BİST Sürdürülebilirlik Katılım Endeksi'nde Listelenmek Hisse Fiyatlarını Etkiler mi?

Abstract

According to the Efficient Market Hypothesis, stock prices are affected by all market information simultaneously. Hence, it does not appear conceivable for the investor to obtain returns above the market average, according to this hypothesis. On the other hand, the market anomalies shown by empirical studies highlight the impossibility of an efficient market and the potential for divergent responses to news and announcements from the market and investors. Whereas the idea that stock prices reflect both recently made public announcements and historical information is described as an efficient market in semi-strong form, it is tested to see how the market responds to particular events that might have an impact on it and lead to predictable price movements. The main purpose of the research is to ascertain whether being included in the Borsa Istanbul Sustainability Participation Index has an effect on stock returns. Through using the Event Study approach, the analysis focused on the stock closing data of 23 companies whose uninterrupted data were acquired from 29 companies in the BIST Sustainability Participation Index, which began trading on November 12, 2021. The major findings demonstrate that the market is not efficient in a semi-strong form based on statistically significant findings in Average Abnormal Returns as well as Cumulative Average Abnormal Returns. It might be countered, though, that the fact that these outcomes are discontinuous suggests that the investor may face obstacles to achieving returns above the market average.