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Finansal Piyasalarda Seçili Yatırım Araçlarının Rusya-Ukrayna Savaşına Tepkisinin Olay Çalışması Yaklaşımı ile İncelenmesi

Yıl 2023, Cilt: 24 Sayı: 2, 257 - 265, 19.04.2023

Mahammad Charkasov , Gizem Arı , Vedat Sarıkovanlık

https://doi.org/10.37880/cumuiibf.1233370

Öz

Rusya’nın 24 Şubat 2022 tarihinde Ukrayna’ya karşı geniş kapsamlı askeri harekâtı başlatması ile küresel piyasalarda beklenmedik hareketlilikler görülmüştür. Bu çalışmada, finansal piyasalarda işlem gören seçili yatırım aracı fiyatlarının savaşın başladığı tarih etrafındaki davranışları, olay çalışması metodolojisi kullanılarak incelenmiştir. Bu amaç doğrultusunda, ilgili olaya karşı yatırım araçlarının kısa ve uzun dönemli tepkisini ölçebilmek için farklı piyasaları temsilen ons altın, ham petrol, euro/dolar paritesi ve MSCI global hisse senedi endeksine ait günlük veriler çalışmanın veri seti olarak belirlenmiştir. Söz konusu metodoloji kullanılarak, aynı zamanda etkinlik hipotezi çerçevesinde finansal piyasaların etkinliği sınanmaya çalışılmıştır. Çalışma kapsamında öncelikle her bir yatırım aracına ait anomali getirileri (AR) ve kümülatif anomali getirilerinin (CAR) anlamlılıkları test edilmiştir. Oluşturulan dört farklı olay penceresi içerisinde ons altın ve ham petrol fiyatlarının ilgili olaya pozitif yönde tepki verdiği görülürken, euro/dolar paritesi ve MSCI global hisse senedi endeksi fiyatlarında negatif yönde bir hareketlilik gözlemlenmiştir. Özellikle, ons altın belirlenmiş tüm olay pencereleri içerisinde olaya çok güçlü tepki vererek diğer yatırım araçlarından ayrışmıştır. Elde edilen bu bulgu, kriz dönemlerinde altının, yatırımcılar tarafından güvenli bir liman olarak görüldüğünü destekler niteliktedir. Olay çalışması metodolojisinin uygulanmasıyla anlamlı anomali getirilerinin elde edilmesi, söz konusu yatırım araçlarının işlem gördüğü finansal piyasaların yarı güçlü formda etkin olmadığı sonucunu ortaya çıkarmıştır.

