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THE RELATIONSHIP BETWEEN SHORT AND LONG TERM PRICE PERFORMANCES AND TRADING VOLUMES OF INITIAL IPOs: A PANEL ASYMMETRIC CAUSALITY ANALYSIS

Year 2023, Issue: 23, 51 - 69, 28.02.2023
https://doi.org/10.33404/anasay.1227285

Abstract

In this study, it is aimed to examine the relationship between the 21 day and 36 month price performance and the trading volume of the stocks of 117 companies belonging to Borsa Istanbul, which were first offered to the public between 2002 and 2015. In the study, the relationship between the variables was examined in two different ways. First of all, the variables were examined in their basic forms without separating them into components. In the second case, the causality relationship between the negative and positive components of the variables was examined. Dumitrescu and Hurlin Panel Granger Causality analysis was used as the analysis method. According to the fumes obtained as a result of the analysis, first of all, the basic states of the variables were examined for the 2002-2015 period and the causality relationship between the short-term price performances of the stocks offered to the public and the transaction volumes was determined. Secondly, the causality relationship between the long-term price performances of the stocks offered to the public and the trading volumes was examined and similarly, bidirectional causality was determined between the two variables. According to the asymmetric causality results, firstly, the causality relationship between the positive components for the 2002-2015 period was examined and bidirectional causality was determined between the positive variables in both the short term and the long term. If the 2002-2015 period is among the negative components; While bidirectional causality was detected in the short term, no causality could be detected in the long term. In the 2010-2015 period, bidirectional causality was detected between the positive variables in both the short and long term, while bidirectional causality was detected between the negative components in the short term in this period, while no causality was detected in the long term.

