YÜKSEK FREKANSLI İŞLEMLER HİSSE SENEDİ PİYASALARINDA BALON OLUŞUMUNU ETKİLER Mİ? GELİŞMEKTE OLAN HİSSE SENEDİ PİYASASINDAN KANITLAR

Year 2024, , 675 - 686, 30.09.2024

Mehmet Sinan Çelik

https://doi.org/10.17130/ijmeb.1447114

Abstract

Bu çalışma, yüksek frekanslı işlemlerin (HFT) nispeten yeni bir olgu olduğu önemli bir gelişmekte
olan piyasa niteliğindeki Türk hisse senedi piyasası Borsa İstanbul (BIST)’da balon oluşumunu etkileyen
faktörleri incelemektedir. HFT, hızlı algoritmalar kullanılarak gerçekleştirilen işlemleri ifade eder ve
günümüzde finans piyasalarının önemli bir dinamiği haline gelmiştir. Çalışma, 11 Mart 2020 ile 31
Aralık 2020 tarihleri arasındaki döneme ait güniçi ve günlük hisse senedi fiyat verilerini kullanmaktadır.
Veriler, Borsa İstanbul’dan elde edilmiş olup, HFT faaliyetleri, “gün içi emir” verileri ile tespit edilmiştir.
Spekülatif balonların varlığı ise Supremum Augmented Dickey-Fuller (SADF) ve Generalized Sup
Augmented Dickey-Fuller (GSADF) modelleri kullanılarak test edilmiştir. Çalışma, HFT işlemlerinin
balon oluşumunda önemli bir rol oynadığını tespit etmiştir. HFT işlemleri, yüksek işlem hacimleri ve hızlı
işlem yetenekleriyle piyasada aşırı oynaklık ve manipülasyon yaratabilir. Bu durum, balon oluşumunun riskini artırabilir. Çalışma, finansal piyasalardaki HFT etkilerini hafifletmek için düzenleme ve denetimin
önemini vurgulamaktadır. Piyasada şeffaflığı artırmayı amaçlayan düzenlemeler, yatırımcıların daha
bilinçli kararlar almasına yardımcı olabilir.

Keywords

Algoritmik İşlemler, Yüksek Frekanslı İşlemler, Oynaklık, Likidite, Spekülatif Balonlar

DO HIGH-FREQUENCY TRADING AFFECT BUBBLE FORMATION IN STOCK MARKETS? EVIDENCE FROM EMERGING STOCK MARKET

Abstract

This study examines the factors affecting bubble formation in the Turkish stock market Borsa
Istanbul (BIST), an important emerging market where high-frequency trading (HFT) is a relatively new
phenomenon. HFT refers to trades executed using fast algorithms and has become an essential dynamic
of financial markets today. The study uses intraday and daily stock price data between 11 March 2020
and 31 December 2020. The data are obtained from Borsa Istanbul and HFT activities are identified
with ‘intraday order’ data. The existence of speculative bubbles is tested using Supremum Augmented
Dickey-Fuller (SADF) and Generalised Sup Augmented Dickey-Fuller (GSADF) models. The study finds
that HFT transactions play an important role in bubble formation. With their high trading volumes and
fast trading capabilities, HFT trades can create excessive volatility and manipulation in the market.
This may increase the risk of bubble formation. The study emphasises the importance of regulation and
supervision in mitigating HFT effects in financial markets. Regulations aimed at increasing transparency
in the market can help investors make more informed decisions.

Keywords

Algorithmic Trading, High-Frequency Trading, volatiliy, liquidity, speculative bubbles

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