The effects of the global economic crisis and the European debt crisis on Turkish stock market: Event study approach

Over the last two decades the world faced two major economic crises. The one of them is known as "global financial crisis" and the other and a more recent one is called as "the European debt crisis." Both economic crises have had a far reaching dramatic effect on countries around the world. This dramatic effect can be exemplified by downturn in stock markets, bankruptcies, rises in unemployment, difficulty life conditions. The main aim of the present study is to investigate how the effect of the subsequent economic crises on Borsa Istanbul and is to analize the efficiency of the market in times of crises. For this purpose, responsiveness of BIST to global economic crisis news and European debt crisis news was estimated with event study methodology. In this study, twenty seven economic, political and social news were used as events. The data which is used in this study daily closing stock prices of BIST100 (XU100), BIST Financials (XUMAL), BIST Industrials (XUSIN), and BIST Services (XUHIZ) indices between 2000 - 2017. As a result of the study, significant negative abnormal and cumulative abnormal returns were observed in both crises periods, but they were more in amount during the global financial crisis. For this reason, it was seen that the global financial crisis has more negative effect on Borsa Istanbul more than European debt crisis. Besides, it was concluded that the market was not efficient during these crises periods because of the getting significant cumulative abnormal and abnormal returns from the market.