Research Article
BibTex RIS Cite

YATIRIMCILARIN HİSSE SENEDİ ALIM-SATIM EĞİLİMLERİNDEKİ DEĞİŞİKLİKLER, HİSSE SENETLERİNİN BORSA ENDEKSLERİNE KABUL YA DA ENDEKSLERDEN ÇIKARILMA ÖLÇÜLERİNDEN BİRİ OLABİLİR Mİ? İMKB-30 ENDEKSİ HİSSELERİNİ KAPSAYAN BİR ARAŞTIRMA

Year 2004, Volume: 6 Issue: 22, 19 - 32, 10.06.2004

A. Osman Gürbüz

https://doi.org/10.14783/maruoneri.678475

Abstract

Yatırımcılar tarafından genelde tercih edilen finansal piyasalar, enformasyon, operasyon ve tahsis odaklı etkinlik gereksinimlerini karşılayabilmelidir. Genel olarak ifade edilecek olursa; sermaye piyasalarına ilişkin düzenlemelerden beklenen, güven ve istikrar ortamı içinde menkul kıymet ticareti (alım- satımı) yapabilmek için menkul kıymet borsalarının açık, şeffaf ve düzgün bir işleyişe kavuşmasını temin etmek olmalıdır. Bir borsa, her şeyden önce bireysel ve kurumsal yatırımcıların yararlarını kollayan/hedefleyen bir “yatırım piyasa yeri” özelliklerine sahip olmalıdır. New York Borsası, Tokyo Borsası, Paris Borsası, EUREX Borsası gibi yüksek itibara sahip yatırım yerleri, şirketlerin menkul kıymetlerinin borsaya girişlerini sınırlandırabilmek için genellikle borsaya giriş engellerini yükseltme eğilimi içindedirler.
Piyasa katılımcılarının alım-satım eğilimlerindeki değişiklikleri ölçebilmek için karşılaştırmalı bir araç olarak çalışmamızda “işlem görme oranı”nı kullandık. Bu aracı -İMKB-30 Endeksi hisse senetlerini kapsayacak şekilde- borsamızın yüksek aktiviteye sahip menkul kıymetlerine uygulamak suretiyle -Türk yatırım piyasasındaki menkul kıymetlerin değişen özelliklerini de dikkate alarak- sermaye piyasası katılımcılarının işlem (alım- satım) eğilimi hususunda önemli bazı bulgulara eriştik.

