Central Bank Independence and stock market outcomes: An event study on Borsa Istanbul

Figures & data

Figure A1. Borsa Istanbul 100 Index Returns (BIST100) around the days of events.

Figure B1. $A{R}_{n,d}$ and $CA{R}_{n,d}$ for all stocks following Event 1—market model.

Figure B2. $A{R}_{n,d}$ and $CA{R}_{n,d}$ for all stocks following E vent 2—market model.

Figure B3. $A{R}_{n,d}$ and $CA{R}_{n,d}$ for all stocks following Event 3—market model.

Figure B4. $A{R}_{n,d}$ and $CA{R}_{n,d}$ for all stocks following Event 4—market model.

Figure B5. $A{R}_{n,d}$ and $CA{R}_{n,d}$ for all stocks following Event 5—market model.

Table C1. Descriptive Statistics for Abnormal Returns ($\mathit{A}{\mathit{R}}_{\mathit{n},\mathit{d}}$) for the Five Events

	Mean					Median
	Event 1	Event 2	Event 3	Event 4	Event 5	Event 1	Event 2	Event 3	Event 4	Event 5
−10	−0.0005	−0.0027	−0.0027	−0.0073	−0.0042	−0.0006	−0.0046	−0.0057	−0.0080	−0.0030
−9	0.0001	−0.0005	0.0031	−0.0016	−0.0052	−0.0021	−0.0038	−0.0005	−0.0022	−0.0054
−8	0.0016	0.0048	−0.0109	0.0058	0.0066	−0.0006	0.0021	−0.0121	0.0027	0.0045
−7	0.0033	−0.0005	−0.0036	−0.0017	0.0063	0.0018	−0.0005	−0.0077	−0.0013	0.0035
−6	−0.0019	0.0001	−0.0053	−0.0017	−0.0050	−0.0024	−0.0022	−0.0087	−0.0013	−0.0062
−5	−0.0025	0.0016	−0.0024	0.0014	−0.0018	−0.0044	−0.0005	−0.0039	−0.0009	−0.0047
−4	−0.0059	0.0034	−0.0019	−0.0052	−0.0054	−0.0067	0.0018	−0.0051	−0.0056	−0.0064
−3	0.0028	−0.0019	−0.0083	−0.0017	0.0008	0.0000	−0.0023	−0.0096	−0.0013	−0.0003
−2	−0.0009	−0.0025	−0.0091	−0.0005	−0.0037	−0.0016	−0.0048	−0.0136	−0.0013	−0.0045
−1	−0.0005	−0.0060	−0.0019	−0.0011	−0.0028	−0.0009	−0.0065	−0.0044	−0.0042	−0.0031
0	−0.0007	0.0028	−0.0034	−0.0088	−0.0049	−0.0024	0.0000	−0.0074	−0.0102	−0.0053
+1	0.0060	−0.0008	−0.0108	−0.0126	−0.0005	0.0018	−0.0016	−0.0054	−0.0118	−0.0015
+2	−0.0070	−0.0005	0.0094	−0.0080	−0.0033	−0.0064	−0.0010	0.0051	−0.0083	−0.0041
+3	−0.0025	−0.0007	0.0220	0.0007	−0.0019	−0.0033	−0.0023	0.0214	−0.0016	−0.0035
+4	0.0007	0.0060	0.0006	−0.0125	0.0003	−0.0012	0.0017	−0.0035	−0.0119	−0.0007
+5	−0.0038	−0.0069	−0.0007	−0.0009	−0.0022	−0.0034	−0.0063	−0.0040	−0.0020	−0.0037
+6	0.0002	−0.0025	−0.0037	−0.0041	−0.0122	0.0002	−0.0033	−0.0070	−0.0059	−0.0130
+7	0.0064	0.0007	−0.0156	−0.0002	−0.0065	0.0019	−0.0012	−0.0183	−0.0020	−0.0081
+8	0.0011	−0.0037	0.0074	0.0021	−0.0043	−0.0009	−0.0034	0.0017	−0.0007	−0.0063
+9	−0.0008	0.0002	−0.0014	−0.0050	−0.0024	−0.0022	0.0002	−0.0055	−0.0053	−0.0042
+10	0.0019	0.0064	−0.0038	−0.0073	−0.0027	−0.0008	0.0019	−0.0070	−0.0074	−0.0037
+11	0.0081	0.0011	−0.0111	−0.0031	0.0005	0.0037	−0.0011	−0.0090	−0.0033	−0.0013
+12	−0.0014	−0.0009	−0.0036	−0.0050	−0.0004	−0.0032	−0.0023	−0.0059	−0.0054	0.0002
+13	−0.0055	0.0019	−0.0016	−0.0110	−0.0022	−0.0071	−0.0007	−0.0041	−0.0126	−0.0027
+14	0.0077	0.0082	−0.0033	−0.0071	−0.0061	0.0055	0.0036	−0.0066	−0.0071	−0.0053
+15	0.0041	−0.0015	−0.0112	−0.0039	−0.0158	0.0001	−0.0033	−0.0118	−0.0054	−0.0168
+16	0.0060	−0.0055	−0.0199	0.0003	−0.0022	0.0020	−0.0071	−0.0237	−0.0008	−0.0022
+17	0.0042	0.0078	−0.0259	−0.0089	−0.0039	0.0021	0.0055	−0.0247	−0.0075	−0.0036
+18	0.0008	0.0041	−0.0006	0.0012	−0.0061	0.0000	0.0000	0.0012	−0.0012	−0.0076
+19	0.0055	0.0060	−0.0169	0.0039	−0.0126	0.0014	0.0020	−0.0196	0.0017	−0.0121
+20	0.0088	0.0042	−0.0078	−0.0101	−0.0075	0.0069	0.0022	−0.0072	−0.0116	−0.0104

