SavedAdd your journal

Journals / Nevşehir Hacı Bektaş Veli Üniversitesi SBE Dergisi / 2026 / Cilt: 16 Sayı: 2

The level effect of the earthquake shock on Borsa İstanbul: An Ardl Analysis before and after the Kahramanmaraş Earthquake

Deprem şokunun Borsa İstanbul üzerindeki düzey etkileri: Kahramanmaraş Depremi öncesi ve sonrası ARDL Analizi

Mehmet Cihangir(OSMANİYE KORKUT ATA ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ)0000-0002-3375-6408
Sevim Ezgi İslah(KAHRAMANMARAŞ SÜTÇÜ İMAM ÜNİVERSİTESİ, GÖKSUN UYGULAMALI BİLİMLER YÜKSEKOKULU)0000-0002-6443-329X
Pages
974–990
Publication Date
2026-06-29
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The findings reveal a positive and statistically significant long-term relationship between the USD/TRY exchange rate and the BIST All Equity Index, while gold prices have no significant effect on the index.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:This study examines the short- and long-term changes in the Istanbul Stock Exchange (BIST) following the earthquake centered in Kahramanmaraş on February 6, 2023.
📊
Key Findings & Data:The analysis uses daily data for the BIST All Equity Index from January 4, 2021, to February 28, 2025, and applies the ARDL bounds test approach.
💡
Conclusion & Impact:The findings reveal a positive and statistically significant long-term relationship between the USD/TRY exchange rate and the BIST All Equity Index, while gold prices have no significant effect on the index.
🔬Design:Modeling & Simulation
📍Scope:2023 Verileri
⚙️Variables:Kahramanmaraş Depremi · Sermaye Piyasaları · BİST

Abstract

This study examines the short- and long-term changes in the Istanbul Stock Exchange (BIST) following the earthquake centered in Kahramanmaraş on February 6, 2023. The analysis uses daily data for the BIST All Equity Index from January 4, 2021, to February 28, 2025, and applies the ARDL bounds test approach. The model includes the USD/TRY exchange rate, gold (ounce) prices, and a binary dummy variable separating pre- and post-earthquake periods as independent variables. The findings reveal a positive and statistically significant long-term relationship between the USD/TRY exchange rate and the BIST All Equity Index, while gold prices have no significant effect on the index. Results regarding the earthquake dummy variable show a significant deviation from the long-term equilibrium level of the index in the post-earthquake period. Short-term findings reveal a positive and significant effect specific to the day of the earthquake. In this context, the study demonstrates, within the framework of the ARDL bounds test approach, that the effects of earthquake shocks on capital markets are not limited to short-term price responses but can also create lasting effects on the long-term equilibrium level of the market.

Özet

Bu çalışma, 6 Şubat 2023 Kahramanmaraş merkezli depremin ardından Borsa İstanbul’da ortaya çıkan kısa ve uzun vadeli değişimleri incelemektedir. Analizde, BİST Tüm Endeksi’ne ait 04.01.2021–28.02.2025 dönemini kapsayan günlük veriler kullanılmış ve ARDL sınır testi yaklaşımı uygulanmıştır. Modelde USD/TRY döviz kuru, altın (ons) fiyatları ve deprem öncesi ve sonrası dönemi ayırt eden ikili bir kukla değişken bağımsız değişken olarak yer almaktadır. Elde edilen bulgular, USD/TRY kuru ile BİST Tüm Endeksi arasında uzun dönemde pozitif ve istatistiksel olarak anlamlı bir ilişki bulunduğunu, altın fiyatlarının ise endeks üzerinde anlamlı bir etkisinin olmadığını göstermektedir. Deprem kukla değişkenine ilişkin sonuçlar, deprem sonrası dönemde endeksin uzun dönem denge düzeyinde belirgin bir farklılaşma yaşandığına işaret etmektedir. Kısa dönem bulguları ise deprem gününe özgü pozitif ve anlamlı bir etkiyi ortaya koymaktadır. Bu yönüyle çalışma, deprem şoklarının sermaye piyasaları üzerindeki etkilerinin yalnızca kısa vadeli fiyat tepkileriyle sınırlı olmadığını, aynı zamanda piyasanın uzun dönem denge düzeyi üzerinde de kalıcı etkiler yaratabildiğini ARDL sınır testi yaklaşımı çerçevesinde ortaya koymaktadır.

