Pan(dem)ic reactions in Turkish stock market: evidence from share repurchases

Pirgaip, Burak

doi:10.1007/s40822-021-00173-6

Cited by 7 publications

(4 citation statements)

References 49 publications

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“…This study is closely related to Yildiz (2021) and Tutuncu (2022) who study institutional investment in the Turkish stock market, and impact of discretionary allocation on IPO returns. It complements a recent work by Pirgaip (2021) who shows that Turkish listed firms respond to pandemic-induced uncertainty with stock repurchases. It contributes to an emerging finance literature concerning retail investor activity (Barrot et al, 2016;Ozik et al, 2021;Barber et al, 2022;Eaton et al, 2022;Welch, 2022) by showing retail investor domination of IPOs in a prominent emerging market during the COVID-19 pandemic.…”

Section: Domestic 15%supporting

confidence: 79%

The changing investor demographics of an emerging IPO market during the COVID-19 pandemic

Tütüncü

2022

CFRI

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PurposeThe last two years are characterized by record numbers of initial public offerings (IPOs), foreign investor abstinence and rising retail investor appetite in the Turkish stock market. This study aims to investigate whether retail investor dominance coupled with foreign investor aversion has significant impact on initial and short-term returns.Design/methodology/approachThe research covers the population of 188 companies going public at Borsa Istanbul from 2010 to the end of 2021. Three hypotheses are developed and tested by means of ordinary least squares and Tobit regressions to examine the association between investor allocations and returns. A new measure for retail investor trade size, average retail investment per capita (ARI) is utilized to explain the linkage between retail investor appetite and short-term returns. Two-stage least squares and Heckman selection regressions are employed for robustness tests to address potential endogeneity.FindingsPandemic IPOs provide significantly larger short-term returns than pre-pandemic IPOs measured up to one month. Underpricing during the pandemic is not significantly greater due to 10% daily price limit, which leads to a gradual release of retail investor appetite and increase in stock prices in the short term. Retail investors control 66% of the market during the pandemic compared to 35% before, while foreign institutional investor market share declines from 53% to 6%. Average retail investor number in an offering increases by 55.4-fold during the pandemic, resulting in substantially smaller allocations to the average individual investor. Greater returns during the pandemic are associated with smaller retail investment per capita, while domestic institutional investment is associated with lower returns as typically expected from institutional investors, although its significance disappears after controlling for potential endogeneity.Research limitations/implicationsThis study investigates returns up to one month. To better understand whether short-termism of retail investors and recent foreign investor aversion have detrimental effect on companies, and on the market as a whole, longer-term studies are needed. This is not possible at the current stage since not enough time has passed.Practical implicationsThis research is relevant to emerging market investors and companies due to the ongoing foreign investor aversion and fast-changing market conditions. The research cautions market participants against the short-termism of retail investors and urges policymakers to regain investors with longer investment horizons.Social implicationsMany newcomer retail investors are in the stock market due to lack of more profitable alternatives in Turkey. Although their participation is accompanied by larger short-term returns for the time being, the current momentum is unlikely to last long as the pandemic ends, and interest rates around the world begin to be raised. The study urges small investors to invest in a more informed manner and aim for longer time horizons, as it may not be possible to make a quick profit in the stock markets in the near future.Originality/valueThis is the first study to investigate changing investor profile in emerging markets and its impact on returns following pandemic declaration. The question is important because the investor composition affects the investment horizon in the market.

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Section: Domestic 15%supporting

confidence: 79%

The changing investor demographics of an emerging IPO market during the COVID-19 pandemic

Tütüncü

2022

CFRI

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“…Several studies focus on the effect of Covid-19 on financial markets, such as the impact on stock market returns and volatility (Al-Awadhi et al, 2020;Albulescu, 2020;Ali et al, 2020;Ashraf, 2020bAshraf, , 2020cBahrini & Filfilan, 2020;Contessi & Pierangelo, 2020;Gu et al, 2020;Harjoto et al, 2020;Kartal, Kılıç-Depren, & Depren, 2020;Mazur, Dang, & Vega, 2020;Rababah et al, 2020;Sergi et al, 2021;Thorbecke, 2020;Topcu & Gulal, 2020), trade volume (Chiah & Zhong, 2020;Harjoto et al, 2020), stock repurchases (Pirgaip, 2021), government responses or interventions (Ashraf, 2020a;Chen et al, 2020;Zaremba et al, 2020;Zaremba et al, 2021), contagion effect (Okorie & Lin, 2020), market illiquidity (Baig et al, 2020), tourism and leisure sectors (Karabulut et al, 2020;Ghosh, 2020;Kaczmarek et al, 2021), herding behavior (Chang, McAleer, & Wang, 2020;Espinosa-Méndez & Arias, 2020), cryptocurrencies (Conlon & McGee, 2020Corbet, Larkin, & Lucey, 2020;, mutual funds (Mirza et al, 2020;Yarovaya et al, 2021), dividends (Krieger, Mauck, & Pruitt, 2020;Mazur, Dang, & Vo, 2020), uncertainty (Jeris & Nath, 2020), housing prices (Qian, Qiu, & Zhang, 2021) and oil prices (Corbe...…”