Table C2. Descriptive Statistics for Cumulative Abnormal Returns ($\mathit{C}\mathit{A}{\mathit{R}}_{\mathit{n},\mathit{d}}$) for the Five Events

	Mean					Median
	Event 1	Event 2	Event 3	Event 4	Event 5	Event 1	Event 2	Event 3	Event 4	Event 5
−10	−0.0005	−0.0027	−0.0027	−0.0073	−0.0042	−0.0006	−0.0046	−0.0057	−0.0082	−0.0031
−9	−0.0004	−0.0032	0.0004	−0.0089	−0.0094	−0.0025	−0.0084	−0.0051	−0.0100	−0.0075
−8	0.0012	0.0016	−0.0105	−0.0031	−0.0028	−0.0001	−0.0035	−0.0154	−0.0040	−0.0013
−7	0.0045	0.0011	−0.0141	−0.0047	0.0035	0.0024	−0.0031	−0.0187	−0.0051	0.0039
−6	0.0026	0.0012	−0.0194	−0.0064	−0.0015	0.0007	−0.0039	−0.0210	−0.0062	0.0006
−5	0.0001	0.0027	−0.0219	−0.0051	−0.0033	−0.0006	−0.0024	−0.0244	−0.0041	−0.0020
−4	−0.0058	0.0061	−0.0237	−0.0103	−0.0087	−0.0068	0.0006	−0.0279	−0.0090	−0.0078
−3	−0.0029	0.0042	−0.0320	−0.0120	−0.0080	−0.0033	0.0013	−0.0367	−0.0108	−0.0030
−2	−0.0038	0.0017	−0.0411	−0.0124	−0.0116	−0.0023	−0.0008	−0.0430	−0.0079	−0.0036
−1	−0.0042	−0.0043	−0.0431	−0.0135	−0.0144	−0.0008	−0.0071	−0.0479	−0.0094	−0.0070
0	−0.0049	−0.0014	−0.0465	−0.0223	−0.0193	−0.0060	−0.0040	−0.0552	−0.0190	−0.0088
+1	0.0011	−0.0022	−0.0573	−0.0349	−0.0198	−0.0011	−0.0022	−0.0532	−0.0299	−0.0089
+2	−0.0059	−0.0027	−0.0479	−0.0429	−0.0231	−0.0030	−0.0036	−0.0505	−0.0401	−0.0125
+3	−0.0084	−0.0034	−0.0259	−0.0422	−0.0250	−0.0072	−0.0041	−0.0323	−0.0405	−0.0165
+4	−0.0077	0.0027	−0.0253	−0.0547	−0.0247	−0.0079	−0.0027	−0.0362	−0.0510	−0.0106
+5	−0.0115	−0.0043	−0.0260	−0.0556	−0.0269	−0.0095	−0.0056	−0.0325	−0.0498	−0.0141
+6	−0.0113	−0.0068	−0.0297	−0.0597	−0.0391	−0.0093	−0.0045	−0.0390	−0.0575	−0.0212
+7	−0.0049	−0.0061	−0.0453	−0.0600	−0.0456	−0.0074	−0.0041	−0.0537	−0.0502	−0.0290
+8	−0.0038	−0.0098	−0.0379	−0.0579	−0.0499	−0.0067	−0.0094	−0.0455	−0.0491	−0.0336
+9	−0.0046	−0.0096	−0.0394	−0.0629	−0.0523	−0.0078	−0.0085	−0.0556	−0.0572	−0.0361
+10	−0.0027	−0.0032	−0.0431	−0.0702	−0.0550	−0.0029	−0.0041	−0.0518	−0.0623	−0.0385
+11	0.0054	−0.0022	−0.0543	−0.0733	−0.0545	0.0038	−0.0046	−0.0547	−0.0651	−0.0410
+12	0.0040	−0.0030	−0.0578	−0.0783	−0.0549	0.0022	−0.0067	−0.0612	−0.0693	−0.0393
+13	−0.0015	−0.0011	−0.0595	−0.0893	−0.0571	−0.0010	−0.0015	−0.0628	−0.0808	−0.0409
+14	0.0062	0.0070	−0.0628	−0.0964	−0.0632	0.0073	0.0039	−0.0651	−0.0866	−0.0421
+15	0.0103	0.0056	−0.0740	−0.1002	−0.0790	0.0059	−0.0003	−0.0791	−0.0889	−0.0590
+16	0.0163	0.0000	−0.0939	−0.1000	−0.0812	0.0125	−0.0051	−0.0936	−0.0884	−0.0585
+17	0.0205	0.0078	−0.1197	−0.1089	−0.0850	0.0191	0.0026	−0.1165	−0.0936	−0.0626
+18	0.0213	0.0119	−0.1203	−0.1076	−0.0911	0.0211	0.0037	−0.1135	−0.0945	−0.0680
+19	0.0268	0.0179	−0.1372	−0.1038	−0.1037	0.0253	0.0118	−0.1295	−0.0884	−0.0700
+20	0.0355	0.0221	−0.1450	−0.1139	−0.1111	0.0323	0.0146	−0.1333	−0.1024	−0.0822

