The Effect Of Creating Participation Index In Borsa Istanbul On Share Prices

The main purpose of this study is to reveal the effect of the inclusion of the Participation Index in Borsa Istanbul as of November 12, 2021, on the stock prices, using the Event Study method. For this purpose, average abnormal returns (AAR) and average cumulative abnormal returns (CAAR) were calculated with the daily closing prices of 127 companies whose data can be accessed continuously from 169 companies according to the BIST Participation All Index. Within the scope of the methodology applied, 20 days before and 20 days after the event period were taken into account in the estimation period of -20, - 250, based on the event day, 12 November 2021. According to the findings, it has been determined that being included in the Borsa Istanbul Participation Index has an effect on stock returns. In addition, it has been concluded that the market is not efficient in a semi-strong form within the framework of this information set. On the other hand, it can be said that the statistically significant findings obtained do not follow a continuity or a certain direction, revealing the necessity of being careful when using such information in investment processes for market participants.