Borsa İstanbul'da Likidite ve Piyasa Etkinliği

Year 2024, Volume: 42 Issue: 3, 371 - 384, 24.09.2024

Serkan Alkan

https://doi.org/10.17065/huniibf.1388807

Abstract

Borsa İstanbul, yatırımcı katılımında önemli bir artış göstermekte olup şirketler de halka arz yoluyla sermaye arttırımına gitmektedir. Bu bağlamda çalışmanın amacı, son yıllarda Borsa İstanbul’a yeni kote olan hisse senetleri de dahil olmak üzere 397 şirketin hisse senetlerinin piyasa etkinliği ve likiditesi arasındaki ilişkiyi araştırmaktır. 1 Ocak 2022 – 18 Ağustos 2023 dönemi günlük verilerin kullanıldığı çalışmada, hisse senetlerini bilgi etkinliği düzeylerine göre sıralamak için sample entropi yöntemi kullanılmıştır. Elde edilen bulgulara göre, tüm hisse senetleri farklı seviyelerde bilgi karmaşıklığı ve likidite eksikliği sergilemekte olup çalışmada, birçok hisse senedi getirilerinin otokorelasyon gösterdiği ve bağımsız olmadığına dair kanıtlar da elde edilmiştir. Ayrıca, entropi ve likiditenin yatay kesit bazında anlamlı bir ilişkiye sahip olduğu ve likiditenin hem etkinlik hem de tahmin edilebilirlik üzerinde önemli bir rol oynadığı ortaya konmuştur.

Keywords

Piyasa etkinliği, Likidite, Borsa İstanbul, Entrop

Liquidity and Market Efficiency in Borsa Istanbul

Abstract

The Borsa Istanbul has experienced a significant increase in investor participation in the past few years, and the growing number of companies are opting to raise capital through IPOs (Initial Public Offerings). In the context of this transformation, the goal of this research is to investigate the connection between the market efficiency and liquidity of 397 stocks traded on Borsa Istanbul by using the daily data over the period from 1 January 2022 to 18 August 2023, including the new stocks that have been listed in recent years. The stocks are ranked in accordance with the degree of informational efficiency using a sample entropy (SampEn) approach. The analysis shows that all stocks exhibit different levels of informational complexity and illiquidity, and many stocks display evidence of autocorrelation and non-independence. Further, it is revealed that entropy and liquidity have a significant relationship on a cross-sectional basis, suggesting that liquidity has an important impact on both inefficiency and predictability.

Keywords

Market efficiency, Liquidity, Borsa Istanbul, Entropy

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