Research Article
BibTex RIS Cite

LİKİDİTE HASSASİYETİNİN BORSA İSTANBUL’DAKİ PAY SENETLERİNİN GETİRİLERİ ÜZERİNE ETKİSİ

Year 2020, Volume: 38 Issue: 3, 441 - 464, 30.09.2020
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.

References

  • Acharya, V., Pedersen L.,2005. Asset pricing with liquidity risk. Journal of Financial Economics 77, 375-410.
  • Amihud, Y., 2002. Illiquidity and stock returns: Cross-section and time series effects. Journal of Financial Markets 5, 31-56.
  • Asparouhova, E., Bessembinder, H., Kalcheva, I., 2010. Liquidity biases in asset pricing tests. Journal of Financial Economics 96, 215-237.
  • Bali, T. G., Brown, S. J., Caglayan, M. O., 2011. Do hedge funds' exposures to risk factors predict their future returns? Journal of Financial Economics 101, 36-68.
  • Ben-Rephael, A., Kadan, O., Wohl, A., 2015. The diminishing liquidity premium. Journal of Financial and Quantitative Analysis 50, 197-229.
  • Carhart, M. M., 1997. On persistence in mutual fund performance. Journal of Finance 52, 57-82.
  • Fama, E., French, K., 1992. The cross-section of expected stock returns. Journal of Finance 47, 427-465.
  • Fama, E., French, K., 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3-56.
  • Fama, E., MacBeth, J. D., 1973. Risk, return, and equilibrium: empirical tests. Journal of Political Economy 81, 607-636.
  • Jegadeesh, N., Titman, S., 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance 48, 65-91.
  • Karolyi, G. A., Lee, K.-H., van Dijk, M. A., 2012. Understanding commonality in liquidity around the world? Journal of Financial Economics 105, 82-112.
  • Lee, K.-H., 2011. The world price of liquidity risk. Journal of Financial Economics 99, 136-161.
  • Liu, W., 2006. A liquidity-augmented capital asset pricing model. Journal of Financial Economics 82, 631-671.
  • Newey, W. K., West, K. D., 1987. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703-708.
  • Pastor, L., Stambaugh, R., 2003. Liquidity risk and expected stock returns. Journal of Political Economy 111, 642-685.
  • Ross, S. A., 1976. The arbitrage theory of capital asset pricing. Journal of Economic Theory 13, 341-360.
  • Sadka, R. 2006. Momentum and post-earnings-annoucement drift anomalies: the role of liquidity risk. Journal of Financial Economics 80, 309-349.
  • Subrahmanyam, A., 2010. The cross-section of expected stock returns: What have we learned from the past twenty-five years of research? European Financial Management 16, 27-42.

EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL

Year 2020, Volume: 38 Issue: 3, 441 - 464, 30.09.2020
https://doi.org/10.17065/huniibf.541427

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.

References

  • Acharya, V., Pedersen L.,2005. Asset pricing with liquidity risk. Journal of Financial Economics 77, 375-410.
  • Amihud, Y., 2002. Illiquidity and stock returns: Cross-section and time series effects. Journal of Financial Markets 5, 31-56.
  • Asparouhova, E., Bessembinder, H., Kalcheva, I., 2010. Liquidity biases in asset pricing tests. Journal of Financial Economics 96, 215-237.
  • Bali, T. G., Brown, S. J., Caglayan, M. O., 2011. Do hedge funds' exposures to risk factors predict their future returns? Journal of Financial Economics 101, 36-68.
  • Ben-Rephael, A., Kadan, O., Wohl, A., 2015. The diminishing liquidity premium. Journal of Financial and Quantitative Analysis 50, 197-229.
  • Carhart, M. M., 1997. On persistence in mutual fund performance. Journal of Finance 52, 57-82.
  • Fama, E., French, K., 1992. The cross-section of expected stock returns. Journal of Finance 47, 427-465.
  • Fama, E., French, K., 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33, 3-56.
  • Fama, E., MacBeth, J. D., 1973. Risk, return, and equilibrium: empirical tests. Journal of Political Economy 81, 607-636.
  • Jegadeesh, N., Titman, S., 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance 48, 65-91.
  • Karolyi, G. A., Lee, K.-H., van Dijk, M. A., 2012. Understanding commonality in liquidity around the world? Journal of Financial Economics 105, 82-112.
  • Lee, K.-H., 2011. The world price of liquidity risk. Journal of Financial Economics 99, 136-161.
  • Liu, W., 2006. A liquidity-augmented capital asset pricing model. Journal of Financial Economics 82, 631-671.
  • Newey, W. K., West, K. D., 1987. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703-708.
  • Pastor, L., Stambaugh, R., 2003. Liquidity risk and expected stock returns. Journal of Political Economy 111, 642-685.
  • Ross, S. A., 1976. The arbitrage theory of capital asset pricing. Journal of Economic Theory 13, 341-360.
  • Sadka, R. 2006. Momentum and post-earnings-annoucement drift anomalies: the role of liquidity risk. Journal of Financial Economics 80, 309-349.
  • Subrahmanyam, A., 2010. The cross-section of expected stock returns: What have we learned from the past twenty-five years of research? European Financial Management 16, 27-42.
There are 18 citations in total.

Details

Primary Language English
Journal Section Articles
Authors

A. Doruk Gunaydin 0000-0001-5235-6664

Publication Date September 30, 2020
Submission Date March 18, 2019
Published in Issue Year 2020 Volume: 38 Issue: 3

Cite

APA Gunaydin, A. D. (2020). EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 38(3), 441-464. https://doi.org/10.17065/huniibf.541427
AMA Gunaydin AD. EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. September 2020;38(3):441-464. doi:10.17065/huniibf.541427
Chicago Gunaydin, A. Doruk. “EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi 38, no. 3 (September 2020): 441-64. https://doi.org/10.17065/huniibf.541427.
EndNote Gunaydin AD (September 1, 2020) EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 38 3 441–464.
IEEE A. D. Gunaydin, “EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL”, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol. 38, no. 3, pp. 441–464, 2020, doi: 10.17065/huniibf.541427.
ISNAD Gunaydin, A. Doruk. “EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL”. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 38/3 (September 2020), 441-464. https://doi.org/10.17065/huniibf.541427.
JAMA Gunaydin AD. EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2020;38:441–464.
MLA Gunaydin, A. Doruk. “EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, vol. 38, no. 3, 2020, pp. 441-64, doi:10.17065/huniibf.541427.
Vancouver Gunaydin AD. EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2020;38(3):441-64.

Manuscripts must conform to the requirements indicated on the last page of the Journal - Guide for Authors- and in the web page.


Privacy Statement

Names and e-mail addresses in this Journal Web page will only be used for the specified purposes of the Journal; they will not be opened for any other purpose or use by any other person.