AN INTRODUCTORY STUDY ON MARKET FRICTION AND PRICE DELAY

Abstract

Purpose- According to the theory of efficient markets, market efficiency depends on the speed and accuracy of price adjustment according to new information, and prices change in the light of this new information as new information comes to the market. The speed and full reaction of prices to the information in the market is possible in frictionless capital markets where rational investors with complete information are the market players. Due to market frictions, which are known as factors that prevent the effective and ideal functioning of markets, reduce the effectiveness of markets, interfere and hinder trading and markets, investments cannot be rationally evaluated, and there is an ineffective distribution of resources. In addition, frictional markets can potentially cause a delay in adjusting stock prices according to information due to information imperfections. Therefore, in this study, in order to reveal the causes of price delay in the context of market frictions, the concepts of market friction and price delay were discussed theoretically and conceptually, and studies conducted on the subject in the literature were examined. Methodology- In the study, the concepts of market friction and price delay were discussed, then the literature on the subject was reviewed and examined. Findings- When the studies were examined, it was determined that market frictions negatively affect the spread of information and the transmission of information to stock prices, and it was determined that price delay is mainly related to the factors of transaction volume, firm size, firm recognition and quality of information. Conclusion- Since stock prices are one of the main factors affecting the investment decisions of investors, it is necessary to make the price forecasting correctly in order to make an effective investment decision. This, on the other hand, depends on the fact that the stocks reflect the information instantly and completely to the prices. Therefore, the delay in reflecting new information is a result of market frictions, and it is necessary to know the reasons for market frictions and the price delay that occurs in the context of market frictions.

Keywords

• Market friction
• price delay
• price efficiency
• Piyasa sürtüşmesi
• fiyat gecikmesi
• fiyat etkinliği

PİYASA SÜRTÜŞMESİ VE FİYAT GECİKMESİ ÜZERİNE TANITICI BİR ÇALIŞMA

Abstract

Amaç- Etkin piyasalar teorisine göre piyasa etkinliği, fiyat ayarlamasının yeni gelen bilgilere göre hangi hızda ve hangi doğrulukta gerçekleştiğine bağlı olup piyasaya yeni bilgiler geldikçe fiyatlar bu yeni bilgiler ışığında değişmektedir. Fiyatların piyasadaki bilgilere hızlı ve tam olarak tepki vermesi ise tam bilgiye sahip ve rasyonel yatırımcıların piyasa oyuncusu olarak yer aldığı sürtüşmesiz sermaye piyasalarında mümkün olmaktadır. Piyasaların etkin ve ideal işleyişini engelleyen, piyasaların etkinliğini azaltan, alım satımlara ve piyasalara müdahele eden ve engelleyen faktörler olarak bilinen piyasa sürtüşmeleri nedeniyle yatırımlar rasyonel bir şekilde değerlendirilememekte ve kaynakların etkin olmayan dağılımı söz konusu olmaktadır. Bunun yanı sıra sürtüşmeli piyasalar bilgi kusurları nedeniyle potansiyel olarak hisse senedi fiyatlarının bilgiye göre ayarlanmasında gecikmeye neden olabilmektedir. Dolayısıyla bu çalışmada piyasa sürtüşmeleri bağlamında ortaya çıkan fiyat gecikmesinin nedenlerinin bilinmesi amacıyla piyasa sürtüşmeleri ve fiyat gecikmesi kavramları teorik ve kavramsal yönden ele alınmış ve literatürde konuyla ilgili yapılan çalışmalar incelenmiştir. Yöntem- Çalışmada piyasa sürtüşmeleri ve fiyat gecikmesi kavramları ele alınmış, daha sonra konuyla ilgili iteratür taranması yapılmış ve incelenmiştir. Bulgular- Yapılan çalışmalar incelendiğinde piyasa sürtüşmelerinin bilginin yayılma hızı ve bilginin hisse senedi fiyatına geçişini olumsuz etkilediği tespit edilmiş ve fiyat gecikmesinin ağırlıklı olarak işlem hacmi, firma büyüklüğü, firma tanınırlığı ve bilginin kalitesi faktörleri ile ilişkili olduğu belirlenmiştir. Sonuç- Hisse senedi fiyatlarının, yatırımcıların yatırım kararlarını etkileyen başlıca faktörlerden biri olması nedeniyle, etkin bir yatırım kararı alınması için fiyat tahmininin doğru yapılması gerekmektedir. Bu ise hisse senetlerinin bilgiyi anında ve tamamen fiyatlara yansımasına bağlıdır. Dolayısıyla yeni bilgileri yansıtmada yaşanılacak gecikme, piyasa sürtüşmelerinin bir sonucu olup piyasa sürtüşmelerinin ve piyasa sürtüşmeleri bağlamında ortaya çıkan fiyat gecikmesinin nedenlerinin bilinmesi gerekmektedir.

Keywords

• Piyasa sürtüşmesi
• fiyat gecikmesi
• fiyat etkinliği

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