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Türkiye Hisse Senedi Piyasasında Likidite ve Getiri İlişkisi

Year 2018, Volume: 11 Issue: 2, 203 - 216, 25.04.2018
https://doi.org/10.25287/ohuiibf.317710

Abstract

Bu çalışmada Türkiye
hisse senedi piyasalarında likiditenin getiri üzerindeki etkisi 265 şirketin
2/01/2002 – 2/02/2017 arası döneme ait verisi kullanılarak incelenmiştir.
Likidite değişkenleri olarak Corwin-Schultz alım-satım farkı tahmincisi, en
yüksek – en düşük oranı ve Amihud likidite yetersizliği ölçüsü kullanılmıştır.
Likidite değişkeni ilave edilmiş ve risksiz faiz oranının sıfır olduğu basit
bir CAPM modeline panel veri en küçük kareler uygulanmıştır. Likidite
yetersizliğinin hem günlük hem de aylık getirilere negatif etkisi olduğu
bulunmuştur. Bu etki ayrıca dört farklı büyüklük grubunda incelenmiştir. Daha
büyük şirketlerdeki anlamsız ve pozitif katsayıya sahip olan Amihud likidite
yetersizliği ölçüsü dışında negatif etkinin alt örneklemlerde de olduğu
görülmüştür.  Negatif etkinin daha küçük
şirketlerde daha güçlü olduğu bulunmuştur. Sonuçlar gelişmiş piyasalarda
likidite primini destekleyen pek çok çalışmanın aksinedir. Bu durum Türkiye
gibi gelişen piyasalar üzerine daha fazla analiz önermektedir.

References

  • Acharya, V. V. & Pedersen, L. H. (2005). Asset pricing with liquidity risk. Journal of Financial Economics, 77(2), 375-410.
  • Akar, C. (2015). Türkiye hisse senedi piyasasında likidite ölçülerinin karşılaştırılması ve likidite volatilitesi hisse senedi getirisi arasındaki ilişki. Yönetim ve Ekonomi, 22(1).
  • Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets, 5(1), 31-56.
  • Amihud, Y. & Mendelson, H. (1986). Liquidity and stock returns. Financial Analysts Journal, 43-48.
  • Brennan, M. J. & Subrahmanyam, A. (1996). Market microstructure and asset pricing: On the compensation for illiquidity in stock returns. Journal of Financial Economics, 41(3), 441-464.
  • Chang, Y.Y., Faff, R. & Hwang, C.-Y. (2010). Liquidity and stock returns in Japan: New evidence. Pacific-Basin Finance Journal, 18(1), 90-115.
  • Chen, N.-F. & Kan, R. (1989). Expected return and the bid-ask spread. CRSP Workingpaper No: 265, University of Chicago.
  • Chordia, T., Roll, R. & Subrahmanyam, A. (2000). Commonality in liquidity. Journal of financial economics, 56(1), 3-28.
  • Chordia, T., Roll, R. & Subrahmanyam, A. (2001). Market liquidity and trading activity. The Journal of Finance, 56(2), 501-530.
  • Corwin, S. A. & Schultz, P. (2012). A simple way to estimate bid‐ask spreads from daily high and low prices. The Journal of Finance, 67(2), 719-760.
  • Dalgaard, R. (2009). Liquidity and stock returns: Evidence from Denmark. Yayımlanmamış Yüksek Lisans Tezi, Copenhagen Business School, Frederiksberg, Denmark.
  • Datar, V. T., Naik, N. Y. & Radcliffe, R. (1998). Liquidity and stock returns: An alternative test. Journal of Financial Markets, 1(2), 203-219.
