The Role of Monetary Policy Announcements on Turkish Banks' Stock Returns

• Published in: Emerging markets journal Vol. 6; no. 1; pp. 63 - 69
• Main Authors: Abdioğlu, Nida, Aytekin, Sinan
• Format: Journal Article
• Language: English
• Published: Pittsburgh University of Pittsburgh 01.01.2016; University Library System, University of Pittsburgh
• Subjects: Abnormal returns; Bank stocks; Central banks; Developing countries; Economic models; Economic statistics; Efficiency; Efficient markets; Emerging markets; Eurozone; Hypotheses; İktisat & İşletme & Finans; Industrialized nations; Interest rates; Investigations; Investments; LDCs; Libraries; Maliye & Muhasebe & Vergi; Monetary policy; Monetary Policy, Cumulative Abnormal Returns, Event Study, Emerging Markets, Borsa Istanbul; Monetary theory; New stock market listings; Rates of return; Return on investment; Securities markets; Stock exchanges; Studies; ABD; Pittsburg; Turkey; Borsa Istanbul; Event Study; Monetary Policy; Cumulative Abnormal Returns; Emerging Markets
• ISSN: 2158-8708; 2159-242X; 2158-8708
• DOI: 10.5195/emaj.2016.98

This paper investigates the impact of monetary policy committee decisions of the Central Bank of the Republic of Turkey on the stock returns of the deposit banks listed in Borsa Istanbul Banks Index (XBANK). The cumulative abnormal returns of the banks are calculated for 2008 and 2012. We report that the monetary policy announcements affect cumulative abnormal returns of the deposits banks both in 2008 and 2012. Since the announcement of the monetary policy decisions created abnormal returns, we conclude that the market does not have semi-strong form efficiency.