🔖

Cite This Article

Cihangir, M., İslah, S. E. (2026). The level effect of the earthquake shock on Borsa İstanbul: An Ardl Analysis before and after the Kahramanmaraş Earthquake. Nevşehir Hacı Bektaş Veli Üniversitesi SBE Dergisi, Cilt: 16 Sayı: 2, 974–990. https://doi.org/10.30783/nevsosbilen.1827970

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (53)

  1. Akel, V., & Gazel, S. (2014). Döviz kurları ile BIST sanayi endeksi arasındaki eşbütünleşme ilişkisi: Bir ARDL sınır testi yaklaşımı. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 44, 23-41.
  2. Akkuş, H., & Kışlalıoğlu, V. (2023). Investigating the effects of natural disasters on the stock market on a sectoral basis: The case of 2023 Kahramanmaraş/Türkiye earthquake. International Journal of Business and Economic Studies, 5(2), 141-151.
  3. Alhalaseh, R. (2024). Decisions regarding the role of bad news and asymmetric effects in the Middle East stock markets. Risk Governance and Control: Financial Markets and Institutions, 14(2), 120-137.
  4. Bahmani-Oskooee, M., & Ng, R. C. W. (2002). Long-run demand for money in Hong Kong: An application of the ARDL model. International Journal of Business and Economics, 1(2), 147-155.
  5. Baur, D. G., & McDermott, T. K. (2010). Is gold a safe haven? International evidence. Journal of Banking and Finance, 34(8), 1886-1898.
  6. Bertelli, S., Vacca, G., & Zoia, M. (2022). Bootstrap cointegration tests in ARDL models. Economic Modelling, 113, 105987. https://doi.org/10.1016/j.econmod.2022.105987
  7. Borowski, K. (2018). Testing 65 equity indexes for normal distribution of returns. Journal of Economics and Management, 34, 5-38. https://doi.org/10.22367/jem.2018.34.01
  8. Botzen, W. J. W., Deschenes, O., & Sanders, M. (2019). The economic impacts of natural disasters: A review of models and empirical studies. Review of Environmental Economics and Policy, 13(2), 167-188. https://doi.org/10.1093/reep/rez004
  9. Bourdeau-Brien, M., & Kryzanowski, L. (2017). The impact of natural disasters on the stock returns and volatilities of local firms. The Quarterly Review of Economics and Finance, 63, 259-270.
  10. Brown, R. L., Durbin, J., & Evans, J. M. (1975). Techniques for testing the constancy of regression relationships over time. Journal of the Royal Statistical Society, 37(2), 149-192.
  11. Buja, A., Berk, R., Brown, L., George, E., Pitkin, E., Traskin, M., Zhao, L., & Zhang, K. (2014). Models as approximations I: Consequences illustrated with linear regression. Statistical Science. https://doi.org/10.1214/18-sts693
  12. Büyükoğlu, B., Özpolat, A., & Özsoy, F. N. (2024). The effects of natural disaster on financial markets: The empirical analysis of 2023 earthquakes in Türkiye. Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD), 16(30), 186-197.
  13. Cömertler Şimşir, N., Çondur, F., Bölükbaş, M., & Alataş, S. (2015). Türkiye’de sağlık ve ekonomik büyüme ilişkisi: ARDL sınır testi yaklaşımı. Finans Politik ve Ekonomik Yorumlar Dergisi, 52(604), 43-54.
  14. Ergen, E., & Yavuz, E. (2017). Büyüme ile harcama arasındaki ilişkinin ARDL eşbütünleşme ve Granger nedensellik testleri ile analizi: Türkiye üzerine kanıtlar. Uluslararası Yönetim İktisat ve İşletme Dergisi, ICMBE17 Özel Sayısı, 84-92.
  15. Ferreira, S., & Karali, B. (2015). Do earthquakes shake stock markets? PLOS ONE, 10(7), 1-19. https://doi.org/10.1371/journal.pone.0133319
  16. Gülhan, Ü. (2020). Kovid-19 pandemisinin altın fiyatlarına etkisi: ARDL analizi. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 34(3), 1111-1125.
