LİKİDİTE HASSASİYETİNİN BORSA İSTANBUL’DAKİ PAY SENETLERİNİN GETİRİLERİ ÜZERİNE ETKİSİ

Year 2020, , 441 - 464, 30.09.2020

A. Doruk Gunaydin

https://doi.org/10.17065/huniibf.541427

Abstract

Bu makalede, likidite riskinin Borsa İstanbul’da işlem gören pay senetlerinin getirilerine olan hassasiyeti 1992–2015 yılları arası için incelenmiştir. Likidite riskinin Türkiye piyasalarında fiyatlanıp fiyatlanmadığını test edebilmek amacı ile kesitsel regresyon ve portföy analizleri yapılmıştır. Bu etkiyi test edebilmek amacı ile en kapsamlı likidite ölçütleri kullanılmıştır. Hisse bazında kesitsel regresyon sonuçları, likidite azlığı betası ve gelecek 1 aydan 6 aya kadar beklenen hisse senedi getirileri arasında istatistiksel olarak anlamlı pozitif bir ilişki olduğunu göstermektedir. Sonuçlar; piyasa, defter-piyasa değeri oranı ve momentum faktörleri kontrol edilerek desteklenmiştir. Tek değişkenli portföy analizi, likidite azlığına hassasiyeti yüksek hisse senetlerinin, likidite azlığına hassasiyeti düşük hisse senetlerine göre yıllık %5 daha fazla getiriye sahip olduğunu göstermektedir. Bu sonuçlara bakarak, Borsa İstanbul'da likidite riskinin gerçekten de hisse senedi getirileri için fiyatlandığı gösterilmiştir.

Keywords

likidite riski, gelişen piyasalar, pay senedi getirileri, varlık fiyatlama

EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL

Abstract

This study investigates the equity exposure to liquidity risk factors in Borsa Istanbul between 1992-2015. Stock level cross-sectional regression and univariate portfolio analysis are utilized to examine the predictive ability of liquidity risk in Turkish markets. The widest range of illiquidity proxies are used to test this effect. Cross-sectional regression analyses show that illiquidity betas predict expected equity returns. This relation remains robust when well-known priced factors are controlled for. The univariate portfolio analysis documents that equities that are more sensitive to illiquidity shocks generate 5% higher annualized returns than those that are less sensitive to liquidity shocks. Hence, these findings show that liquidity exposure is indeed priced for equity returns in Borsa Istanbul.

Keywords

liquidity risk, emerging markets, equity returns, asset pricing

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