MARKET FRICTION AND PRICE DELAY: A CONCEPTUAL ASSESSMENT

Yıl 2023, Cilt: 37 Sayı: 3, 1291 - 1313, 30.09.2023

Müberra Güngör Veli Akel

https://doi.org/10.48070/erciyesakademi.1322587

Öz

One of the reasons for the economic disparities between developed and developing countries is that low-income countries' economies are less effective in allocating their resources to productive uses. At this point, the cause of economic backwardness is attributed to market frictions, also known as market failures or market imperfections, resulting in the markets failing to fulfill their resource allocation role. Market frictions, which can be defined as factors that hinder the efficient and ideal functioning of markets by causing a market participant to be exposed to more or less risk than they would prefer, produce costs that interfere with trading and lead to inefficient allocation of resources. Market frictions can also cause delays in incorporating information into prices by distorting the price efficiency of stocks due to market information imperfections and asymmetric information problems. In this direction, it is aimed to examine the studies on the subject in the literature by examining the market frictions and price delay from the conceptual point of view. When the previous studies on the subject in the literature are examined, it has been determined that prices can react with a delayed reaction to new information due to market frictions and lack of liquidity. Further it was observed that the price delay is mainly examined in terms of lack of liquidity, trading volume, short-selling restrictions, firm size, firm recognition, quality of information and foreign capital restrictions.

Anahtar Kelimeler

Market Friction, Price Delay, Market Efficiency.

PİYASA SÜRTÜŞMESİ VE FİYAT GECİKMESİ: KAVRAMSAL BİR DEĞERLENDİRME

Öz

Gelişmiş ve gelişmekte olan ülkeler arasındaki ekonomik eşitsizliklerin nedenlerinden biri düşük gelirli ülke ekonomilerinin kaynaklarını verimli kullanım alanlarına tahsis etmede daha az etkili olmalarıdır. Bu noktada ekonomik geri kalmışlığın nedeni piyasa aksaklıkları ya da piyasa kusurları olarak da bilinen piyasa sürtüşmelerine bağlanmakta ve bu durum piyasaların kaynak tahsisi rolünü yerine getirememesi ile sonuçlanmaktadır. Bir piyasa katılımcısının tercih edebileceğinden daha fazla veya daha az riske maruz kalmasına neden olarak piyasaların etkin ve ideal işleyişini engelleyen faktörler olarak tanımlanabilen piyasa sürtüşmeleri alım satımlara müdahale eden maliyetler üretmekte ve kaynakların etkin olmayan dağılımına yol açmaktadır. Piyasa sürtüşmeleri ayrıca bilgi kusurları ve asimetrik bilgi sorunları nedeniyle hisse senetlerinin fiyat etkinliğini bozarak bilginin fiyatlara dahil edilmesinde gecikmelere neden olabilmektedir. Bu doğrultuda çalışmada, piyasa sürtüşmeleri ve fiyat gecikmesi kavramsal yönden incelenerek literatürde konuyla ilgili yapılan çalışmaların incelenmesi amaçlanmıştır. Literatürde konuyla ilgili daha önce yapılan çalışmalar incelendiğinde piyasa sürtüşmeleri ve likidite eksikliği nedeniyle fiyatların yeni bilgilere gecikmeli tepki verebildiği tespit edilmiştir. Ayrıca fiyat gecikmesinin daha çok likidite yetersizliği, işlem hacmi, açığa satış kısıtlamaları, firma büyüklüğü, firma tanınırlığı, bilginin kalitesi ve yabancı sermaye kısıtlamaları açısından incelendiği görülmüştür.