Anahtar Kelimeler

Rusya-Ukrayna Savaşı Finansal Piyasalar Olay Çalışması Piyasa Etkinliği

Kaynakça

  • 1. Afik, Z., Cohen, T.R., Lahav, Y. (2022). Getting high on cannabis stock returns an event study. Finance Research Letters, 46, 102226.
  • 2. Ahmed, S., Hasan, M.M., Kamal, M.R. (2022). Russia–Ukraine crisis: The effects on the European stock market. European Financial Management, 1-41.
  • 3. Ashley, J.W. (1962). Stock prices and changes in earnings and dividends: some emprical results. Journal of Political Economy, 70(1): 82-85.
  • 4. Ball, R., Brown, P. (1968). An emprical evaluation of accounting income numbers. Journal of Accounting Research, 159-178.
  • 5. Barker, C.A. (1956). Effective stock splits. Harward Business Review, 34(1): 101-06.
  • 6. Basdas, U., Oran, A. (2014). Event studies in Turkey. Borsa Istanbul Review, 14(3): 167-188.
  • 7. Binder, J. (1998). The event study methodology since 1969. Review of Quantitative Finance and Accounting, 11(2): 111-137.
  • 8. Boehmer, E., Masumeci, J., Poulsen, A.B. (1991). Event-study methodology under conditions of event-induced variance. Journal of Financial Economics, 30(2): 253-272.
  • 9. Boubaker, S., Goodell, J.W., Pandey, D.K., Kumari, V. (2022). Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine. Finance Research Letters, 48.
  • 10. Boungou, W., Yatié, A. (2022). The impact of the Ukraine–Russia war on world stock market returns. Economics Letters, 215: 1-3.
  • 11. Brown, S.J., Warner, J.B. (1980). Measuring security price performance. Journal of Financial Economics, 8(3): 205-258.
  • 12. Buigut, S., Kapar, B. (2020). Effect of Qatar diplomatic and economic isolation on GCC stock markets: An event study approach. Finance Research Letters, 37.
  • 13. Chortane, S.G., Pandey, D.K. (2022). Does the Russia-Ukraine war lead to currency asymmetries? A US dollar tale. The Journal of Economic Asymmetries, 26: 1-15.
  • 14. Dolley, J.C. (1933). Open market buying as a stimulant for the bond market. Journal of Political Economy, 41(4): 513-529.
  • 15. European Comission. (2022). EU trade relations with Russia. Facts, figures and latest developments, Erişim Tarihi: 27.09.2022, https://policy.trade.ec.europa.eu/eu-trade-relationships-country-and-region/countries-and-regions/russia_en#:%7E:text=Trade%20picture%26text=The%20EU%20is%20Russia%27s%20biggest,of%20the%20EU%27s%20gas%20imports%2A
  • 16. European Parliament. (2022, Mart 11). EU economic and financial developments: Weekly Picks, Erişim Tarihi: 27.09.2022, https://www.europarl.europa.eu/RegData/etudes/BRIE/2022/689436/IPOL_BRI(2022)689436_EN.pdf
  • 17. Eğilmez, M. (2022, Mart 6). Ukrayna Savaşının Ekonomik Etkileri: Güncel Değerlendirme, Erişim Tarihi: 27.09.2022, Kendime Yazılar: https://www.mahfiegilmez.com/2022/03/ukrayna-savasnn-ekonomik-etkileri.html
  • 18. Fama, E.F., Fisher, L., Jensen, M.C., Roll, R. (1969). The adjustment of stock prices to new information. International Economic Review, 10(1): 1-21.
  • 19. Fama, E.F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2): 383-417.
  • 20. Ma, R.R., Xiong, T., Bao, Y. (2021). The Russia-Saudi Arabia oil price war during the COVID-19 pandemic. Energy Economics, 102.
  • 21. MacKinlay, A.C. (1997). Event studies in economics and finance. Journal of Economic Literature, 35(1): 13-39.
  • 22. Myers, J.H., Bakay, A.J. (1948). Influence of stock split-ups on market price. Harvard Business Review, 26(2): 251-255.
  • 23. Omar, A.M., Wisniewski, T.P., Nolte, S. (2017). Diversifying away the risk of war and cross-border political crisis. Energy Economics, 64: 494-510.
  • 24. Peterson, P.P. (1989). Event studies: A review of issues and methodology. Quarterly Journal of Business and Economics, 36-66.
  • 25. Rasheed, H., Ahmad, H., Javid, A.Y. (2021). Gold vs. PSX sectors during political uncertainties: An event study analysis. IBA Business Review, 16(2): 1-20.
  • 26. Roache, S.K., Rossi, M. (2010). The effects of economic news on commodity prices. The Quarterly Review of Economics and Finance, 50(3): 377-385.
  • 27. Santomero, A.M., Babbel, D.F. (2001). Financial markets, instruments, and institutions. McGraw-Hill College.
  • 28. Sun, M., Zhang, C. (2022). Comprehensive analysis of global stock market reactions to the Russia-Ukraine war. Applied Economics Letters, 1-8.
  • 29. Sun, M., Song, H., Zhang, C. (2022). The effects of 2022 Russian invasion of Ukraine on global stock markets: An event study approach. Available at SSRN 4051987.
  • 30. Umar, Z., Polat, O., Choi, S.Y., Teplova, T. (2022). The impact of the Russia-Ukraine conflict on the connectedness of financial markets. Finance Research Letters, 48.
  • 31. Yatie, A. (2022, March 23). Failure of Gold, Bitcoin and Ethereum as safe havens during the Ukraine-Russia war. Bordeaux Economics Working Papers, 1-8.
  • 32. Yousaf, I., Patel, R., Yarovaya, L. (2022). The reaction of G20+ stock markets to the Russia-Ukraine conflict. SSRN Electronic Journal.