References

  • Açıkgöz, Ş., ve Gökkaya, V. (2017). Türkiye’de İlk Halka Arz Getirilerinin Değişkenliği. Ege Akademik Bakış, 17(1), 33-58.
  • Altan, M., ve Hotamış, T. N. (2008). Türkiye’de Halka İlk Arzı Yapılan Hisse Senetlerinin Kısa Dönem Fiyat Performans Analizi (2000-2006). Karamanoğlu Mehmetbey Üniversitesi Sosyal Ve Ekonomik Araştırmalar Dergisi, 2008(1), 150-185.
  • Bastı, E., Kuzey, C., ve Delen, D. (2015), Analyzing Initial Public Offerings' Short-term Performance Using Decision Trees and SVMs, Decision Support Systems, 73, 15-27.
  • Beatty, R. & Ritter, P. J. R. (1986), Investment Banking, Reputation, and The Underpricing of Initial Public Offerings, Journal of Financial Economics, 15, 213–232.
  • Boabang, F. (2005), The Opening, Short, Medium and Long Term Performance of Canadian Unit Trust Initial Public Offerings (IPOs), Journal of Business Finance & Accounting, 32(7), 1519-1535.
  • Cheng, W. Y., Cheung, Y. L., & Po, K. K. (2004), A note on The Intraday Patterns of Initial Public Offerings: Evidence from Hong Kong, Journal of Business Finance & Accounting, 31, 837–860.
  • Chorruk, J., & Worthington, A. C. (2010), New Evidence on The Pricing and Performance of Initial Public Offerings in Thailand, 1997–2008, Emerging Markets Review, 11, 285–299.
  • Chipeta, C., & Jardine, A. (2014). A Review of the Determinants of Long Run Share Price and Operating Performance of İnitial Public Offerings on the Johannesburg Stock Exchange. International Business & Economics Research Journal (IBER), 13(5), 1161-1176.
  • Cihangir, M., ve Kandil, İ. E. (2009), Türkiye’de Borsaya Yeni Kote İşletmelerin Halka İlk Arzda Uyguladıkları Düşük Fiyatlandırma Olgusunun Test Edilmesi ve Nedenleri Üzerine Bir Değerlendirme (01.01.2003 - 30.06.2008 Dönemi), Muhasebe ve Finansman Dergisi, (44), 165-178.
  • Ciocca, G. P., Gutsche, R. & Grüner, A. (2015), IPO's Short-and Long-Term Performance, 5th Annual International Conference on Accounting and Finance, Jun 8- 9, Singapore.
  • Çelik, M. K. (2016). Firmaların İlk Halka Arz Sonrası Faaliyet Performanslarının Değerlendirilmesi: Borsa İstanbul Örneği. Uluslararası Yönetim İktisat ve İşletme Dergisi, 12(27), 267-282.
  • Dumitrescu, E.I., & Hurlin, C., (2012), Testing for Granger non-Causality in Heterogeneous Panels, Economic Modelling, 29(4), pp.1450–1460.
  • Ghosh, S., (2004), Boom and Slump Periods in the Indian IPO Market, Reserve Bank of India Occasional Papers, 25,(1),40-57.
  • Goergen, M., Khurshed, A. & Mudambi, R. (2007), The Long-run Performance of UK IPOs: Can It Be Predicted?, Managerial Finance, 33(6), 401-419.
  • Hatemi-J, A. (2011). Asymmetric Panel Causality Rests With an Application to the İmpact of Fiscal Policy on Economic Performance in Scandinavia.
  • Hensler, D. A., Herrera, M., & Lockwood, L. (2000), The Performance of Initial Public Offerings in The Mexican Stock Market 1987–1993, Journal of International Money and Finance, 19, 93-116.
  • Ibbotson, R. G., & Jaffe, J. F. (1975). “Hot issue” Markets. The journal of finance, 30 (4), 1027-1042.
  • Im, K. S., Pesaran, M. H., & Shin, Y. (2003), Testing for Unit Roots in Heterogeneous Panels, Journal of Econometrics, 115 (1), 53-74.
  • Jewartowski, T., & Lizińska, J. (2012), Short- and Long-Term Performance of Polish IPOs, Emerging Markets Finance and Trade, 48(2), 59-75.
  • Kaya, T. (2012). The Short Term Performance of Initial Public Offerings in İstanbul Stock Exchange: 2010 -2011 Application, Journal of Business, Economics & Finance, 1(1), 64-76.
  • Kurtaran, A. T. (2013), Türkiye’deki İlk Halka Arzların İlk Getirileri İle Uzun Dönem Fiyat Performansları Arasındaki İlişkinin Analizi, International Journal of Economic and Administrative Studies, 6(11), 186-210.
  • Lee, P.J., Taylor, S. L., & Walter, T.S. (1996), Australian IPO Pricing in the Short and Long Run, Journal of Banking and Finance 20, 1189-1210.
  • Levin, A., Lin, C., & Chu, C.J. (2003), Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties, Journal of Econometrics, 108, 1-24.
  • Levis, M. (1993), The long-run performance of initial public offerings: The UK experience 1980-1988, Financial Management 22, 28-41.
  • Lowry, M., & Schwert, G. (2002), IPO Market Cycles: Bubbles or Sequential Learning?, The Journal of Finance, LXVII(3), 1171-1198.
  • Murthy, K. V., Singh, A., & Gupta, L. (2016), Long-Run Performance of IPO Market in India, International Journal of Financial Management, 6(1), 17-27.
  • Ünlü, U., ve Ersoy, E. (2008), İlk Halka Arzlarda Düşük Fiyatlama ve Kısa Dönem Performansın Belirleyicileri: 1995-2008 İMKB Örneği, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 23(2), 243-258.
  • Ritter, J. R. (1991), The Long Run Performance of Initial Public Offerings, 46(1), 3-27.
  • Sayılgan, G., ve Bakırhan, C. (2022). Borsa İstanbul'da İşlem Görmek Üzere 1993-2020 Arasında Gerçekleştirilen İlk Halka Arzların Uzun Dönem Fiyat Performansını Etkileyen Faktörlerin Analizi. Finans Ekonomi ve Sosyal Araştırmalar Dergisi, 7(3), 442-461.
  • Walker, T. J., & Lin, M. Y, (2007), Dynamic relationships and technological innovation in hot and cold issue markets, International Journal of Managerial Financial, 3, (3), 200-228.
  • Yılancı, V., ve Bozoklu, Ş. (2014), Türk Sermaye Piyasasında Fiyat ve İşlem Hacmi İlişkisi: Zamanla Değişen Asimetrik Nedensellik Analizi, Ege Academic Review, 14(2), ss. 211-220.
  • Zamanian, G., Khodaparati, S., & Mirbagherijam, M. (2013). Long-run and Short-run Returns of İnitial Public Offerings (IPO) of Public and Private Companies in Tehran Stock Exchange (TSE) Market. International Journal of Academic Research in Business and Social Sciences, 3(2), 69.

İLK HALKA ARZLARIN KISA VE UZUN DÖNEM FİYAT PERFORMANSLARI İLE İŞLEM HACİMLERİ ARASINDAKİ İLİŞKİ: PANEL ASİMETRİK NEDENSELLİK ANALİZİ

Year 2023, Issue: 23, 51 - 69, 28.02.2023
https://doi.org/10.33404/anasay.1227285

