Liquidity and Market Efficiency in Borsa Istanbul

Öz

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.

Anahtar Kelimeler

• Market efficiency
• Liquidity
• Borsa Istanbul
• Entropy

Borsa İstanbul'da Likidite ve Piyasa Etkinliği

Öz

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.

Anahtar Kelimeler

• Piyasa etkinliği
• Likidite
• Borsa İstanbul
• Entrop

Kaynakça

1. Alkan, S. (2023). Multi-scale sample entropy analysis of the Turkish stock market efficiency. Nicel Bilimler Dergisi, 5(1), 51-63. https://doi.org/10.51541/nicel.1191317
2. Alvarez-Ramirez, J., Rodriguez, E., & Alvarez, J. (2012). A multiscale entropy approach for market efficiency. International Review of Financial Analysis, 21, 64–69. https://doi.org/10.1016/j.irfa.2011.12.001
3. Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5(1), 31-56. https://doi.org/10.1016/S1386-4181(01)00024-6
4. Atilgan, Y., Demirtas, K. O., & Gunaydin, A. D. (2016). Liquidity and equity returns in Borsa Istanbul. Applied Economics, 48(52), 5075-5092. https://doi.org/10.1080/00036846.2016.1170935
5. Ayaydın, H., Çam, A. V., Barut, A., & Pala, F. (2018). Harvey doğrusallık testi ile BIST piyasa etkinliğinin analizi. TURAN Stratejik Araştırmalar Merkezi, 40(10), 112-123. http://dx.doi.org/10.15189/1308-8041
6. Aytekin, S., Abdioğlu, N., & Sezgin, A. (2021). BİST pay piyasasında açığa satış yasağı ve COVID-19 düzenlemelerinin piyasa etkinliği üzerindeki etkisi. MANAS Journal of Social Studies, 10(4), 2433-2448. https://doi.org/10.33206/mjss.759448
7. Bal, H., Algan, N., Erdoğan, E., & Tekin, İ. (2021). Etkin piyasa hipotezinin zayıf formunun Türkiye’de bankacılık sektörü için test edilmesi. Journal of Cukurova University Faculty of Economics and Administrative Sciences, 25(2), 327-345. https://doi.org/10.51945/cuiibfd.995297
8. Bariviera, A. F. (2011). The influence of liquidity on informational efficiency: The case of the Thai Stock Market. Physica A: Statistical Mechanics and Its Applications, 390(23-24), 4426-4432. https://doi.org/10.1016/j.physa.2011.07.032

