Politik ve ekonomik haberlerin İstanbul Menkul Kıymetler Borsası'nın güniçi performansına etkileri

ABSTRACT THE EFFECTS OF POLITICAL AND ECONOMIC NEWS ON THE INTRADAILY PERFORMANCE OF THE ISTANBUL STOCK EXCHANGE Ayça İlkuçan M. S., Department of Business Administration Supervisor: Asst. Prof. Zeynep Önder September 2004 This study aims to analyze the immediate effects of political and economic news on the intradaily performance of the ISE100 stock index. For the period between August 1, 2002 and March 31, 2003, both domestic and foreign news are collected from the Reuters Turkish language news service and divided into four main categories and 44 sub-categories. First using an event study methodology, parametric and non- parametric tests are employed to compare the ISE100 index returns in the 5-minute frequency during the event window of the news to a control sample, which contains returns of intervals with no news. Second, six GARCH (1,1) models are estimated using returns in the 1 5-minute frequency, with dummy variables representing seasonal factors and news categories. Overall, political news are found to increase significantly both mean and variability of returns. Among the individual sub categories, the findings indicate that news about the Iraq Crisis/War, November 2002 elections and Cyprus peace negotiations influence intradaily index returns significantly. Although no significant impact of domestic economic news is found on mean and variability of returns using the broad classification of news, specifically, news about employment, forced savings, production, budget, taxes and CBRT auctions and economic news from other countries are found to affect the returns. Keywords: Political news, economic news, event study, intradaily returns, Istanbul Stock Exchange, seasonality, Iraq Crisis, Reuters m