  • Eleswarapu, V. R. & Reinganum, M. R. (1993). The seasonal behavior of the liquidity premium in asset pricing. Journal of Financial Economics, 34(3), 373-386.
  • Gibson, R. & Mougeot, N. (2004). The pricing of systematic liquidity risk: Empirical evidence from the US stock market. Journal of Banking & Finance, 28(1), 157-178.
  • Goyenko, R. Y., Holden, C. W. & Trzcinka, C. A. (2009). Do liquidity measures measure liquidity?. Journal of financial Economics, 92(2), 153-181.
  • Grunditz, J. & Härdig, M. (2012). Illiquidity and stock returns: Empirical evidence from the Stockholm Stock Exchange. Yayımlanmamış Yüksek Lisans Tezi, Stockholm School of Economics, Stockholm, Sweden.
  • Huberman, G. & Halka, D. (2001). Systematic liquidity. Journal of Financial Research, 24(2), 161-178.
  • Jun, S.-G., Marathe, A. & Shawky, H. A. (2003). Liquidity and stock returns in emerging equity markets. Emerging Markets Review, 4(1), 1-24.
  • Kang, W. & Zhang, H. (2014). Measuring liquidity in emerging markets. Pacific-Basin Finance Journal, 27, 49-71.
  • Kayalı, M. M. & Ünal, S. (2015). Piyasa Mikro Yapısı, Finansal Varlıkların Likitidesi ve Fiyatların Oluşumu. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 12(12).
  • Leirvik, T., Fiskerstrand, S. R. & Fjellvikås, A. B. (2017). Market liquidity and stock returns in the Norwegian stock market. Finance Research Letters.
  • Lou, X. & Shu, T. (2016). Price impact or trading volume: Why is the Amihud (2002) illiquidity measure priced?. Workingpaper. SSRN: https://ssrn.com/abstract=2291942
  • Marshall, B. R. & Young, M. (2003). Liquidity and stock returns in pure order-driven markets: evidence from the Australian stock market. International Review of Financial Analysis, 12(2), 173-188.
  • Miller, M. H. & Scholes, M. S. (1982). Dividends and taxes: Some empirical evidence. Journal of Political Economy, 90(6), 1118-1141.
  • Næs, R., Skjeltorp, J. A. & Ødegaard, B. A. (2011). Stock market liquidity and the business cycle. The Journal of Finance, 66(1), 139-176.
  • Pastor, L. & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. CRSP Workingpaper No: 531. SSRN: https://ssrn.com/abstract=279804
  • PwC (2016). Listing in Borsa İstanbul. Retrieved May 3, 2017 (de indirildi) from the World Wide Web: https://www.pwc.com.tr/tr/Hizmetlerimiz/sermaye-piyasalarina-erisim/listing-in-borsa-istanbul/listing-in-borsa-istanbul-pwc-2016.pdf
  • Kennedy, P. (2008). A guide to econometrics. Malden: Blackwell Publishers.
  • Sensoy, A. (2016). Commonality in liquidity: Effects of monetary policy and macroeconomic announcements. Finance Research Letters, 16, 125-131.
  • Yeşildağ, E. (2008). Likidite ile hisse senedi getirisi arasındaki ilişkinin ölçülmesi: İMKB uygulaması. Yayımlanmış Yüksek Lisans Tezi, Adnan Menderes Üniversitesi Sosyal Bilimler Enstitüsü, Aydın, Türkiye.
  • Yıldırım, B. D. (2011). Türkiye’nin finansal piyasa likiditesi, ölçümü ve analizi. Central Bank Review, 11(1), 11.