Section: Introductionmentioning

confidence: 99%

The Effect of Pandemic News on Stock Market Returns During the Covid-19 Crash: Evidence from International Markets

Tan¹

2021

connectist

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This study investigates the effect of pandemic-related news on stock market returns in international markets using the quantile regression method. The media hype index, fake news index, country sentiment index, infodemic index, and media coverage index provided by the RavenPack data platform are used for the analysis. In this research, 2,996 observations from 80 countries, consisting of daily data from January 22, 2020, to April 17, 2020, were used. The results show that the impact of Covid-19-related news on market returns varies among the quantiles of the stock market; in other words, there is an asymmetric dependency between the news and financial markets. With the increase in coverage about the pandemic in the media, the negative impact on market returns exhibits a decreasing trend from low quantiles to high quantiles. More intense use of effective communication channels is required to alleviate the financial crash caused by Covid-19. To capture the effect of the news on financial markets, this analysis also categorized countries according to the Morgan Stanley Classification Index (MSCI, n.d.), such as by developed, emerging, standalone, and frontier markets and by geographical location, including Europe, Africa, North and South America, Asia, and the Middle East. The results are consistent with the previous findings and the dependency between the news and financial markets remains asymmetric.

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“…Olay penceresi literatürde farklı zaman aralıklarında belirlenebilmektedir. Bu çalışmada olay penceresi, özellikle Türkiye'de yapılan pay geri alımlarına ilişkin olay çalışmaları incelenerek, olay tarihinden 10 iş günü öncesi ve 10 iş günü sonrasını kapsayacak şekilde 21 iş günü (-10, +10) olarak belirlenmiştir (Karakuş, Zor ve Yılmaz Küçük, 2017;Pirgaip, 2021). Ayrıca kümülatif ortalama anormal getirileri (CAAR) karşılaştırmak amacıyla ana olay penceresi içinde daha kısa alt olay pencereleri [(-10, -1); (-5, -1); (0, +1); (0, +2); (1, 2); (0, 5); (0, 10)] de açılmıştır.…”

Section: Verilerin Analiziunclassified

Pay Geri Alım Duyurularının Pay Getirileri Üzerindeki Etkisi: Borsa İstanbul da Covid-19 Salgını Öncesindeve Sırasında Karşılaştırmalı Bir Analiz (The Impact of Share Repurchase Announcements on Share Returns: AComparative Analysis Before and during Covid-19 Pandemic in Borsa Istanbul)

Kaya¹,

Kaya²

2023

isarder

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Amaç – Bu çalışmanın amacı, Borsa İstanbul’da işlem gören şirketlerin pay geri alım duyurularının pay getirileri üzerindeki kısa dönem etkisinin belirlenmesidir. Ayrıca, Covid-19 salgını öncesinde ve sırasında pay fiyatlarının pay geri alım duyurularına verdiği tepki incelenmekte ve karşılaştırılmaktadır. Yöntem – Çalışmanın örneklemi, 2018-2022 döneminde Kamuyu Aydınlatma Platformu (KAP)’nda 72 şirket tarafından açıklanan pay geri alım işlemlerinin başlatılmasına ilişkin 101 bildirimi içermektedir. Olay çalışması yöntemi kullanılarak, belirlenen farklı olay pencereleri için günlük ortalama anormal getiriler (AAR) ve kümülatif ortalama anormal getiriler (CAAR) hesaplanmış ve ardından bu getirilerin anlamlılığını test etmek için parametrik ve parametrik olmayan testler uygulanmıştır. Bulgular – Test sonuçları, pay geri alım duyurularının pay getirileri üzerinde istatistiksel olarak anlamlı pozitif etkilere sahip olduğunu göstermektedir. Ayrıca pay fiyatlarının pay geri alımı duyurularına verdiği tepkide, 11 Mart 2020 tarihinde Covid-19’un pandemi ilan edilmesinden önce ve sonra istatistiksel olarak anlamlı bir farklılık olduğu tespit edilmiştir. Tartışma – Bulgular, Borsa İstanbul’da pay geri alım duyurularının ardından anormal getiri elde etme imkânı olduğunu göstermektedir. Ayrıca elde edilen sonuçların, düşük değerlenme ve sinyal verme hipotezlerini desteklediğini ifade etmek mümkündür.

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Pan(dem)ic reactions in Turkish stock market: evidence from share repurchases

Cited by 7 publications

References 49 publications

The changing investor demographics of an emerging IPO market during the COVID-19 pandemic

The changing investor demographics of an emerging IPO market during the COVID-19 pandemic

The Effect of Pandemic News on Stock Market Returns During the Covid-19 Crash: Evidence from International Markets

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