Table C3. Event 1 Mean and Median Equality Tests for Cumulative Abnormal Returns $(\mathit{C}\mathit{A}{\mathit{R}}_{\mathit{n},\mathit{d}})$: Market Model Following Event 1

Panel A: Mean Equality Test
Event window	Before	After	After—Before	t-test
[−1, 1]	−0.0042	0.0011	0.0053	0.7876
[−3, 3]	−0.0029	−0.0084	−0.0055	−0.7952
[−5, 5]	0.0001	−0.0115	−0.0116	−1.7239*
[−10, 10]	−0.0005	−0.0027	−0.0022	−0.3395
[−10, 15]	−0.0005	0.0103	0.0108	1.4094
[−10, 20]	−0.0005	0.0355	0.0360	4.0738***
Panel B: Median Equality Test
Event window	Before	After	After—Before	W/M
[−1, 1]	−0.0008	−0.0011	−0.0003	−0.7241
[−3, 3]	−0.0033	−0.0072	−0.0039	−0.8334
[−5, 5]	−0.0006	−0.0095	−0.0089	−2.3311**
[−10, 10]	−0.0006	−0.0029	−0.0023	−0.7386
[−10, 15]	−0.0006	0.0059	0.0065	2.2739**
[−10, 20]	−0.0006	0.0323	0.0328	5.6571***

Note. The t-test denotes the equality test of two groups using the Satterthwaite–Welch t-test. W/M represents the Wilcoxon–Mann–Whitney signed-rank median test. *, **, and *** indicate statistical significance at the 10%, 5%, and 1% levels, respectively.

Table C4. Event 2 Mean and Median Equality Tests for Cumulative Abnormal Returns $(\mathit{C}\mathit{A}{\mathit{R}}_{\mathit{n},\mathit{d}})$: Market Model Following Event 2

Panel A: Mean Equality Test
Event window	Before	After	After—Before	t-test
[−1, 1]	−0.0043	−0.0022	0.0020	0.3067
[−3, 3]	0.0042	−0.0034	−0.0076	−1.1401
[−5, 5]	0.0027	−0.0043	−0.0070	−1.0214
[−10, 10]	−0.0027	−0.0041	−0.0014	−0.0737
[−10, 15]	−0.0027	−0.0003	0.0024	1.1045
[−10, 20]	−0.0027	0.0146	0.0173	2.8816***
Panel B: Median Equality Test
Event window	Before	After	After—Before	W/M
[−1, 1]	−0.0071	−0.0022	0.0049	0.7193
[−3, 3]	0.0013	−0.0041	−0.0054	−1.6225
[−5, 5]	−0.0024	−0.0056	−0.0032	−1.0064
[−10, 10]	−0.0046	−0.0041	0.0004	0.3981
[−10, 15]	−0.0046	−0.0003	0.0042	1.0386
[−10, 20]	−0.0046	0.0146	0.0192	4.1054***

Note. The t-test denotes the equality test of two groups using the Satterthwaite–Welch t-test. W/M represents the Wilcoxon–Mann–Whitney signed-rank median test. *, **, and *** indicate statistical significance at the 10%, 5%, and 1% levels, respectively.

