SIĞ BİR HİSSE SENEDİ PİYASASI OYNAKLIĞI İLE DÖVİZ KURU OYNAKLIĞININ İLİŞKİSİ: BORSA ISTANBUL ÖRNEĞİ

Abstract

Varlık fiyatlamasında piyasa likiditesinin önemli sonuçlara sahip olduğu değerlendirildiğinde, işlem maliyetleri ne kadar yüksek olursa, varlık fiyatları o kadar düşük; buna göre getiri oranları da o kadar yüksek olmaktadır. Bunun nedeni, düşük likiditeye sahip bir varlığa yatırım yapan yatırımcıların katlandığı likidite maliyetlerini telafi etmek amacıyla daha yüksek getirinin olmasından kaynaklanmaktadır. John Maynard Keynes'e göre, bir varlık, "kısa sürede kayıpsız ve emin bir şekilde el değiştirebiliyorsa" likiditeye sahip olarak tanımlanmaktadır. Bu çalışmanın temel amacı, Borsa İstanbul için döviz kuru oynaklığı ile Borsa likiditesinin oynaklığı arasındaki ilişkiyi analiz etmektir. Böylece açık ekonomi için risk göstergesi olarak dış şokların ve döviz kuru oynaklığının etkileri araştırılacaktır. Borsa İstanbul'un likiditesinin oynaklığı ve döviz kuru oynaklığı, ilgili literatürdeki farklı yaklaşımları uygulayarak tahmin edilmektedir. Daha sonra bu iki değişken arasındaki ilişki Moon ve Yu Yaklaşımı kullanılarak analiz edilmiştir. Ampirik bulgulara dayanarak piyasa oyuncuları için politika önerileri yapılmıştır. 

 

Keywords

• Likidite,Oynaklık,Risk Göstergesi,Moon ve Yu Yaklaşımı

RELATIONSHIP BETWEEN VOLATILITY OF STOCK MARKET ILLIQUIDITY AND EXCHANGE RATE VOLATILITY: THE CASE OF BORSA ISTANBUL

Abstract

Low liquidity (illiquidity) of a market is considered to have important asset pricing implications such that the higher the transaction costs the lower will be the asset prices and higher the rates of return. This is due to an illiquid asset offering higher rate of return to compensate the investors for having liquidity cost. According to John Maynard Keynes, an asset is defined to be liquid when "it is more certainly realizable at short notice without loss". The major aim of this paper is to analyze the relationship between exchange
rate volatility and volatility of stock market illiquidity for Borsa Istanbul. In this way the effects of external shocks and the exchange rate volatility as the risk indicator for an open economy will be investigated. Volatility of stock market illiquidity and exchange rate volatility are estimated by applying different approaches available in the relevant literature. Afterwards the relationship between these two variables is analyzed by using Moon and Yu approach. Based on empirical findings some policy
recommendations are made for market players.  

Keywords

• Liquidity,Volatility,Risk Indicator,Moon and Yu Approach

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