Abstract

Bu çalışmada, Borsa İstanbul’a ait 2002 ila 2015 döneminde halka ilk arz edilen 117 adet firmanın hisse senetlerinin 21 günlük ve 36 aylık fiyat performansı ile işlem hacmi arasındaki ilişkinin incelenmesi amaçlanmaktadır. Çalışmada, değişkenler arasındaki ilişki iki farklı şekilde incelenmiştir. Öncelikle, değişkenler bileşenlerine ayrılmadan temel halleri ile incelenmiştir. İkinci durumda ise değişkenlerin negatif ve pozitif bileşenleri arasındaki nedensellik ilişkisi incelenmiştir. Analiz yöntemi olarak Dumitrescu ve Hurlin Panel Granger Nedensellik analizi kullanılmıştır. Analizde ilk olarak değişkenlerin temel halleri 2002-2015 dönemi için incelenmiş ve halka arz edilen hisse senetlerinin kısa dönem fiyat performansları ile işlem hacimleri arasındaki nedensellik ilişkisi çift yönlü tespit edilmiştir. İkinci olarak, halka arz edilen hisse senetlerinin uzun dönem fiyat performansları ile işlem hacimleri arasındaki nedensellik ilişkisi incelenmiş ve benzer olarak iki değişken arasında çift yönlü nedensellik tespit edilmiştir. Asimetrik nedensellik sonuçlarına göre ise, ilk olarak 2002- 2015 dönemi için pozitif bileşenler arasındaki nedensellik ilişkisi incelenmiş ve hem kısa dönemde hem de uzun dönemde pozitif değişkenler arasında çift yönlü nedensellik tespit edilmiştir. 2002-2015 dönemi negatif bileşenler arasında ise; kısa dönemde çift yönlü nedensellik tespit edilirken uzun dönemde herhangi bir nedensellik tespit edilememiştir. 2010 -2015 döneminde hem kısa hem de uzun dönemde pozitif değişkenler arasında çift yönlü nedensellik tespit edilmiştir. Bu dönemde negatif bileşenler arasında ise kısa dönemde çift yönlü nedensellik tespit edilirken, uzun dönemde herhangi bir nedensellik tespit edilememiştir.