Table C5. Event 3 Mean and Median Equality Tests for Cumulative Abnormal Returns $(\mathit{C}\mathit{A}{\mathit{R}}_{\mathit{n},\mathit{d}})$: Market Model Following Event 3

Panel A: Mean Equality Test
Event window	Before	After	After—Before	t-test
[−1, 1]	−0.0431	−0.0573	−0.0143	−1.6075
[−3, 3]	−0.0320	−0.0259	0.0061	0.7227
[−5, 5]	−0.0219	−0.0260	−0.0041	−0.4887
[−10, 10]	−0.0027	−0.0431	−0.0404	−4.7172***
[−10, 15]	−0.0027	−0.0740	−0.0713	−7.0475***
[−10, 20]	−0.0027	−0.1450	−0.1423	−12.6842***
Panel B: Median Equality Test
Event window	Before	After	After—Before	W/M
[−1, 1]	−0.0479	−0.0532	−0.0053	−1.4984
[−3, 3]	−0.0367	−0.0323	0.0044	0.2773
[−5, 5]	−0.0244	−0.0325	−0.0081	−1.5283
[−10, 10]	−0.0057	−0.0518	−0.0461	−7.9624***
[−10, 15]	−0.0057	−0.0791	−0.0734	−9.1832***
[−10, 20]	−0.0057	−0.1333	−0.1276	−13.1123***

Note. The t-test denotes the equality test of two groups using the Satterthwaite–Welch t-test. W/M represents the Wilcoxon–Mann–Whitney signed-rank median test. *, **, and *** indicate statistical significance at the 10%, 5%, and 1% levels, respectively.

Table C6. Event 4 Mean and Median Equality Tests for Cumulative Abnormal Returns $(\mathit{C}\mathit{A}{\mathit{R}}_{\mathit{n},\mathit{d}})$: Market Model Following Event 4

Panel A: Mean Equality Test
Event window	Before	After	After—Before	t-test
[−1, 1]	−0.0135	−0.0349	−0.0214	−3.4440***
[−3, 3]	−0.0120	−0.0422	−0.0303	−4.8382***
[−5, 5]	−0.0051	−0.0556	−0.0506	−7.3594***
[−10, 10]	−0.0073	−0.0702	−0.0629	−8.8003***
[−10, 15]	−0.0073	−0.1002	−0.0930	−10.8482***
[−10, 20]	−0.0073	−0.1139	−0.1066	−10.1031***
Panel B: Median Equality Test
Event window	Before	After	After—Before	W/M
[−1, 1]	−0.0094	−0.0299	−0.0205	−3.7507***
[−3, 3]	−0.0108	−0.0405	−0.0297	−5.4909***
[−5, 5]	−0.0041	−0.0498	−0.0457	−7.8904***
[−10, 10]	−0.0082	−0.0623	−0.0541	−9.1602***
[−10, 15]	−0.0082	−0.0889	−0.0807	−12.0179***
[−10, 20]	−0.0082	−0.1024	−0.0942	−10.8607***

Note. The t-test denotes the equality test of two groups using the Satterthwaite–Welch t-test. W/M represents the Wilcoxon–Mann–Whitney signed-rank median test. *, **, and *** indicate statistical significance at the 10%, 5%, and 1% levels, respectively.

Table C7. Event 5 Mean and Median Equality Tests for Cumulative Abnormal Returns $(\mathit{C}\mathit{A}{\mathit{R}}_{\mathit{n},\mathit{d}})$: Market Model Following Event 5

Panel A: Mean Equality Test
Event window	Before	After	After—Before	t-test
[−1, 1]	−0.0144	−0.0198	−0.0054	−0.6862
[−3, 3]	−0.0080	−0.0250	−0.0170	−2.1428**
[−5, 5]	−0.0033	−0.0269	−0.0236	−2.9587***
[−10, 10]	−0.0042	−0.0550	−0.0508	−6.0186***
[−10, 15]	−0.0042	−0.0790	−0.0748	−7.4565***
[−10, 20]	−0.0042	−0.1111	−0.1069	−9.0963***
Panel B: Median Equality Test
Event window	Before	After	After—Before	W/M
[−1, 1]	−0.0070	−0.0089	−0.0019	−0.7323
[−3, 3]	−0.0030	−0.0165	−0.0134	−2.6020***
[−5, 5]	−0.0020	−0.0141	−0.0121	−2.9934***
[−10, 10]	−0.0031	−0.0385	−0.0354	−7.4732***
[−10, 15]	−0.0031	−0.0590	−0.0559	−9.7386***
[−10, 20]	−0.0031	−0.0822	−0.0791	−12.6179***

Note. The t-test denotes the equality test of two groups using the Satterthwaite–Welch t-test. W/M represents the Wilcoxon–Mann–Whitney signed-rank median test. *, **, and *** indicate statistical significance at the 10%, 5%, and 1% levels, respectively.