Keywords

Menkul Kıymet Alım-Satım Eğilimi İşlem Görme Oram Hisse Senedi Devir Hm / Oranı

References

  • [1] ALBRIGHT, S.C., WINSTON, W.L„ ZAPPE, C; Data Analysis & Decision Making with Microsoft Excel, Duxbury Press, 2002, ss.95-96.
  • [2] AMIHUD, Y.; MENDELSON, H., “Asset Pricing and the Bid-Ask Spread”, Journal of Financial Economics, 17, 1986, ss.223-249.
  • [3] AMIHUD, Y.; MENDELSON, H., “Liquidity, Asset Prices and Financial Policy”, Financial Analyst Journal, 1991, ss.56- 66.
  • [4] ATKINS, A.B.; DYL, E.A., "Transaction Costs and Holding Periods for Common Stocks”, Journal of Finance, 52, 1997, ss.309-325.
  • [5] BRENNAN, M.; SUBRAHMANYAM, A., "Market Microstructure and Asset Pricing”, Journal of Financial Economics, 41(3), 1996, ss.441-464.
  • [6] BROWN, D.P.; ZHANG, Z.M., “Market Orders and Market Efficiency”, Journal of Finance, 52, 1997, ss.277-308.
  • [7] BROWN, S.L., “Churning: Excessive Trading in Retail Securities Accounts", Financial Services Review, 5(1), 1996, ss.43-56.
  • [8] CHAN, H.W.; FAFF, R.W.,” An Investigation into the Role of Liquidity in Asset Pricing: Australian Evidence”, Pacific-Basin Finance Journal, 11, 2003, ss.555-572.
  • [9] CHORDIA, T.; ROLL, R.; SUBRAHMANYAM, A., "Order Imbalance, Liquidity, and Market Returns” Working Paper, April 12, 2001.
  • [10] CHORDIA, T.; SUBRAHMANYAM, A.; ANSHUMAN, V.R., "Trading Activity and Expected Stock Returns”, Journal of Financial Economics, 59, 2001, ss.3-32.
  • [11] CONSTANTTNIDES, G., “Capital Market Equilibrium and Transaction Costs", Journal of Political Economy, 94, 1986, ss.842-862.
  • [12] D ATAR, V.T.; NAIK, N.Y.; RADCLIFFE, R„ “Liquidity and Stock Returns: An Alternative Test”, Journal of Financial Markets, 1, 1998, ss.203-219.
  • [13] DAVES, P.R.; WANSLEY, J.W.; ZHANG, R.; “Reported Trading Volüme on the NYSE and NASDAQ”, VVorking Paper, May 2003.
  • [14] ELESWARAPU, V.R., “Cost of Transacting and Expected Returns in the Nasdaq Market”, Journal of Finance, 52, 1997, ss.2113-2127.
  • [15] ELESWARAPU, V.R.; REINGAUM, M., “The Seasonal Behavior of the Liquidity Premium in Asset Pricing, Journal of Financial Economics, 34, 1993, ss.373-386.
  • [16] Encyclopedia of Statistical Sciences, JohnWiley & Sons, Inc., Vol.3,1983, s.492.
  • [17] FRINO, A.; McCORRY, M.; “Why are Spreads Tighter on the Australian Stock Exchange than the NYSE?” An Electronic Öpen Limit Order Book Versus the Specialist Structure”, ASX Perspective, 1,1996, ss.43-47.
  • [18] HAUGEN, R.A.; BAKER, N., “Commonality in the Determinants of Expected Stock Returns", Journal of Financial Economics, 41, 1996, ss.401-439.
  • [19] http:Wwww.imkb.gov.tr
  • [20] HU, S., "Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange”, University of Chicago Working Paper, 1997.
  • [21] HU, S-Y., “The Effects of the Stock Transaction Tax on the Stock Market - Experiences from Asian Markets”, Pacific-Basin Finance Journal, 6, 1998, ss.347-364.
  • [22] İstanbul Menkul Kıymetler Borsası Kotasyon Yönetmeliği, RG. No: 22226,13.3.1995.
  • [23] JUN, S-G.; MARATHE, A.; SHAWKY, H.A., “Liquidity and Stock Returns in Emerging Equity Markets”, Emerging Markets Review, 4, 2003, ss.1-24.
  • [24] KEYNES, J.M., The General Theory of Employment, Interest and Money, Harcourt Brace, New York, 1936.
  • [25] LO, A.; WANG, J., “Trading Volüme: Definition, Data Analysis and Implication of Portfolio Theory”, Review of Financial Studies, 13, (Summer), ss.257-300.
  • [26] MARSHALL, B.R.; YOUNG, M., "Liquidity and Stock Returns in Püre Order-Driven Markets: Evidence from the Australian Stock Market”, International Review of Financial Analysis, 12, 2003, ss.173-188.
  • [27] Menkul Kıymet Borsalarının Kuruluş ve Çalışma Esasları Hakkında Yönetmelik, RG. No: 18537, 06.10.1984.
  • [28] STIGLITZ, J.E., "Using Tax Policy to Curb Speculative Short-Term Trading”, Journal of Financial Services, 3, 1989, ss.101-115.
  • [29] SUMMER, L.H.; SUMMERS, V.P., "When Financial Markets Work too Well: A Cautious Case for a Securities Transactions Tax”, Journal of Financial Services, 3, 1989, ss.261-286.
  • [30] ŞENESEN, Ü.; Betimleyici Sorgulayıcı İstatistik, İTÜ İnşaat Fakültesi Matbaası, 1998, ss.66-170.
  • [31] TOBIN, J., “On the Efficiency of the Financial Market System”, Lloyds Bank Review, 153, 1984, ss.1-15.
  • [32] VAYANOS, D., "Transaction Costs and the Asset Prices: A Dynamic Equilibrium Model", The Review of Financial Studies, 11,1998, ss. 1-58.
  • [33] VAYANOS, D.; VILA, J.L., “Equilibrium Interest Rate and Liquidity Premium with Transaction Costs", Journal of Economic Theory, 13, 1999, ss.509-539. 29
  • [34] WANSLEY, J.W.; DAVES, P.R.; STEWART, D.B, “What Determines Reported Volüme: A Comparison of NYSE/AMEX and Nasdaq”, Working Paper, May 2002.