The Relationship Between Liquidity and Return in Turkish Stock Market

Year 2018, Volume: 11 Issue: 2, 203 - 216, 25.04.2018
https://doi.org/10.25287/ohuiibf.317710

Abstract










In this study, we examine the effect of liquidity on return in the stock
market of Turkey using data of 265 companies for the period 2/01/2002 through
2/02/2017. We use Corwin-Schultz bid-ask spread estimator, high – low ratio and
Amihud illiquidity measure as liquidity variables. We run panel data least
squares on a simple CAPM model which has a liquidity variable and where the
risk-free interest rate is zero. We find that illiquidity has negative effect
on both daily and monthly returns. We also examine this effect in four size
groups. We find that negative effect persists in subsamples except for Amihud
illiquidity measure which has non-significant and positive coefficients for
larger companies. According to our findings, negative effect is stronger for smaller
companies. Our results are in contrast with many studies which support
liquidity premium in developed markets. This suggests further analysis on
emerging markets like Turkey. 

References

  • Acharya, V. V. & Pedersen, L. H. (2005). Asset pricing with liquidity risk. Journal of Financial Economics, 77(2), 375-410.
  • Akar, C. (2015). Türkiye hisse senedi piyasasında likidite ölçülerinin karşılaştırılması ve likidite volatilitesi hisse senedi getirisi arasındaki ilişki. Yönetim ve Ekonomi, 22(1).
  • Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets, 5(1), 31-56.
  • Amihud, Y. & Mendelson, H. (1986). Liquidity and stock returns. Financial Analysts Journal, 43-48.
  • Brennan, M. J. & Subrahmanyam, A. (1996). Market microstructure and asset pricing: On the compensation for illiquidity in stock returns. Journal of Financial Economics, 41(3), 441-464.
  • Chang, Y.Y., Faff, R. & Hwang, C.-Y. (2010). Liquidity and stock returns in Japan: New evidence. Pacific-Basin Finance Journal, 18(1), 90-115.
  • Chen, N.-F. & Kan, R. (1989). Expected return and the bid-ask spread. CRSP Workingpaper No: 265, University of Chicago.
  • Chordia, T., Roll, R. & Subrahmanyam, A. (2000). Commonality in liquidity. Journal of financial economics, 56(1), 3-28.
  • Chordia, T., Roll, R. & Subrahmanyam, A. (2001). Market liquidity and trading activity. The Journal of Finance, 56(2), 501-530.
  • Corwin, S. A. & Schultz, P. (2012). A simple way to estimate bid‐ask spreads from daily high and low prices. The Journal of Finance, 67(2), 719-760.
  • Dalgaard, R. (2009). Liquidity and stock returns: Evidence from Denmark. Yayımlanmamış Yüksek Lisans Tezi, Copenhagen Business School, Frederiksberg, Denmark.
  • Datar, V. T., Naik, N. Y. & Radcliffe, R. (1998). Liquidity and stock returns: An alternative test. Journal of Financial Markets, 1(2), 203-219.
  • Eleswarapu, V. R. & Reinganum, M. R. (1993). The seasonal behavior of the liquidity premium in asset pricing. Journal of Financial Economics, 34(3), 373-386.
  • Gibson, R. & Mougeot, N. (2004). The pricing of systematic liquidity risk: Empirical evidence from the US stock market. Journal of Banking & Finance, 28(1), 157-178.
  • Goyenko, R. Y., Holden, C. W. & Trzcinka, C. A. (2009). Do liquidity measures measure liquidity?. Journal of financial Economics, 92(2), 153-181.
  • Grunditz, J. & Härdig, M. (2012). Illiquidity and stock returns: Empirical evidence from the Stockholm Stock Exchange. Yayımlanmamış Yüksek Lisans Tezi, Stockholm School of Economics, Stockholm, Sweden.
  • Huberman, G. & Halka, D. (2001). Systematic liquidity. Journal of Financial Research, 24(2), 161-178.
  • Jun, S.-G., Marathe, A. & Shawky, H. A. (2003). Liquidity and stock returns in emerging equity markets. Emerging Markets Review, 4(1), 1-24.
  • Kang, W. & Zhang, H. (2014). Measuring liquidity in emerging markets. Pacific-Basin Finance Journal, 27, 49-71.
  • Kayalı, M. M. & Ünal, S. (2015). Piyasa Mikro Yapısı, Finansal Varlıkların Likitidesi ve Fiyatların Oluşumu. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 12(12).
  • Leirvik, T., Fiskerstrand, S. R. & Fjellvikås, A. B. (2017). Market liquidity and stock returns in the Norwegian stock market. Finance Research Letters.
  • Lou, X. & Shu, T. (2016). Price impact or trading volume: Why is the Amihud (2002) illiquidity measure priced?. Workingpaper. SSRN: https://ssrn.com/abstract=2291942
  • Marshall, B. R. & Young, M. (2003). Liquidity and stock returns in pure order-driven markets: evidence from the Australian stock market. International Review of Financial Analysis, 12(2), 173-188.
  • Miller, M. H. & Scholes, M. S. (1982). Dividends and taxes: Some empirical evidence. Journal of Political Economy, 90(6), 1118-1141.
  • Næs, R., Skjeltorp, J. A. & Ødegaard, B. A. (2011). Stock market liquidity and the business cycle. The Journal of Finance, 66(1), 139-176.
  • Pastor, L. & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. CRSP Workingpaper No: 531. SSRN: https://ssrn.com/abstract=279804
  • PwC (2016). Listing in Borsa İstanbul. Retrieved May 3, 2017 (de indirildi) from the World Wide Web: https://www.pwc.com.tr/tr/Hizmetlerimiz/sermaye-piyasalarina-erisim/listing-in-borsa-istanbul/listing-in-borsa-istanbul-pwc-2016.pdf
  • Kennedy, P. (2008). A guide to econometrics. Malden: Blackwell Publishers.
  • Sensoy, A. (2016). Commonality in liquidity: Effects of monetary policy and macroeconomic announcements. Finance Research Letters, 16, 125-131.
  • Yeşildağ, E. (2008). Likidite ile hisse senedi getirisi arasındaki ilişkinin ölçülmesi: İMKB uygulaması. Yayımlanmış Yüksek Lisans Tezi, Adnan Menderes Üniversitesi Sosyal Bilimler Enstitüsü, Aydın, Türkiye.
  • Yıldırım, B. D. (2011). Türkiye’nin finansal piyasa likiditesi, ölçümü ve analizi. Central Bank Review, 11(1), 11.
There are 31 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Articles
Authors

Ümit Gümrah

Cihan Çobanoğlu This is me

Publication Date April 25, 2018
Submission Date May 31, 2017
Acceptance Date March 10, 2018
Published in Issue Year 2018 Volume: 11 Issue: 2

Cite

APA Gümrah, Ü., & Çobanoğlu, C. (2018). Türkiye Hisse Senedi Piyasasında Likidite ve Getiri İlişkisi. Ömer Halisdemir Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 11(2), 203-216. https://doi.org/10.25287/ohuiibf.317710

Cited By

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