Are They Immune to Financial Crises? An Empirical Study on Financial Crises on the Stock Prices of Exporting Firms on Istanbul Stock Exchange

Abstract

There is no doubt that there are various events effecting the performance of the stock markets. These may be completely specific to the country where the stock market is located but it is also certain that there is a correlation between the stock markets of the world. Especially, in recent years, as a result of the high speed of information flow and ease of trading in different stock markets this indicated relation increased considerably. One may think that since exporting firms have more contact with the rest of the world their performances may be more sensitive to the events occurring in different stock markets so they may behave in a different way than the non-exporting firms. In a more general context, there is also the possibility that different sectors can react in different ways to the crises. In this study, the validity of these two possiblities on Istanbul Stock Exchange is questioned in a combined way. Firstly, five different sectors, namely, glass and ceramic, chemicals, automotive industry, textile and tourism, are selected from the Istanbul Stock Exchange. These sectors, except tourism, are the ones where Turkey is relatively more powerful. Tourism is also included to the study because of its being a very special sector which is very much sensitive to both events of the world and the country. Then as a second step, for each of the five sectors, exporting firms are determined. Thirdly, in order to be able to make a comparison, the firms which have activity completely in the borders of Turkey are also determined. For this comparison, a need to calculate a special index for each of the sectors arised so this calculation is made in TL. basis in the study. By investigating these indices it became possible to illuminate on the sector specific effects and the role of exportation. It is found that for some of the events exporting firms behaved in a different way than the other firms but for some other events or periods the behaviour of all firms are in the same way. Since 28th February 2001 is a very special day in Turkish economy where a sudden devaluation of 27% took place, it is thought that it might be useful to make a test of structural change. For this aim, in the study we applied Chow (1960) test. The results showed that except tourism sector and ISE non-exporting firms index, there are structural changes at this very specific date.