  17. Hamurcu, Ç. (2023). Hisse senedi piyasalarının depremlere karşı kırılganlığı: Türkiye'de 2023 yılında meydana gelen 7.7 ve 7.6 ölçekli depremler: Taş toprak, metal ana, inşaat ve bayındırlık işleri sektörleri. Politik Ekonomik Kuram. https://doi.org/10.30586/pek.1359526
  18. Hayes, A. F., & Cai, L. (2007). Using heteroskedasticity-consistent standard error estimators in OLS regression: An introduction and software implementation. Behavior Research Methods, 39(4), 709-722. https://doi.org/10.3758/BF03192961
  19. Hendricks, K., Jacobs, B., & Singhal, V. (2017). Stock market reaction to supply chain disruptions from the 2011 Great East Japan earthquake. Manufacturing and Service Operations Management, 22(4), 683-699. https://doi.org/10.1142/S021759081640004X
  20. Jia, H., & Khan, K. (2023). Do earthquakes shake stock prices? Evidence from Turkey. Sylwan, 36(11), 64-83. https://doi.org/10.59879/kaqfb
  21. Kharka, D. (2012). Test of data normality, return similarity and variance analysis in South Asian stock markets. International Journal of Management and Information Technology, 1(3), 13-25. https://doi.org/10.24297/ijmit.v1i3.1423
  22. Khawaja, M. J. (2022). Exploring the stability of money demand function for GCC countries. Pakistan Journal of Humanities and Social Sciences, 10(2), 750-761.
  23. Kırkağaç, M., & Karpuz, E. (2023). 2023 Kahramanmaraş depremlerinin BIST banka ve sigorta piyasasına etkisi üzerine bir olay çalışması analizi. Kırıkkale Üniversitesi Sosyal Bilimler Dergisi, 13(2), 387-401.
  24. Kızılkaya, O., Sofuoğlu, E., & Karaçor, Z. (2016). Türkiye’de turizm gelirleri-ekonomik büyüme ilişkisi: ARDL sınır testi yaklaşımı. Yönetim ve Ekonomi, 23(1), 203-215.
  25. Kılıçaslan, I. (2021). Deprem gerçeği ve ekonomiye etkileri ile sigortacılık üzerine bir araştırma. International Journal of Social Humanities Sciences Research (JSHSR). https://doi.org/10.26450/jshsr.2844
  26. Koerniadi, H., Krishnamurti, C., & Tourani-Rad, A. (2016). Natural disasters-Blessings in disguise? The Singapore Economic Review, 61(1), 1640004.
  27. Kripfganz, S., & Schneider, D. (2018). ardl: Estimating autoregressive distributed lag and equilibrium correction models. The Stata Journal, 23(4), 983-1019. https://doi.org/10.1177/1536867X231212434
  28. Lamb, R. (1995). An exposure-based analysis of property-liability insurer stock values around Hurricane Andrew. Journal of Risk and Insurance, 62(1), 111-123.
  29. Lee, H., Wu, H., & Wang, Y. (2007). Contagion effect in financial markets after the South-East Asia tsunami. Research in International Business and Finance, 21, 281-296.
  30. Lee, T. S., & Ha, J. (2007). Testing the domestic financial data for the normality of the innovation based on the GARCH(1,1) model. Journal of the Korean Data and Information Science Society, 18(5), 809-815.
  31. Lu, F., & Sohail, M. (2022). Exploring the effects of natural capital depletion and natural disasters on happiness and human wellbeing: A study in China. Frontiers in Psychology, 13. https://doi.org/10.3389/fpsyg.2022.870623
  32. Narayan, P. K., & Narayan, S. (2005). Estimating income and price elasticities of imports for Fiji in a cointegration framework. Economic Modelling, 22(3), 423-438.
  33. Nguyen, T. M. T., & Chaiechi, T. (2020). The effects of natural disasters on stock market return and volatility in Hong Kong. In Economic effects of natural disasters: Theoretical foundations, methods, and tools, 2, 11-20.
