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AN INTRODUCTORY STUDY ON MARKET FRICTION AND PRICE DELAY

Year 2023, Volume: 16 Issue: 1, 221 - 224, 01.02.2023
https://doi.org/10.17261/Pressacademia.2023.1700

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.

References

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PİYASA SÜRTÜŞMESİ VE FİYAT GECİKMESİ ÜZERİNE TANITICI BİR ÇALIŞMA

Year 2023, Volume: 16 Issue: 1, 221 - 224, 01.02.2023
https://doi.org/10.17261/Pressacademia.2023.1700

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.

References

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  • Bae, K. H., Ozoguz, A., Tan, H., & Wirjanto, T. S. (2012). Do foreigners facilitate information transmission in emerging markets? Journal of Financial Economics, 105(1), 209-227.
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  • Boehmer, E. & Wu, J. (2013). Short selling and the price discovery process. The Review of Financial Studies, 26(2), 287-322.
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  • Buera, F. J. & Shin, Y. (2013). Financial frictions and the persistence of history: A quantitative exploration. Journal of Political Economy, 121(2), 221-272.
  • Callen, J. L., Khan, M. & Lu, H. (2013). Accounting quality, stock price delay, and future stock returns. Contemporary Accounting Research, 30(1), 269-295.
  • Chen, C. X. & Rhee, S. G. (2010). Short sales and speed of price adjustment: evidence from the Hong Kong stock market. Journal of Banking & Finance, 34(2), 471-483.
  • Cho, J. S. (2022). The effect of earnings volatility on stock price delay. Scientific Annals of Economics and Business, 69(1), 99-110.
  • Chordia, T. & Swaminathan, B. (2000). Trading volume and cross‐autocorrelations in stock returns. The Journal of Finance, 55(2), 913-935.
  • Coval, J. D. & Moskowitz, T. J. (2001). The geography of investment: informed trading and asset prices. Journal of Political Economy, 109(4), 811-841.
  • Cunningham, S. (2011). Understanding market failures in an economic development context. Mesopartner Monograph, 4, 1-12.
  • De Long, J. B., Shleifer, A., Summers, L. H. & Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703-738.
  • DeGennaro, R. P. & Robotti, C. (2007). Financial market frictions. Economic Review, 92, 1-16.
  • Demirhan, K. & Sadioğlu, U. (2016). İşlem maliyeti kuramı çerçevesinde devletin gerekliliği tartışması ve güncel kamu yönetimi yaklaşımları üzerine bir inceleme. Uluslararası Ekonomik Araştırmalar Dergisi, 2(4), 105-116.
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  • Easley, D., Hvidkjaer, S. & O'hara, M. (2002). Is information risk a determinant of asset returns? The Journal of Finance, 57(5), 2185-2221.
  • Ellouz, S. (2011). The impact of market frictions and price delay on the stock returns in the French market. International Journal of Managerial and Financial Accounting, 3(4), 367-378.
  • Eugene, F. (1991). Efficient capital markets: II. Journal of Finance, 46(5), 1575-1617.
  • Fama, E. F. (1970). Efficient capital markets: a review of theory and empirical work. The journal of Finance, 25(2), 383-417.
  • Fama, E. F. (1980). Agency problems and the theory of the firm. Journal of Political Economy, 88(2), 288-307.
  • Ghosal, V. (2003). Impact of Uncertainty and Sunk Costs on Firm Survival and Industry Dynamics. WZB Markets and Political Economy Working Paper No. SP II, 12.
  • Gong, Y., Ho, K. C., Lo, C. C., Karathanasopoulos, A. & Jiang, I. M. (2019). Forecasting price delay and future stock returns: the role of corporate social responsibility. Journal of Forecasting, 38(4), 354-373.
  • Gordon, N. & Wu, Q. (2018). Informed trade, uninformed trade and stock price delay. Applied Economics, 50(26), 2878-2893.
  • Grossman SJ, Hart OD. (1986). The costs and benefits of ownership: a theory of vertical and lateral integration. Journal of Political Economy 94, 691–719.
  • Guan, T. & Wooi, H. C. (2017). Does market integration promote to firm information efficiency? empirical evidence for malaysia listed firms (adakah integrasi pasaran menggalakkan kecekapan maklumat firma? bukti empirik untuk firma-firma tersenarai). Jurnal Ekonomi Malaysia, 51(2), 27-37.
  • Hirshleifer, D. (1988). Residual risk, trading costs, and commodity futures risk premia. Review of Financial Studies, (1)2, 173–193.
  • Ho, K. C., Lee, S. C. & Sun, P. W. (2022). Disclosure quality, price efficiency, and expected returns. The North American Journal of Economics and Finance, 59, 101573.
  • Hong, H. and Stein, J.C. (1999) A unified theory of under reaction, momentum trading and overreaction in asset markets. Journal of Finance, (54)6, 2143–2184.
  • Hooy, C. W. & Lim, K. P. (2013). Is market integration associated with informational efficiency of stock markets? Journal of Policy Modeling, 35(1), 29-44.
  • Hou, K., & Moskowitz, T. J. (2005). Market frictions, price delay, and the cross-section of expected returns. The Review of Financial Studies, 18(3), 981-1020.
  • Hubbard, R. G. & O'Brien, A. P. (2008). Economics. Pearson Education.
  • Jensen M, Meckling WH. 1976. Theory of the firm: managerial behavior and agency costs, and capital structure. Journal of Financial Economics, 3, 305–360.
  • Jin, L. (2006). Capital gains tax overhang and price pressure. The Journal of Finance, 61(3), 1399-1431.
  • Jones, C. M., & Lamont, O. A. (2002). Short-sale constraints and stock returns. Journal of Financial Economics, 66(2-3), 207-239.
  • Katz, M.L. & Rosen, H.S. (1998). Microeconomics (Boston-Mass.: Irwin McGraw-Hill)
  • Lajili, K., Madunic, M., & Mahoney, J. T. (2007). Testing organizational economics theories of vertical integration. In Research Methodology In Strategy And Management. Emerald Group Publishing Limited.
  • Lawson, A. (2009). Evaluating the transaction costs of implementing the Paris Declaration. Concept Paper submitted by Fiscus Public Finance Consultants to the Secretariat for the Evaluation of the Paris Declaration, November.
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There are 87 citations in total.