Investigatıon of the Reaction of Selected Investment Instruments in Financial Markets to the Russia-Ukraine War with an Event Study Approach

Yıl 2023, Cilt: 24 Sayı: 2, 257 - 265, 19.04.2023

Mahammad Charkasov , Gizem Arı , Vedat Sarıkovanlık

https://doi.org/10.37880/cumuiibf.1233370

Öz

Unexpected movements were seen in the global financial markets by Russia's launch of a massive military assault against Ukraine on February 24, 2022. In this study, we make an effort to use the event study methodology to investigate the behavior of the prices of selected financial instruments around the event date. We selected daily data of ounce gold, crude oil, EUR/USD, and MSCI global stock index representing various markets as the data set of the study for this purpose in order to be able to see the short and long-term response of investment instruments to the pertinent event. We want to evaluate the efficiency of financial markets using the methods mentioned above. We first tested the significance of the abnormal returns (AR) and cumulative abnormal returns (CAR) of each investment instrument within the study’s parameters. We provide evidence that the described event has a negative impact on EUR/USD and global stock index prices during each of the four potential event windows while having a positive effect on ounce gold and crude oil prices. In particular, ounce gold stands out from other financial instruments by responding to the event strongly within all event windows. This finding supports that investors mainly tend to prefer gold as a safe haven in times of crisis. The event study approach shows that the financial markets are not efficient in semi-strong form when significant abnormal returns are obtained.

