FİİLİ DOLAŞIM PAYLARININ HİSSE SENEDİ FİYATLARI ÜZERİNE ETKİLERİ: IMKB’DE BİR UYGULAMA

Yıl 2013, Cilt: 14 Sayı: 2, 165 - 174, 01.07.2013

Muhammed Mustafa Tuncer Çalışkan , Semih Kerestecioğlu

Öz

Bu çalışma, fiili dolaşım paylarının, Türkiye’deki hisse senetleri piyasa performanslarının üzerindeki etkisini incelemektedir. Bu amaç doğrultusunda, İstanbul Menkul Kıymetler Borsası’nda faaliyet gösteren 194 firmaya ait, 25.02.2011 ila 09.03.2012 tarihlerini kapsayan, günlük fiili dolaşım payları seçilmiştir. Fiili dolaşım payların etkilerinin gösterilmesi için, günlük fiyat getirileri, fiyat oynaklığı ve işlem hacmi bağımlı değişken olarak seçilerek regresyon modeli ile analiz edilmiştir. Analiz sonuçlarına göre, hisse senedi fiyat getirisi ile fiili dolaşım payları arasında hiç bir ilişki bulunamamıştır. Bir diğer taraftan, işlem hacmi ve fiyat oynaklığı ile fiili dolaşım payları arasında anlamlı bir ilişkinin olduğu ortaya konmuştur

Anahtar Kelimeler

Fiili Dolaşım Payları, Piyasa Performansı, Borsa İstanbul

EFFECTS OF FREE FLOAT RATIOS ON STOCK PRICES: AN APPLICATION ON ISE

Öz

This study investigates the effect of the free float ratio FFR on stock return, risk, and trading activity in the Turkish capital market. Daily free float ratios are calculated 194 firms trading on Istanbul Stock Exchange for the period between 25.02.2011 and 09.03.2012. Results show no relationship between free float ratio and price return. On the other hand, trade activity and price volatility are significantly positively correlation with free float ratio.

Anahtar Kelimeler

Free Float Ratio, Market Performance, Borsa Istanbul

Kaynakça

• AGGARWAL, R., KLAPPER, L., WYSOCKI, P.D. (2005). Portfolio preferences of foreign institutional investors. Journal of Banking and Finance, 29, pp. 2919-2946.
• BIKTIMIROV, E.N. (2008). The effect of demand on stock prices: evidence from the S&P index float adjustment. [Available at]: <http://ssrn.com/abstract=1101039>, [Accessed: 23.05.2012].
• BOSTANCI, F., KILIC, S. (2010). The effects of free float ratios on market performance: an empirical study on The Istanbul Stock Exchange, The ISE Review, 12 (45), pp. 1-25.
• CUI, R., WU, Y. (2007). Disentangling liquidity and size effects in stock returns: evidence from China. [Available at]: <http://ssrn.com/abstract=910248>, [Accessed: 19.05.2012].
• GAO, S. (2002). China Stock Market in a global perspective, research report, Dow Jones Indexes, [Available at]: <http://pages.stern.nyu.edu/~jmei/b40/ChinaIndexCom.pdf>, [Accessed: 15.05.2012]
• GIANNETTI, M., SIMONOV, A. (2004). Which investors fear expropriation? Evidence from investors' portfolio choices, ECGI - Finance Working Paper No. 54, [Available at]: <http://ssrn.com/abstract=423448>, [Accessed: 10.05.2012].
• GINGLINGER, E., HAMON, J. (2007). “Ownership, control and market liquidity”, Finance International Meeting Paper, 2007, [Available at]: http://ssrn.com/abstract=1071624, [Accessed: 10.05.2012]
• GURSOY, G., AYDOGAN, K. (2002), Equity ownership structure, risk taking and performance: an empirical investigation in Turkish companies, Russian and East European Finance and Trade, 38, pp. 5-24.
• IMISIKER, S., TAS, ONUR, K. B. (2011). Which Firms Are More Prone to Stock Market Manipulation?, Working Papers, [Available at]: < http://ssrn.com/abstract=1759201>, [Accessed: 25.05.2012].
• KALOK, C,YUE-CHEONG, C., WAI-MING F. (2002). Free float and market liquidity: a study of Hong Kong government intervention, Journal of Financial Research, 27 (2), pp. 179-197.
• KASERER, C., WAGNER, N.F. (2004). Executive pay, free float, and firm performance: evidence from Germany, [Available at]: <http://ssrn.com/abstract=650621>, [Accessed: 05.05.2012]
• LAM, D., LIN, B. and MICHAYLUK, D. (2011). Demand and supply and their relationship to liquidity: evidence from the S&P 500 change to free float, Financial Analysts Journal, 67 (1),
• LINS, K.V., WARNOCK, F.E. (2004). Corporate Governance and the Shareholder Base, FED International Finance Discussion Papers, 816, [Available at]: <www.federalreserve.gov/pubs/ifdp>, [Accessed: 08.05.2012].
• NEHER, S. (2007), Distribution of the Shareholder Base of Swiss Cantonal Banks, Financial Markets and Portfolio Market, 21 (4), pp. 471-485.
• NESTOR, S. (2000). Corporate governance trends in the OECD Area: where do we go from here?, Working paper, OECD, [Available at]: <http://www.oecd.org/ dataoecd/6/55/1873098.pdf.>, [Accessed: 11.05.2012].
• OZER, B., YAMAK, S. (2001). The role of market control on the relation between ownership and performance: evidence from Turkish market, EFMA 2001 Lugano Meetings, [Available at]: <http://ssrn.com/abstract=268089>, [Accessed: 10.05.2012].
• WANG, F., XU Y. (2004). What determines the Chinese stock returns?, Financial Analyst Journal, 60, pp. 65-77.
• YURTOGLU, B. (2000). Ownership, control and performance of Turkish listed firms, emprica, 27, pp. 193-222.
• YURTOGLU, B. (2003). Corporate governance and implications for minority shareholders in Turkey, Journal of Corporate Ownership and Control, 1, pp. 72-86.