Details

Primary Language Turkish
Subjects Finance, Business Administration
Journal Section Articles
Authors

Muberra Gungor This is me 0000-0002-6592-3450

Veli Akel This is me 0000-0002-5723-0910

Publication Date February 1, 2023
Published in Issue Year 2023 Volume: 16 Issue: 1

Cite

APA Gungor, M., & Akel, V. (2023). PİYASA SÜRTÜŞMESİ VE FİYAT GECİKMESİ ÜZERİNE TANITICI BİR ÇALIŞMA. PressAcademia Procedia, 16(1), 221-224. https://doi.org/10.17261/Pressacademia.2023.1700
AMA Gungor M, Akel V. PİYASA SÜRTÜŞMESİ VE FİYAT GECİKMESİ ÜZERİNE TANITICI BİR ÇALIŞMA. PAP. February 2023;16(1):221-224. doi:10.17261/Pressacademia.2023.1700
Chicago Gungor, Muberra, and Veli Akel. “PİYASA SÜRTÜŞMESİ VE FİYAT GECİKMESİ ÜZERİNE TANITICI BİR ÇALIŞMA”. PressAcademia Procedia 16, no. 1 (February 2023): 221-24. https://doi.org/10.17261/Pressacademia.2023.1700.
EndNote Gungor M, Akel V (February 1, 2023) PİYASA SÜRTÜŞMESİ VE FİYAT GECİKMESİ ÜZERİNE TANITICI BİR ÇALIŞMA. PressAcademia Procedia 16 1 221–224.
IEEE M. Gungor and V. Akel, “PİYASA SÜRTÜŞMESİ VE FİYAT GECİKMESİ ÜZERİNE TANITICI BİR ÇALIŞMA”, PAP, vol. 16, no. 1, pp. 221–224, 2023, doi: 10.17261/Pressacademia.2023.1700.
ISNAD Gungor, Muberra - Akel, Veli. “PİYASA SÜRTÜŞMESİ VE FİYAT GECİKMESİ ÜZERİNE TANITICI BİR ÇALIŞMA”. PressAcademia Procedia 16/1 (February 2023), 221-224. https://doi.org/10.17261/Pressacademia.2023.1700.
JAMA Gungor M, Akel V. PİYASA SÜRTÜŞMESİ VE FİYAT GECİKMESİ ÜZERİNE TANITICI BİR ÇALIŞMA. PAP. 2023;16:221–224.
MLA Gungor, Muberra and Veli Akel. “PİYASA SÜRTÜŞMESİ VE FİYAT GECİKMESİ ÜZERİNE TANITICI BİR ÇALIŞMA”. PressAcademia Procedia, vol. 16, no. 1, 2023, pp. 221-4, doi:10.17261/Pressacademia.2023.1700.
Vancouver Gungor M, Akel V. PİYASA SÜRTÜŞMESİ VE FİYAT GECİKMESİ ÜZERİNE TANITICI BİR ÇALIŞMA. PAP. 2023;16(1):221-4.

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