(Diesel Scandal and a Research on the Reaction of Turkish Investors)

Abstract

Purpose – The purpose of this study is to investigate the response of Turkish investors and the persistency of these reactions following the Volkswagen scandal. Design/methodology/approach – For this purpose, the stock price changes of Dogus Otomotiv Servis ve Ticaret AŞ (DOAS) which is Volkswagen AG's distributor in Turkey are examined. Firstly, daily abnormal returns of DOAS are obtained by using Capital Asset Pricing Model and then the daily abnormal returns are modeled by ARMA and EGARCH. Findings – This study show evidences of that Turkish investors can react systematically to the news about Volkswagen both in return and volatility. However, some evidence indicates that the impact of the reactions is weak and not persistent. Discussion – The fact that the response of Turkish investors came one day after the response of investors in US shows that this reaction may not be related to the EPA report rather may be related to the response of US investors, or that Turkish investors reaction is not simultaneous with US investors.