The Effect of Free Float on Stock Liquidity: Evidence from Borsa Istanbul

Abstract

This study investigates the impact of free float ratios on stock liquidity using a monthly dataset comprising 39,078 observations from 334 firms listed on Borsa Istanbul between January 2015 and September 2024. Liquidity is measured through the Amihud illiquidity ratio, the zero-return days ratio, and the turnover ratio, allowing for a multidimensional assessment. The analysis applies the two-step Fama-MacBeth (1973) regression method. The findings suggest that higher free float ratios generally improve liquidity by reducing the price impact of large trades and increasing trading frequency. However, the zero-return days ratio does not always accurately reflect low liquidity conditions.

Keywords

• free float ratio
• stock liquidity
• Borsa İstanbul

Halka Açıklık Oranının Hisse Senedi Likiditesi Üzerindeki Etkisi: Borsa İstanbul Örneği

Abstract

Bu çalışma, Ocak 2015–Eylül 2024 döneminde Borsa İstanbul’da işlem gören 334 firmaya ait 39.078 gözlemden oluşan aylık veri seti üzerinden, halka açıklık oranının hisse senedi likiditesi üzerindeki etkisini incelemektedir. Likidite, Amihud oranı, sıfır getirili gün oranı ve devir hızı oranı kullanılarak çok boyutlu biçimde değerlendirilmiş; analizlerde Fama-MacBeth (1973) yöntemi uygulanmıştır. Bulgular, halka açıklık oranının genel olarak hisse senedi likiditesini artırdığını; yüksek halka açıklığa sahip hisselerde büyük işlem emirlerinin fiyatlar üzerindeki etkisinin sınırlı kaldığını ve işlem sıklığının arttığını göstermektedir. Ancak, sıfır getirili gün oranının bazı hisselerde düşük işlem yoğunluğunu işaret etmesine rağmen, bu göstergenin tek başına düşük likiditeyi yansıtmadığı anlaşılmaktadır.

Keywords

• halka açıklık oranı
• hisse senedi likiditesi
• Borsa İstanbul

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