Year 2004, Volume: 6 Issue: 22, 19 - 32, 10.06.2004

A. Osman Gürbüz

https://doi.org/10.14783/maruoneri.678475

Abstract

References

  • [1] ALBRIGHT, S.C., WINSTON, W.L„ ZAPPE, C; Data Analysis & Decision Making with Microsoft Excel, Duxbury Press, 2002, ss.95-96.
  • [2] AMIHUD, Y.; MENDELSON, H., “Asset Pricing and the Bid-Ask Spread”, Journal of Financial Economics, 17, 1986, ss.223-249.
  • [3] AMIHUD, Y.; MENDELSON, H., “Liquidity, Asset Prices and Financial Policy”, Financial Analyst Journal, 1991, ss.56- 66.
  • [4] ATKINS, A.B.; DYL, E.A., "Transaction Costs and Holding Periods for Common Stocks”, Journal of Finance, 52, 1997, ss.309-325.
  • [5] BRENNAN, M.; SUBRAHMANYAM, A., "Market Microstructure and Asset Pricing”, Journal of Financial Economics, 41(3), 1996, ss.441-464.
  • [6] BROWN, D.P.; ZHANG, Z.M., “Market Orders and Market Efficiency”, Journal of Finance, 52, 1997, ss.277-308.
  • [7] BROWN, S.L., “Churning: Excessive Trading in Retail Securities Accounts", Financial Services Review, 5(1), 1996, ss.43-56.
  • [8] CHAN, H.W.; FAFF, R.W.,” An Investigation into the Role of Liquidity in Asset Pricing: Australian Evidence”, Pacific-Basin Finance Journal, 11, 2003, ss.555-572.
  • [9] CHORDIA, T.; ROLL, R.; SUBRAHMANYAM, A., "Order Imbalance, Liquidity, and Market Returns” Working Paper, April 12, 2001.
  • [10] CHORDIA, T.; SUBRAHMANYAM, A.; ANSHUMAN, V.R., "Trading Activity and Expected Stock Returns”, Journal of Financial Economics, 59, 2001, ss.3-32.
  • [11] CONSTANTTNIDES, G., “Capital Market Equilibrium and Transaction Costs", Journal of Political Economy, 94, 1986, ss.842-862.
  • [12] D ATAR, V.T.; NAIK, N.Y.; RADCLIFFE, R„ “Liquidity and Stock Returns: An Alternative Test”, Journal of Financial Markets, 1, 1998, ss.203-219.
  • [13] DAVES, P.R.; WANSLEY, J.W.; ZHANG, R.; “Reported Trading Volüme on the NYSE and NASDAQ”, VVorking Paper, May 2003.
  • [14] ELESWARAPU, V.R., “Cost of Transacting and Expected Returns in the Nasdaq Market”, Journal of Finance, 52, 1997, ss.2113-2127.
  • [15] ELESWARAPU, V.R.; REINGAUM, M., “The Seasonal Behavior of the Liquidity Premium in Asset Pricing, Journal of Financial Economics, 34, 1993, ss.373-386.
  • [16] Encyclopedia of Statistical Sciences, JohnWiley & Sons, Inc., Vol.3,1983, s.492.
  • [17] FRINO, A.; McCORRY, M.; “Why are Spreads Tighter on the Australian Stock Exchange than the NYSE?” An Electronic Öpen Limit Order Book Versus the Specialist Structure”, ASX Perspective, 1,1996, ss.43-47.
  • [18] HAUGEN, R.A.; BAKER, N., “Commonality in the Determinants of Expected Stock Returns", Journal of Financial Economics, 41, 1996, ss.401-439.
  • [19] http:Wwww.imkb.gov.tr
  • [20] HU, S., "Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange”, University of Chicago Working Paper, 1997.