Anahtar Kelimeler

Russia-Ukraine War Financial Markets Event Study Market Efficiency

Kaynakça

  • 1. Afik, Z., Cohen, T.R., Lahav, Y. (2022). Getting high on cannabis stock returns an event study. Finance Research Letters, 46, 102226.
  • 2. Ahmed, S., Hasan, M.M., Kamal, M.R. (2022). Russia–Ukraine crisis: The effects on the European stock market. European Financial Management, 1-41.
  • 3. Ashley, J.W. (1962). Stock prices and changes in earnings and dividends: some emprical results. Journal of Political Economy, 70(1): 82-85.
  • 4. Ball, R., Brown, P. (1968). An emprical evaluation of accounting income numbers. Journal of Accounting Research, 159-178.
  • 5. Barker, C.A. (1956). Effective stock splits. Harward Business Review, 34(1): 101-06.
  • 6. Basdas, U., Oran, A. (2014). Event studies in Turkey. Borsa Istanbul Review, 14(3): 167-188.
  • 7. Binder, J. (1998). The event study methodology since 1969. Review of Quantitative Finance and Accounting, 11(2): 111-137.
  • 8. Boehmer, E., Masumeci, J., Poulsen, A.B. (1991). Event-study methodology under conditions of event-induced variance. Journal of Financial Economics, 30(2): 253-272.
  • 9. Boubaker, S., Goodell, J.W., Pandey, D.K., Kumari, V. (2022). Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine. Finance Research Letters, 48.
  • 10. Boungou, W., Yatié, A. (2022). The impact of the Ukraine–Russia war on world stock market returns. Economics Letters, 215: 1-3.
  • 11. Brown, S.J., Warner, J.B. (1980). Measuring security price performance. Journal of Financial Economics, 8(3): 205-258.
  • 12. Buigut, S., Kapar, B. (2020). Effect of Qatar diplomatic and economic isolation on GCC stock markets: An event study approach. Finance Research Letters, 37.
  • 13. Chortane, S.G., Pandey, D.K. (2022). Does the Russia-Ukraine war lead to currency asymmetries? A US dollar tale. The Journal of Economic Asymmetries, 26: 1-15.
  • 14. Dolley, J.C. (1933). Open market buying as a stimulant for the bond market. Journal of Political Economy, 41(4): 513-529.
  • 15. European Comission. (2022). EU trade relations with Russia. Facts, figures and latest developments, Erişim Tarihi: 27.09.2022, https://policy.trade.ec.europa.eu/eu-trade-relationships-country-and-region/countries-and-regions/russia_en#:%7E:text=Trade%20picture%26text=The%20EU%20is%20Russia%27s%20biggest,of%20the%20EU%27s%20gas%20imports%2A
  • 16. European Parliament. (2022, Mart 11). EU economic and financial developments: Weekly Picks, Erişim Tarihi: 27.09.2022, https://www.europarl.europa.eu/RegData/etudes/BRIE/2022/689436/IPOL_BRI(2022)689436_EN.pdf
  • 17. Eğilmez, M. (2022, Mart 6). Ukrayna Savaşının Ekonomik Etkileri: Güncel Değerlendirme, Erişim Tarihi: 27.09.2022, Kendime Yazılar: https://www.mahfiegilmez.com/2022/03/ukrayna-savasnn-ekonomik-etkileri.html
  • 18. Fama, E.F., Fisher, L., Jensen, M.C., Roll, R. (1969). The adjustment of stock prices to new information. International Economic Review, 10(1): 1-21.
  • 19. Fama, E.F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2): 383-417.
  • 20. Ma, R.R., Xiong, T., Bao, Y. (2021). The Russia-Saudi Arabia oil price war during the COVID-19 pandemic. Energy Economics, 102.
  • 21. MacKinlay, A.C. (1997). Event studies in economics and finance. Journal of Economic Literature, 35(1): 13-39.
  • 22. Myers, J.H., Bakay, A.J. (1948). Influence of stock split-ups on market price. Harvard Business Review, 26(2): 251-255.
  • 23. Omar, A.M., Wisniewski, T.P., Nolte, S. (2017). Diversifying away the risk of war and cross-border political crisis. Energy Economics, 64: 494-510.
  • 24. Peterson, P.P. (1989). Event studies: A review of issues and methodology. Quarterly Journal of Business and Economics, 36-66.
  • 25. Rasheed, H., Ahmad, H., Javid, A.Y. (2021). Gold vs. PSX sectors during political uncertainties: An event study analysis. IBA Business Review, 16(2): 1-20.
  • 26. Roache, S.K., Rossi, M. (2010). The effects of economic news on commodity prices. The Quarterly Review of Economics and Finance, 50(3): 377-385.
  • 27. Santomero, A.M., Babbel, D.F. (2001). Financial markets, instruments, and institutions. McGraw-Hill College.
  • 28. Sun, M., Zhang, C. (2022). Comprehensive analysis of global stock market reactions to the Russia-Ukraine war. Applied Economics Letters, 1-8.
  • 29. Sun, M., Song, H., Zhang, C. (2022). The effects of 2022 Russian invasion of Ukraine on global stock markets: An event study approach. Available at SSRN 4051987.
  • 30. Umar, Z., Polat, O., Choi, S.Y., Teplova, T. (2022). The impact of the Russia-Ukraine conflict on the connectedness of financial markets. Finance Research Letters, 48.
  • 31. Yatie, A. (2022, March 23). Failure of Gold, Bitcoin and Ethereum as safe havens during the Ukraine-Russia war. Bordeaux Economics Working Papers, 1-8.
  • 32. Yousaf, I., Patel, R., Yarovaya, L. (2022). The reaction of G20+ stock markets to the Russia-Ukraine conflict. SSRN Electronic Journal.
Toplam 32 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Finans
Bölüm Makaleler
Yazarlar

Mahammad Charkasov 0000-0001-7066-7829

Gizem Arı 0000-0001-7536-1407

Vedat Sarıkovanlık 0000-0002-7152-6275

Erken Görünüm Tarihi 14 Nisan 2023
Yayımlanma Tarihi 19 Nisan 2023
Gönderilme Tarihi 12 Ocak 2023
Yayımlandığı Sayı Yıl 2023Cilt: 24 Sayı: 2

Kaynak Göster

APA Charkasov, M., Arı, G., & Sarıkovanlık, V. (2023). Finansal Piyasalarda Seçili Yatırım Araçlarının Rusya-Ukrayna Savaşına Tepkisinin Olay Çalışması Yaklaşımı ile İncelenmesi. Cumhuriyet Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 24(2), 257-265. https://doi.org/10.37880/cumuiibf.1233370
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