References

  • Açıkgöz, Ş., ve Gökkaya, V. (2017). Türkiye’de İlk Halka Arz Getirilerinin Değişkenliği. Ege Akademik Bakış, 17(1), 33-58.
  • Altan, M., ve Hotamış, T. N. (2008). Türkiye’de Halka İlk Arzı Yapılan Hisse Senetlerinin Kısa Dönem Fiyat Performans Analizi (2000-2006). Karamanoğlu Mehmetbey Üniversitesi Sosyal Ve Ekonomik Araştırmalar Dergisi, 2008(1), 150-185.
  • Bastı, E., Kuzey, C., ve Delen, D. (2015), Analyzing Initial Public Offerings' Short-term Performance Using Decision Trees and SVMs, Decision Support Systems, 73, 15-27.
  • Beatty, R. & Ritter, P. J. R. (1986), Investment Banking, Reputation, and The Underpricing of Initial Public Offerings, Journal of Financial Economics, 15, 213–232.
  • Boabang, F. (2005), The Opening, Short, Medium and Long Term Performance of Canadian Unit Trust Initial Public Offerings (IPOs), Journal of Business Finance & Accounting, 32(7), 1519-1535.
  • Cheng, W. Y., Cheung, Y. L., & Po, K. K. (2004), A note on The Intraday Patterns of Initial Public Offerings: Evidence from Hong Kong, Journal of Business Finance & Accounting, 31, 837–860.
  • Chorruk, J., & Worthington, A. C. (2010), New Evidence on The Pricing and Performance of Initial Public Offerings in Thailand, 1997–2008, Emerging Markets Review, 11, 285–299.
  • Chipeta, C., & Jardine, A. (2014). A Review of the Determinants of Long Run Share Price and Operating Performance of İnitial Public Offerings on the Johannesburg Stock Exchange. International Business & Economics Research Journal (IBER), 13(5), 1161-1176.
  • Cihangir, M., ve Kandil, İ. E. (2009), Türkiye’de Borsaya Yeni Kote İşletmelerin Halka İlk Arzda Uyguladıkları Düşük Fiyatlandırma Olgusunun Test Edilmesi ve Nedenleri Üzerine Bir Değerlendirme (01.01.2003 - 30.06.2008 Dönemi), Muhasebe ve Finansman Dergisi, (44), 165-178.
  • Ciocca, G. P., Gutsche, R. & Grüner, A. (2015), IPO's Short-and Long-Term Performance, 5th Annual International Conference on Accounting and Finance, Jun 8- 9, Singapore.
  • Çelik, M. K. (2016). Firmaların İlk Halka Arz Sonrası Faaliyet Performanslarının Değerlendirilmesi: Borsa İstanbul Örneği. Uluslararası Yönetim İktisat ve İşletme Dergisi, 12(27), 267-282.
  • Dumitrescu, E.I., & Hurlin, C., (2012), Testing for Granger non-Causality in Heterogeneous Panels, Economic Modelling, 29(4), pp.1450–1460.
  • Ghosh, S., (2004), Boom and Slump Periods in the Indian IPO Market, Reserve Bank of India Occasional Papers, 25,(1),40-57.
  • Goergen, M., Khurshed, A. & Mudambi, R. (2007), The Long-run Performance of UK IPOs: Can It Be Predicted?, Managerial Finance, 33(6), 401-419.
  • Hatemi-J, A. (2011). Asymmetric Panel Causality Rests With an Application to the İmpact of Fiscal Policy on Economic Performance in Scandinavia.
  • Hensler, D. A., Herrera, M., & Lockwood, L. (2000), The Performance of Initial Public Offerings in The Mexican Stock Market 1987–1993, Journal of International Money and Finance, 19, 93-116.
  • Ibbotson, R. G., & Jaffe, J. F. (1975). “Hot issue” Markets. The journal of finance, 30 (4), 1027-1042.
  • Im, K. S., Pesaran, M. H., & Shin, Y. (2003), Testing for Unit Roots in Heterogeneous Panels, Journal of Econometrics, 115 (1), 53-74.
  • Jewartowski, T., & Lizińska, J. (2012), Short- and Long-Term Performance of Polish IPOs, Emerging Markets Finance and Trade, 48(2), 59-75.
  • Kaya, T. (2012). The Short Term Performance of Initial Public Offerings in İstanbul Stock Exchange: 2010 -2011 Application, Journal of Business, Economics & Finance, 1(1), 64-76.
  • Kurtaran, A. T. (2013), Türkiye’deki İlk Halka Arzların İlk Getirileri İle Uzun Dönem Fiyat Performansları Arasındaki İlişkinin Analizi, International Journal of Economic and Administrative Studies, 6(11), 186-210.
  • Lee, P.J., Taylor, S. L., & Walter, T.S. (1996), Australian IPO Pricing in the Short and Long Run, Journal of Banking and Finance 20, 1189-1210.
  • Levin, A., Lin, C., & Chu, C.J. (2003), Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties, Journal of Econometrics, 108, 1-24.
  • Levis, M. (1993), The long-run performance of initial public offerings: The UK experience 1980-1988, Financial Management 22, 28-41.
  • Lowry, M., & Schwert, G. (2002), IPO Market Cycles: Bubbles or Sequential Learning?, The Journal of Finance, LXVII(3), 1171-1198.
  • Murthy, K. V., Singh, A., & Gupta, L. (2016), Long-Run Performance of IPO Market in India, International Journal of Financial Management, 6(1), 17-27.
  • Ünlü, U., ve Ersoy, E. (2008), İlk Halka Arzlarda Düşük Fiyatlama ve Kısa Dönem Performansın Belirleyicileri: 1995-2008 İMKB Örneği, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 23(2), 243-258.
  • Ritter, J. R. (1991), The Long Run Performance of Initial Public Offerings, 46(1), 3-27.
  • Sayılgan, G., ve Bakırhan, C. (2022). Borsa İstanbul'da İşlem Görmek Üzere 1993-2020 Arasında Gerçekleştirilen İlk Halka Arzların Uzun Dönem Fiyat Performansını Etkileyen Faktörlerin Analizi. Finans Ekonomi ve Sosyal Araştırmalar Dergisi, 7(3), 442-461.
  • Walker, T. J., & Lin, M. Y, (2007), Dynamic relationships and technological innovation in hot and cold issue markets, International Journal of Managerial Financial, 3, (3), 200-228.
  • Yılancı, V., ve Bozoklu, Ş. (2014), Türk Sermaye Piyasasında Fiyat ve İşlem Hacmi İlişkisi: Zamanla Değişen Asimetrik Nedensellik Analizi, Ege Academic Review, 14(2), ss. 211-220.
  • Zamanian, G., Khodaparati, S., & Mirbagherijam, M. (2013). Long-run and Short-run Returns of İnitial Public Offerings (IPO) of Public and Private Companies in Tehran Stock Exchange (TSE) Market. International Journal of Academic Research in Business and Social Sciences, 3(2), 69.
There are 32 citations in total.

Details

Primary Language Turkish
Journal Section MAKALELER
Authors

Furkan Demirtaş 0000-0002-6069-4919

Abdulkadir Barut 0000-0001-8315-9727

Hasan Bardakçi 0000-0002-6181-3115

Mehmet Şükrü Alpsülün 0000-0003-4351-432X

Publication Date February 28, 2023
Published in Issue Year 2023 Issue: 23

Cite

APA Demirtaş, F., Barut, A., Bardakçi, H., Alpsülün, M. Ş. (2023). İLK HALKA ARZLARIN KISA VE UZUN DÖNEM FİYAT PERFORMANSLARI İLE İŞLEM HACİMLERİ ARASINDAKİ İLİŞKİ: PANEL ASİMETRİK NEDENSELLİK ANALİZİ. Anasay(23), 51-69. https://doi.org/10.33404/anasay.1227285