9. Bartels, R. (1982). The rank version of von Neumann's ratio test for randomness. Journal of the American Statistical Association, 77(377), 40-46. https://doi.org/10.1080/01621459.1982.10477764
10. Bekaert, G., Harvey, C. R., & Lundblad, C. (2007). Liquidity and expected returns: Lessons from emerging markets. The Review of Financial Studies, 20(6), 1783-1831. https://doi.org/10.1093/rfs/hhm030
11. Bektur, Ç., & Aydın, M. (2019). Borsa İstanbul ve alt endekslerinde zayıf formda piyasa etkinliğinin analizi: Fourier yaklaşımı. Journal of Academic Inquiries, 14(2), 59-76. https://doi.org/10.17550/akademikincelemeler.556185
12. Brennan, M. J., Chordia, T., & Subrahmanyam, A. (1998). Alternative factor specifications, security characteristics, and the cross-section of expected stock returns. Journal of Financial Economics, 49(3), 345-373. https://doi.org/10.1016/S0304-405X(98)00028-2
13. Cajueiro, D. O., & Tabak, B. M. (2004). Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions. Physica A: Statistical Mechanics and Its Applications, 342(3-4), 656-664. https://doi.org/10.1016/j.physa.2004.05.034
14. Chou, C. M. (2014). Complexity analysis of rainfall and runoff time series based on sample entropy in different temporal scales. Stochastic Environmental Research and Risk Assessment, 28, 1401-1408. https://doi.org/10.1007/s00477-014-0859-6
15. Çevik, E. (2012). İstanbul Menkul Kıymetler Borsası’nda etkin piyasa hipotezinin uzun hafıza modelleri ile analizi: Sektörel bazda bir inceleme. Journal of Yaşar University, 7(26), 4437-4454. https://dergipark.org.tr/tr/pub/jyasar/issue/19138/203092
16. Çevik, E. İ., & Erdoğan, S. (2009). Bankacılık sektörü hisse senedi piyasasının etkinliği: Yapısal kırılma ve güçlü hafıza. Doğuş Üniversitesi Dergisi, 10(1), 26-40. https://dergipark.org.tr/en/pub/doujournal/issue/66660/1042953
17. Chordia, T., Roll, R., & Subrahmanyam, A. (2008). Liquidity and market efficiency. Journal of Financial Economics, 87(2), 249-268. https://doi.org/10.1016/j.jfineco.2007.03.005
18. Duman Atan, S., Özdemir, Z. A., & Atan, M. (2009). Hisse senedi piyasasında zayıf formda etkinlik: İMKB üzerine ampirik bir çalışma. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(2), 33-48. https://dergipark.org.tr/tr/pub/deuiibfd/issue/22736/242678#article_cite
19. Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417. https://doi.org/10.2307/2325486
20. Gözbaşı, O. (2014). Borsa İstanbul hisse senedi piyasasında doğrusal olmayan yöntemler ile piyasa etkinliğinin test edilmesi. Journal of Productivity, (4), 7-18. https://dergipark.org.tr/tr/pub/verimlilik/issue/21771/233992
21. Gulko, L. (1999). The entropic market hypothesis. International Journal of Theoretical and Applied Finance, 2(03), 293-329. https://doi.org/10.1142/S0219024999000170 Hansen, J., & Halvorsen, M. (2023). Market efficiency and liquidity in financial market during crises (Master's thesis). UiT Norges arktiske universitet.
22. Harris, L. (2003). Trading and exchanges: Market microstructure for practitioners. Oxford University Press, USA.
23. Ibikunle, G., Gregoriou, A., Hoepner, A. G., & Rhodes, M. (2016). Liquidity and market efficiency in the world's largest carbon market. The British Accounting Review, 48(4), 431-447. https://doi.org/10.1016/j.bar.2015.11.001
24. Karademir, F., & Evci, S. (2020). Testing of the weak form market effıcıency on Borsa Istanbul: An analysis in the sectoral framework. Business & Management Studies: An International Journal, 8(1), 82–100. https://doi.org/10.15295/bmij.v8i1.1416
25. Kim, J. H. (2009). Automatic variance ratio test under conditional heteroskedasticity. Finance Research Letters, 6(3), 179-185. https://doi.org/10.1016/j.frl.2009.04.003
26. Le, H., & Gregoriou, A. (2020). How do you capture liquidity? A review of the literature on low‐frequency stock liquidity. Journal of Economic Surveys, 34(5), 1170-1186. https://doi.org/10.1111/joes.12385
27. Liu, W. (2006). A liquidity-augmented capital asset pricing model. Journal of Financial Economics, 82(3), 631-671. https://doi.org/10.1016/j.jfineco.2005.10.001
28. Ljung, G. M., & Box, G. E. (1978). On a measure of lack of fit in time series models. Biometrika, 65(2), 297-303. https://doi.org/10.1093/biomet/65.2.297
29. Lo, A. W., & MacKinlay, A. C. (1988). Stock market prices do not follow random walks: Evidence from a simple specification test. The Review of Financial Studies, 1(1), 41-66. https://doi.org/10.1093/rfs/1.1.41