Anahtar Kelimeler

Piyasa Sürtüşmesi, Fiyat Gecikmesi, Piyasa Etkinliği

Kaynakça

• Akerlof, G. A. (1970). The market for “lemons”: qualitative uncertainty and the market mechanism. Quarterly Journal of Economics, 84, 488-500.
• 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, 42(3), 43-48.
• Arbel, A., Carvell, S., & Strebel, P. (1983). Giraffes, institutions and neglected firms. Financial Analysts Journal, 39(3), 57-63.
• Arrow, K. J., & Hahn, F.H. (1971). General competitive analysis. Holden-Day, Inc.
• Arvas, M. A. (2014). İçsel batık maliyetler ve piyasa yapısı: sutton’un teorik analizi üzerine notlar. Atatürk Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 28(1), 41- 55.
• Auronen, L. (2003). Asymmetric information: theory and applications. In Seminar of strategy and international business as Helsinki University of Technology, 167, 14-18.
• 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.
• Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49(3), 307-343.
• Basak, S., & Cuoco, D. (1998). An equilibrium model with restricted stock market participation. The Review of Financial Studies, 11(2), 309-341.
• Baumol, W. J., Panzar, J. C., & Willig, R. D. (1983). Contestable markets: An uprising in the theory of industry structure: reply. The American Economic Review, 73(3), 491-496.
• Berk, J. B., & Walden, J. (2013). Limited capital market participation and human capital risk. The Review of Asset Pricing Studies, 3(1), 1-37.
• Bernanke, B., & Gertler, M. (1989). Agency costs, net worth, and business fluctuations. The American Economic Review, 79(1), 14–31.
• Blau, B. M., Brough, T. J., & Griffith, T. G. (2017). Bank opacity and the efficiency of stock prices. Journal of Banking & Finance, 76, 32-47.
• Boehmer, E., & Wu, J. (2013). Short selling and the price discovery process. The Review of Financial Studies, 26(2), 287-322.
• 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.
• Brennan, M. J., Jegadeesh, N., & Swaminathan, B. (1993). Investment analysis and the adjustment of stock prices to common information. The Review of Financial Studies, 6(4), 799-824.
• 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.
• Cengiz, V. (2010). Finansal piyasalarda bilgi problemlerinin çözümünde bankaların rolü. Bilgi Ekonomisi ve Yönetimi Dergisi, 5(1), 151-162.
• 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.
• den Butter, F. A., Liu, J., & Tan, Y. H. (2010). Using trust and reputation in government-to-business relationships: the authorized economic operator (AEO) as an example.
• den Butter, F., & Mosch, R.H. (2003). Trade, trust and transaction costs. International Trade. Tinbergen Institute Working Paper No. 2003-082/3.
• Diamond, D. W., & Verrecchia, R. E. (1987). Constraints on short-selling and asset price adjustment to private information. Journal of Financial Economics, 18(2), 277-311.
• 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.
• Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). The adjustment of stock prices to new information. International Economic Review, 10(1), 1-21.
• Frimpong, S. (2011), Speed of adjustment of stock prices to MEI: evidence from Ghana stock exchange (GSE). International Business and Management, 2(1), 151-156.
• Gabre-Madhin, E. Z. (2001). Market institutions, transaction costs, and social capital in the Ethiopian grain market (Vol. 124). Intl Food Policy Res Inst.
• Gilchrist, S., Sim, J. W., & Zakrajšek, E. (2013). Misallocation and financial market frictions: Some direct evidence from the dispersion in borrowing costs. Review of Economic Dynamics, 16(1), 159-176.
• 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.
• Gürbüzer Yıldırım, I., & Tanrıöven, C. (2021). Banka opaklığının hisse senedi fiyat gecikmesine etkisi: BİST’te işlem gören bankalar üzerine bir araştırma. İşletme Araştırmaları Dergisi, 13(1), 622-638.
• Gürbüzer Yıldırım, I., Tanrıöven, C., & Emirmahmutoğlu, F. (2020). BİST’te işlem gören bankalar ve banka dışı finansal kuruluşların hisse senedi fiyat gecikmesi karşılaştırması. Bankacılar Dergisi, 114, 50-68.
• 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.
• 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, W.bH. (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.
• Karan, M. (2018). Yatırım analizi ve portföy yönetimi (5.Baskı). Gazi Kitabevi.
• Katz, M. L., & Rosen, H. S. (1998). Microeconomics. 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.
• Lambert, R. A., Leuz, C., & Verrecchia, R. E. (2012). Information asymmetry, information precision, and the cost of capital. Review of Finance, 16(1), 1-29.
• 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.
• Lazimy, R. (2007). Portfolio selection with divisible and indivisible assets: Mathematical algorithm and economic analysis. Annals of Operations Research, 152(1), 273-295.
• Levin, A., Perli, R., & Zakrajsek, E. (2005). The determinants of market frictions in the corporate market. In Computing in Economics and Finance, 379, 1-28.
• Lim, K. P., & Hooy, C. W. (2010). The delay of stock price adjustment to information: A country-level analysis. Economics Bulletin, 30(2), 1609-1616.
