- Sosyal Bilimler Araştırma Dergisi
- Vol: 12 Issue: 1
- The Impact of 2023 Turkey Earthquake on Istanbul Stock Market: Evidence from Fourier Volatility Spil...
The Impact of 2023 Turkey Earthquake on Istanbul Stock Market: Evidence from Fourier Volatility Spillover Test
Authors : Samet Gürsoy, Feyyaz Zeren, Mustafa Kevser, Gökçen Akyol, Mert Baran Tunçel
Pages : 98-105
View : 9 | Download : 4
Publication Date : 2023-03-31
Article Type : Makaleler
Abstract :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 : Doğal Afetler, 2023 Kahramanmaraş depremi, Fourier Volatilite Yayılımı Testi, Borsa İstanbul.