TY  - JOUR
T1  - Liquidity and Market Efficiency in Borsa Istanbul
TT  - Borsa İstanbul'da Likidite ve Piyasa Etkinliği
AU  - Alkan, Serkan
PY  - 2024
DA  - September
Y2  - 2024
DO  - 10.17065/huniibf.1388807
JF  - Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
PB  - Hacettepe Üniversitesi
WT  - DergiPark
SN  - 1301-8752
SP  - 371
EP  - 384
VL  - 42
IS  - 3
LA  - en
AB  - The Borsa Istanbul has experienced a significant increase in investor participation in the past few years, and the growing number of companies are opting to raise capital through IPOs (Initial Public Offerings). In the context of this transformation, the goal of this research is to investigate the connection between the market efficiency and liquidity of 397 stocks traded on Borsa Istanbul by using the daily data over the period from 1 January 2022 to 18 August 2023, including the new stocks that have been listed in recent years. The stocks are ranked in accordance with the degree of informational efficiency using a sample entropy (SampEn) approach. The analysis shows that all stocks exhibit different levels of informational complexity and illiquidity, and many stocks display evidence of autocorrelation and non-independence. Further, it is revealed that entropy and liquidity have a significant relationship on a cross-sectional basis, suggesting that liquidity has an important impact on both inefficiency and predictability.
KW  - Market efficiency
KW  - Liquidity
KW  - Borsa Istanbul
KW  - Entropy
N2  - Borsa İstanbul, yatırımcı katılımında önemli bir artış göstermekte olup şirketler de halka arz yoluyla sermaye arttırımına gitmektedir. Bu bağlamda çalışmanın amacı, son yıllarda Borsa İstanbul’a yeni kote olan hisse senetleri de dahil olmak üzere 397 şirketin hisse senetlerinin piyasa etkinliği ve likiditesi arasındaki ilişkiyi araştırmaktır. 1 Ocak 2022 – 18 Ağustos 2023 dönemi günlük verilerin kullanıldığı çalışmada, hisse senetlerini bilgi etkinliği düzeylerine göre sıralamak için sample entropi yöntemi kullanılmıştır. Elde edilen bulgulara göre, tüm hisse senetleri farklı seviyelerde bilgi karmaşıklığı ve likidite eksikliği sergilemekte olup çalışmada, birçok hisse senedi getirilerinin otokorelasyon gösterdiği ve bağımsız olmadığına dair kanıtlar da elde edilmiştir. Ayrıca, entropi ve likiditenin yatay kesit bazında anlamlı bir ilişkiye sahip olduğu ve likiditenin hem etkinlik hem de tahmin edilebilirlik üzerinde önemli bir rol oynadığı ortaya konmuştur.
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UR  - https://doi.org/10.17065/huniibf.1388807
L1  - https://dergipark.org.tr/tr/download/article-file/3528876
ER  -