  • [21] HU, S-Y., “The Effects of the Stock Transaction Tax on the Stock Market - Experiences from Asian Markets”, Pacific-Basin Finance Journal, 6, 1998, ss.347-364.
  • [22] İstanbul Menkul Kıymetler Borsası Kotasyon Yönetmeliği, RG. No: 22226,13.3.1995.
  • [23] JUN, S-G.; MARATHE, A.; SHAWKY, H.A., “Liquidity and Stock Returns in Emerging Equity Markets”, Emerging Markets Review, 4, 2003, ss.1-24.
  • [24] KEYNES, J.M., The General Theory of Employment, Interest and Money, Harcourt Brace, New York, 1936.
  • [25] LO, A.; WANG, J., “Trading Volüme: Definition, Data Analysis and Implication of Portfolio Theory”, Review of Financial Studies, 13, (Summer), ss.257-300.
  • [26] MARSHALL, B.R.; YOUNG, M., "Liquidity and Stock Returns in Püre Order-Driven Markets: Evidence from the Australian Stock Market”, International Review of Financial Analysis, 12, 2003, ss.173-188.
  • [27] Menkul Kıymet Borsalarının Kuruluş ve Çalışma Esasları Hakkında Yönetmelik, RG. No: 18537, 06.10.1984.
  • [28] STIGLITZ, J.E., "Using Tax Policy to Curb Speculative Short-Term Trading”, Journal of Financial Services, 3, 1989, ss.101-115.
  • [29] SUMMER, L.H.; SUMMERS, V.P., "When Financial Markets Work too Well: A Cautious Case for a Securities Transactions Tax”, Journal of Financial Services, 3, 1989, ss.261-286.
  • [30] ŞENESEN, Ü.; Betimleyici Sorgulayıcı İstatistik, İTÜ İnşaat Fakültesi Matbaası, 1998, ss.66-170.
  • [31] TOBIN, J., “On the Efficiency of the Financial Market System”, Lloyds Bank Review, 153, 1984, ss.1-15.
  • [32] VAYANOS, D., "Transaction Costs and the Asset Prices: A Dynamic Equilibrium Model", The Review of Financial Studies, 11,1998, ss. 1-58.
  • [33] VAYANOS, D.; VILA, J.L., “Equilibrium Interest Rate and Liquidity Premium with Transaction Costs", Journal of Economic Theory, 13, 1999, ss.509-539. 29
  • [34] WANSLEY, J.W.; DAVES, P.R.; STEWART, D.B, “What Determines Reported Volüme: A Comparison of NYSE/AMEX and Nasdaq”, Working Paper, May 2002.
There are 34 citations in total.

Details

Primary Language Turkish
Journal Section Eski Sayılar
Authors

A. Osman Gürbüz This is me

Publication Date June 10, 2004
Published in Issue Year 2004 Volume: 6 Issue: 22

Cite

APA Gürbüz, A. O. (2004). YATIRIMCILARIN HİSSE SENEDİ ALIM-SATIM EĞİLİMLERİNDEKİ DEĞİŞİKLİKLER, HİSSE SENETLERİNİN BORSA ENDEKSLERİNE KABUL YA DA ENDEKSLERDEN ÇIKARILMA ÖLÇÜLERİNDEN BİRİ OLABİLİR Mİ? İMKB-30 ENDEKSİ HİSSELERİNİ KAPSAYAN BİR ARAŞTIRMA. Öneri Dergisi, 6(22), 19-32. https://doi.org/10.14783/maruoneri.678475

15795

This web is licensed under a Creative Commons Attribution 4.0 International License.

Öneri

Marmara UniversityInstitute of Social Sciences

Göztepe Kampüsü Enstitüler Binası Kat:5 34722  Kadıköy/İstanbul

e-ISSN: 2147-5377