİ
Öz: Bu çalışmada, üç büyük kredi derecelendirme kuruluşunun Türkiye için yaptığı aşağı yönlü kredi not değişikliği duyurularının duyuru öncesindeki dönemde Borsa İstanbul pay piyasasına etkisi incelenmiş;eğer önemli bir etki varsa, bu etkinin piyasa oyuncularının notu iyi tahmin etmelerinden mi yoksa piyasaya önceden bilgi sızmasından mı kaynaklandığı ampirik olarak test edilmiştir. Bu amaçla, 2016- 2018 döneminde 9 ayrı tarihteki not düşürme duyurusunun etkisi Olay Çalışması yöntemi ile analiz edilmiştir. Araştırma sonucunda, not düşüşlerinin olduğu 9 tarihin 8’inde, not duyurusu öncesindeki beş işlem gününde istatistiksel olarak anlamlı negatif kümülatif anormal getiriler tahmin edilmiştir. Duyurular öncesinde negatif kümülatif anormal getiriler tespit edilen söz konusu 8 not açıklamasının 3’ünde bilgi sızıntısı olduğuna, 5’inde ise piyasanın not tahminini iyi yaptığına ancak belli bir dereceye kadar piyasaya önceden bilgi de sızmış olabileceğine dair bulgulara ulaşılmıştır. Bu sonuçlar, not duyuruları öncesinde bilgi sızıntısına karşı önleyici tedbirlerin alınmasının gerekli olduğunu ortaya koymaktadır.
Anahtar Kelime: Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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| APA | Kılıç S, Alp A, Delikanli I (2020). GOOD FORECASTING OR INFORMATION LEAKAGE EXPLAINING MARKET BEHAVIOR PRIOR TO THE ANNOUNCEMENT OF SOVEREIGN RATING DOWNGRADES: EVIDENCE FROM TURKEY. , 327 - 339. 10.14780/muiibd.854499 |
| Chicago | Kılıç Saim,Alp Ali,Delikanli Ihsan Ugur GOOD FORECASTING OR INFORMATION LEAKAGE EXPLAINING MARKET BEHAVIOR PRIOR TO THE ANNOUNCEMENT OF SOVEREIGN RATING DOWNGRADES: EVIDENCE FROM TURKEY. (2020): 327 - 339. 10.14780/muiibd.854499 |
| MLA | Kılıç Saim,Alp Ali,Delikanli Ihsan Ugur GOOD FORECASTING OR INFORMATION LEAKAGE EXPLAINING MARKET BEHAVIOR PRIOR TO THE ANNOUNCEMENT OF SOVEREIGN RATING DOWNGRADES: EVIDENCE FROM TURKEY. , 2020, ss.327 - 339. 10.14780/muiibd.854499 |
| AMA | Kılıç S,Alp A,Delikanli I GOOD FORECASTING OR INFORMATION LEAKAGE EXPLAINING MARKET BEHAVIOR PRIOR TO THE ANNOUNCEMENT OF SOVEREIGN RATING DOWNGRADES: EVIDENCE FROM TURKEY. . 2020; 327 - 339. 10.14780/muiibd.854499 |
| Vancouver | Kılıç S,Alp A,Delikanli I GOOD FORECASTING OR INFORMATION LEAKAGE EXPLAINING MARKET BEHAVIOR PRIOR TO THE ANNOUNCEMENT OF SOVEREIGN RATING DOWNGRADES: EVIDENCE FROM TURKEY. . 2020; 327 - 339. 10.14780/muiibd.854499 |
| IEEE | Kılıç S,Alp A,Delikanli I "GOOD FORECASTING OR INFORMATION LEAKAGE EXPLAINING MARKET BEHAVIOR PRIOR TO THE ANNOUNCEMENT OF SOVEREIGN RATING DOWNGRADES: EVIDENCE FROM TURKEY." , ss.327 - 339, 2020. 10.14780/muiibd.854499 |
| ISNAD | Kılıç, Saim vd. "GOOD FORECASTING OR INFORMATION LEAKAGE EXPLAINING MARKET BEHAVIOR PRIOR TO THE ANNOUNCEMENT OF SOVEREIGN RATING DOWNGRADES: EVIDENCE FROM TURKEY". (2020), 327-339. https://doi.org/10.14780/muiibd.854499 |
| APA | Kılıç S, Alp A, Delikanli I (2020). GOOD FORECASTING OR INFORMATION LEAKAGE EXPLAINING MARKET BEHAVIOR PRIOR TO THE ANNOUNCEMENT OF SOVEREIGN RATING DOWNGRADES: EVIDENCE FROM TURKEY. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 42(2), 327 - 339. 10.14780/muiibd.854499 |
| Chicago | Kılıç Saim,Alp Ali,Delikanli Ihsan Ugur GOOD FORECASTING OR INFORMATION LEAKAGE EXPLAINING MARKET BEHAVIOR PRIOR TO THE ANNOUNCEMENT OF SOVEREIGN RATING DOWNGRADES: EVIDENCE FROM TURKEY. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 42, no.2 (2020): 327 - 339. 10.14780/muiibd.854499 |
| MLA | Kılıç Saim,Alp Ali,Delikanli Ihsan Ugur GOOD FORECASTING OR INFORMATION LEAKAGE EXPLAINING MARKET BEHAVIOR PRIOR TO THE ANNOUNCEMENT OF SOVEREIGN RATING DOWNGRADES: EVIDENCE FROM TURKEY. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, vol.42, no.2, 2020, ss.327 - 339. 10.14780/muiibd.854499 |
| AMA | Kılıç S,Alp A,Delikanli I GOOD FORECASTING OR INFORMATION LEAKAGE EXPLAINING MARKET BEHAVIOR PRIOR TO THE ANNOUNCEMENT OF SOVEREIGN RATING DOWNGRADES: EVIDENCE FROM TURKEY. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2020; 42(2): 327 - 339. 10.14780/muiibd.854499 |
| Vancouver | Kılıç S,Alp A,Delikanli I GOOD FORECASTING OR INFORMATION LEAKAGE EXPLAINING MARKET BEHAVIOR PRIOR TO THE ANNOUNCEMENT OF SOVEREIGN RATING DOWNGRADES: EVIDENCE FROM TURKEY. Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi. 2020; 42(2): 327 - 339. 10.14780/muiibd.854499 |
| IEEE | Kılıç S,Alp A,Delikanli I "GOOD FORECASTING OR INFORMATION LEAKAGE EXPLAINING MARKET BEHAVIOR PRIOR TO THE ANNOUNCEMENT OF SOVEREIGN RATING DOWNGRADES: EVIDENCE FROM TURKEY." Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi, 42, ss.327 - 339, 2020. 10.14780/muiibd.854499 |
| ISNAD | Kılıç, Saim vd. "GOOD FORECASTING OR INFORMATION LEAKAGE EXPLAINING MARKET BEHAVIOR PRIOR TO THE ANNOUNCEMENT OF SOVEREIGN RATING DOWNGRADES: EVIDENCE FROM TURKEY". Marmara Üniversitesi İktisadi ve İdari Bilimler Dergisi 42/2 (2020), 327-339. https://doi.org/10.14780/muiibd.854499 |