  34. Nwangburuka, C., Ijomah, M. A., & Nwakuya, M. T. (2023). Heteroscedasticity of unknown form: A comparison of five heteroscedasticity-consistent covariance matrix (HCCM) estimators. Global Journal of Pure and Applied Sciences, 29(1). https://doi.org/10.4314/gjpas.v29i1.10
  35. Pagnottoni, P., Spelta, A., Flori, A., & Pammolli, F. (2022). Climate change and financial stability: Natural disaster impacts on global stock markets. Physica A: Statistical Mechanics and Its Applications, 599, 127514.
  36. Pandey, D. K., Hassan, M. K., Huda, M., & Khan, M. A. (2023). Assessing the impact of the Turkey-Syria earthquake on global stock markets. International Journal of Accounting, Business and Finance, 2(2), 15-27.
  37. Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326.
  38. Porcelli, F., & Trezzi, R. (2019). The impact of earthquakes on economic activity: Evidence from Italy. Empirical Economics, 56, 1167-1206.
  39. Ramírez, A., & Altay, N. (2024). Earthquakes and market capitalisation: A historical perspective using panel data. Global Business and Economics Review. https://doi.org/10.1504/gber.2024.136427
  40. Ruiz, J., & Barrero, M. (2020). The effects of the 2010 Chilean natural disasters on the stock market. Journal of Financial Studies, 21, 31-48.
  41. Say, S., & Doğan, M. (2023). Depremlerin hisse senedi getirileri üzerindeki etkisi: 2023 yılı Kahramanmaraş depremi örneği. Sosyal Bilimler Araştırma Dergisi, 12(1), 90-97.
  42. Scholtens, B., & Voorhorst, Y. (2013). The impact of earthquakes on the domestic stock market. Earthquake Spectra, 29, 325-337. https://doi.org/10.1193/1.4000103
  43. Shaik, M., & Gulhane, R. (2021). Power of moment-based normality tests: Empirical analysis on Indian stock market index. International Journal of Finance and Economics, 26(2), 2111-2125. https://doi.org/10.1002/ijfe.2579
  44. Shelor, R., Anderson, D., & Cross, M. (1990). The impact of the California earthquake on real estate firms' stock value. Journal of Real Estate Research, 5, 335-340.
  45. Skidmore, M., & Toya, H. (2002). Do natural disasters promote long-run growth? Economic Inquiry, 40(4), 664-687. https://doi.org/10.1093/ei/40.4.664
  46. Şen, S. (2023). Kahramanmaraş depremlerinin ekonomiye etkisi. Diplomasi ve Strateji Dergisi, 1, 1-55.
  47. Taş, O., & Şen, M. C. (2019). The comparative analysis of investor sentiment effect on two major earthquakes and tsunami incidents. Press Academia Procedia, 10(1), 12-16. https://doi.org/10.17261/pressacademia.2019.1135
  48. Toğuç, N., Kuşkaya, S., Magazzino, C., & Bilgili, F. (2023). Natural disasters and co-movement of stock market indices: Evidence from the Istanbul stock exchange. Economic Systems, 47(2), 101054. https://doi.org/10.1016/j.ecosys.2023.101054
  49. Unkaracalar, T. (2023). 2023 yılı Kahramanmaraş depremlerinin BIST 30 endeksi üzerine etkisi. Türk Deprem Araştırma Dergisi, 5(2), 183-193. https://doi.org/10.46464/tdad.1331294
  50. Valizadeh, P., Karali, B., & Ferreira, S. (2017). Sectoral impact of the 2011 Japan earthquake on international financial markets. Journal of International Money and Finance, 72, 28-44. https://doi.org/10.1016/j.jimonfin.2017.02.005
  51. White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica, 48(4), 817-838.
  52. Worthington, A., & Valadkhani, A. (2003). Measuring the impact of natural disasters on capital markets: An empirical application using intervention analysis. Applied Economics, 36, 2177-2186.
  53. Yıldız Contuk, F. (2021). Covid-19’un Borsa İstanbul üzerindeki etkisi: Bir ARDL sınır testi modeli. Muhasebe ve Finansman Dergisi, 89, 101-112. https://doi.org/10.25095/mufad.852088