THE IMPACT OF THE 2023 KAHRAMANMARAŞ EARTHQUAKE ON BIST100 AND BIST BANK INDEX: EVIDENCE FROM TODA-YAMAMOTO CAUSALITY TEST

Abstract

Purpose- The effects of the Kahramanmaraş-centred earthquakes that occurred on 6-7 February 2023 on the Borsa Istanbul 100 index and the Banking index are examined. Methodology- Between 06/02/2023 – 07/02/2023, econometric analysis was applied by using BIST 100, BIST BANK index and earthquake data consisting of 312 observations. To determine the degrees of stationarity of the variables, the PP and ADF tests were applied in the study. In the series in which Unit Root analysis was carried out, the VAR model was used to apply Toda-Yamamoto causality analysis. Additionally, techniques for impulse-response functions and variance decomposition were also used. Findings- It has been discovered that the series' level difference is stationary. The Toda-Yamamoto Causality test findings demonstrate a causative link between earthquake magnitude, the BIST 100 index, and the BIST Banking index. In every time, the variations in BISTBANKA and BIST100 are largely self-explanatory. Conclusion- These findings led to the conclusion that the Kahramanmaraş Earthquake had an impact on the decline of the Borsa Istanbul 100 index and banking index on the 6-7 February 2023. Keywords: Earthquake, Borsa Istanbul, BIST100, BIST-BANKA, Toda-Yamamoto Causality Test JEL Codes: G21, P45, Q54