• Lin, J. C., Singh, A. K., Sun, P. W. S., & Yu, W. (2014). Price delay premium and liquidity risk. Journal of Financial Markets, 17, 150-173.
• Lippman, S. A., & McCall, J. J. (1986). An operational measure of liquidity. The American Economic Review, 76(1), 43-55.
• Liu, W., (2006). A liquidity-augmented capital asset pricing model. Journal of Financial Economics, 82(3), 631– 671.
• Löfgren, K. G., Persson, T., & Weibull, J. W. (2002). Markets with asymmetric information: the contributions of George Akerlof, Michael Spence and Joseph Stiglitz. The Scandinavian Journal of Economics, 195-211.
• Mahoney, J. T., & Qian, L. (2013). Market frictions as building blocks of an organizational economics approach to strategic management. Strategic Management Journal, 34(9), 1019-1041.
• Malkiel, B. G. (2003). The efficient market hypothesis and its critics. Journal of Economic Perspectives, 17(1), 59- 82.
• Marneffe, W., & Vereeck, L. (2011). The meaning of regulatory costs. European Journal of Law and Economics, 32(3), 341-356.
• Mayers, D. (1973). Nonmarketable assets and the determination of capital asset prices in the absence of a riskless asset. The Journal of Business, 46(2), 258-267.
• Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. Journal of Finance, (42)3, 483–510.
• Midrigan, V., & Xu, D. Y. (2014). Finance and misallocation: Evidence from plant-level data. American Economic Review, 104(2), 422-58.
• Miller, E. M. (1977). Risk, uncertainty, and divergence of opinion. The Journal of Finance, 32(4), 1151-1168.
• Mishkin, F. S. (2000). Finansal piyasalar ve kurumlar (1. Baskı). Bilim Teknik Yayınevi.
• Modigliani, F., & Miller, M. (1958). The cost of capital, corporation finance, and the theory of investment. American Economic Review, (48)3, 261–297.
• Moll, B. (2014). Productivity losses from financial frictions: Can self-financing undo capital misallocation?. American Economic Review, 104(10), 3186-3221.
• Moon, T. S. (2018). Capital gains taxes and real corporate investment. Job Market Paper, Princeton University.
• Öztürk, N. (2004). Piyasa başarısızlıkları. Öneri, 6(21), 173-187.
• Parker D., & Kirkpatrick, C. (2012). Measuring regulatory performance: the economic impact of regulatory policy: a literature review of quantitative evidence. OECD Expert Paper No. 3. OECD, Paris.
• Pastor, L., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111(3), 642-685.
• Peng, L. (2005). Learning with information capacity constraints. Journal of Financial and Quantitative Analysis, 40(2), 307-329.
• Qian, M., Sun, P. W., & Yu, B. (2018). Top managerial power and stock price efficiency: evidence from China. Pacific-Basin Finance Journal, 47, 20-38.
• Rashid, A., & Jabeen, N. (2018). Financial frictions and the cash flow–external financing sensitivity: evidence from a panel of Pakistani firms. Financial Innovation, 4(1), 1-20.
• Rekabet Kurumu (2019). Rekabet Terimleri Sözlüğü. https://www.rekabet.gov.tr/tr/Sayfa/Yayin lar/rekabet- terimleri-sozlugu/terimler-listesi?icerik=3d0413c6-cc96-45ca-bb41-e3fe83dfc705
• Roll, R. (1984). A simple implicit measure of the effective bid-ask spread in an efficient market. Journal of Finance, 39(4), 1127-1139.
• Saatçioğlu, C. (2005). Yeni ekonomi ve finansal piyasalar üzerindeki etkisi. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 19(1), 151-165.
• Saffi, P. A., & Sigurdsson, K. (2011). Price efficiency and short selling. The Review of Financial Studies, 24(3), 821- 852.
• Sayılgan, G. (2019). Soru ve Yanıtlarıyla İşletme Finansmanı (Gözden Geçirilmiş 8. Baskı). Siyasal Yayın Dağıtım.
• Shapiro, A. (2002). The investor recognition hypothesis in a dynamic general equilibrium: theory and evidence. The Review of Financial Studies, 15(1), 97-141.
• Simon, H. (1997). Administrative behavior: A study of decision-making processes in administrative organizations. Free Press.
• Stoll, H. R. (2000). Presidential address: friction. The Journal of Finance, 55(4), 1479-1514.
• Sutton, J. (1991). Sunk cost and market structure. MIT Press.
• Tepla, L. (2000). Optimal hedging and valuation of nontraded assets. Review of Finance, 4(3), 231-251.
• Turaboğlu, T. T. (2004). Vekalet-temsil-problem ve maliyetler. Ekonomik Yaklaşım, 15(51), 109-124.
• Verrecchia, R. E. (1980). The rapidity of price adjustments to information. Journal of Accounting and Economics, 2(1), 63-92.
• Vo, X. V. (2019). Do foreign investors promote stock price efficiency in emerging markets?. International Review of Finance, 19(1), 223-235.
• Wang, Z., Huo, B., Tian, Y., & Hua, Z. (2015). Effects of external uncertainties and power on opportunism in supply chains: evidence from China. International Journal of Production Research, 53(20), 6294-6307.
• Williamson O. E. (1985). The Economics institutions of capitalism. Free Press.
• Williamson, O. E. (1975). Markets and hierarchies. Free Press.
• Yıldırım, B. Y. (2002). Sermaye Piyasalarında İşlem Maliyetleri. Yeterlilik Etüdü. SPK.
• Ying, Q., Yousaf, T., Ain, Q. U., Akhtar, Y., & Rasheed, M. S. (2019). Stock investment and excess returns: a critical review in the light of the efficient market hypothesis. Journal of Risk and Financial Management, 12(2), 97.