30. Malcıoğlu, G., & Aydın, M. (2016). Borsa İstanbul’da piyasa etkinliğinin analizi: Harvey dogrusallık testi. Journal of Accounting, Finance and Auditing Studies, 2(1), 112-122. https://jafas.org/2016-vol-2-issue-1/
31. Oh, G., Kim, S., & Eom, C. (2007). Market efficiency in foreign exchange markets. Physica A: Statistical Mechanics and Its Applications, 382(1), 209-212. https://doi.org/10.1016/j.physa.2007.02.032
32. Okoroafor, U. C., & Leirvik, T. (2022). Time varying market efficiency in the Brent and WTI crude market. Finance Research Letters, 45, 102191. https://doi.org/10.1016/j.frl.2021.102191
33. Ortiz-Cruz, A., Rodriguez, E., Ibarra-Valdez, C., & Alvarez-Ramirez, J. (2012). Efficiency of crude oil markets: Evidences from informational entropy analysis. Energy Policy, 41, 365–373. https://doi.org/10.1016/j.enpol.2011.10.057
34. Pástor, Ľ., & Stambaugh, R. F. (2003). Journal of Political Economy, 111(3), 642-685. https://www.journals.uchicago.edu/doi/abs/10.1086/374184
35. Poole, W., Gibbs, D. L., Shmulevich, I., Bernard, B., & Knijnenburg, T. A. (2016). Combining dependent P-values with an empirical adaptation of Brown’s method. Bioinformatics, 32(17), i430-i436. https://doi.org/10.1093/bioinformatics/btw438
36. Richman, J. S., & Moorman, J. R. (2000). Physiological time-series analysis using approximate entropy and sample entropy. American Journal of Physiology-Heart and Circulatory Physiology, 278(6), H2039–H2049, https://doi.org/10.1152/ajpheart.2000.278.6.H2039
37. Şahin, Ö. (2020). Finansal piyasa etkinliğinin run testi ve volatilite modelleri ile analizi: BIST 100, dolar kuru ve altın fiyatı piyasaları üzerine bir uygulama. The International Journal of Economic and Social Research, 16(2), 333-348. https://dergipark.org.tr/en/pub/esad/issue/57633/693317
38. Sensoy, A. (2019). The inefficiency of Bitcoin revisited: A high-frequency analysis with alternative currencies. Finance Research Letters, 28, 68-73. https://doi.org/10.1016/j.frl.2018.04.002
39. Süsay Alkan, A. (2024) Yerli ve yabancı yatırımcıların Borsa İstanbul’un piyasa etkinliğine etkisi: Fourier eşbütünleşme yaklaşımı. Trakya Üniversitesi İktisadi ve İdari Bilimler Fakültesi E-Dergi, 13(1), 66-81. https://doi.org/10.47934/tife.13.01.05
40. Takaishi, T., & Adachi, T. (2020). Market efficiency, liquidity, and multifractality of Bitcoin: A dynamic study. Asia-Pacific Financial Markets, 27, 145-154. https://doi.org/10.1007/s10690-019-09286-0
41. Tanrıöver, B., & Çöllü, D. A. (2015). Türkiye’de yatırımcıların öngörü performanslarının rassal yürüyüş modeli çerçevesinde analizi. Business and Economics Research Journal, 6(2), 127-139. https://www.berjournal.com/tr/berjournal-ciltvolume-6-sayinumber-2-yilyear-2015.html
42. Turkish Investor Relations Society (2023). BIST Trends Report (January - June 2023), No: 45. Data Retrieved on October 07, 2023 from https://www.tuyid.org/files/yayinlar/BTR_2023_2C.pdf
43. Wald, A., & Wolfowitz, J. (1940). On a test whether two samples are from the same population. The Annals of Mathematical Statistics, 11(2), 147-162. https://www.jstor.org/stable/2235872
44. Wang, G.-J., Xie, C., & Han, F. (2012). Multi-scale approximate entropy analysis of foreign exchange markets efficiency. Systems Engineering Procedia, 3, 201–208. https://doi.org/10.1016/j.sepro.2011.10.030
45. Wang, J., & Wang, X. (2021). COVID-19 and financial market efficiency: Evidence from an entropy-based analysis. Finance Research Letters, 42, 1-7. https://doi.org/10.1016/j.frl.2020.101888
46. Wei, W. C. (2018). Liquidity and market efficiency in cryptocurrencies. Economics Letters, 168, 21-24. https://doi.org/10.1016/j.econlet.2018.04.003
47. Young, N., & Auret, C. (2018). Liquidity and the convergence to market efficiency. Investment Analysts Journal, 47(3), 209-228. https://hdl.handle.net/10520/EJC-1075c7090a
48. Yücel, Ö. (2016). Finansal piyasa etkinliği: Borsa İstanbul üzerine bir uygulama. International Review of Economics and Management, 4(3), 107-123. https://doi.org/10.18825/irem.16916
49. Zeren, F., Kara, H., & Arı, A. (2013). Piyasa etkinliği hipotezi: İMKB için ampirik bir analiz. Dumlupınar University Journal of Social Sciences, 36, 141-148. https://dergipark.org.tr/en/pub/dpusbe/issue/4778/65843