Quaking the stock market: Event study evidence on the Turkey-Syria earthquake

Dharen Pandey, Satish Kumar, Vineeta Kumari and Waleed M. Alahdal

International Review of Economics & Finance, 2024, vol. 93, issue PA, 182-194

Abstract: This study delves into the aftermath of the catastrophic earthquake that hit Turkey and Syria on 06 February 2023, claiming more than 50000 lives. Applying the event study method, with the market model estimation over days (−255, −1) and (0,+5) event window, to the daily returns of 382 listed firms, we show that the Turkey-Syria earthquake significantly affected the stock returns. The average abnormal return decreased from −0.79% on event day (t) to −11.04% on t+2. The cumulative impact on all the sectors (Energy (−15.98%), Utilities (−15.36%), Financials (14.92%), Consumer non-cyclicals (−14.46%), Technology (−14.38%), Industrials (−12.40%), Consumer cyclicals (−12.12%), Real Estate (−11.51%), Health Care (−11.18%)), except Basic Materials (4.63%), has been negative. The cross-sectional examination negates the size anomaly that small firms outperform large firms. Larger firms and those with less volatile stocks tend to be more resilient, whereas riskier firms experience more significant losses. These findings suggest that firms diversify their portfolios to include less risky assets or take steps to reduce volatility in their stock prices.

Keywords: Earthquake; Event study; Turkey; Trade-to-GDP; Returns; Disasters (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:93:y:2024:i:pa:p:182-194

DOI: 10.1016/j.iref.2024.03.023

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