DO HIGH-FREQUENCY TRADING AFFECT BUBBLE FORMATION IN STOCK MARKETS? EVIDENCE FROM EMERGING STOCK MARKET

Öz

This study examines the factors affecting bubble formation in the Turkish stock market Borsa Istanbul (BIST), an important emerging market where high-frequency trading (HFT) is a relatively new phenomenon. HFT refers to trades executed using fast algorithms and has become an essential dynamic of financial markets today. The study uses intraday and daily stock price data between 11 March 2020 and 31 December 2020. The data are obtained from Borsa Istanbul and HFT activities are identified with ‘intraday order’ data. The existence of speculative bubbles is tested using Supremum Augmented Dickey-Fuller (SADF) and Generalised Sup Augmented Dickey-Fuller (GSADF) models. The study finds that HFT transactions play an important role in bubble formation. With their high trading volumes and fast trading capabilities, HFT trades can create excessive volatility and manipulation in the market. This may increase the risk of bubble formation. The study emphasises the importance of regulation and supervision in mitigating HFT effects in financial markets. Regulations aimed at increasing transparency in the market can help investors make more informed decisions.

Anahtar Kelimeler

• Algorithmic Trading
• High-Frequency Trading
• volatiliy
• liquidity
• speculative bubbles

YÜKSEK FREKANSLI İŞLEMLER HİSSE SENEDİ PİYASALARINDA BALON OLUŞUMUNU ETKİLER Mİ? GELİŞMEKTE OLAN HİSSE SENEDİ PİYASASINDAN KANITLAR

Öz

Bu çalışma, yüksek frekanslı işlemlerin (HFT) nispeten yeni bir olgu olduğu önemli bir gelişmekte olan piyasa niteliğindeki Türk hisse senedi piyasası Borsa İstanbul (BIST)’da balon oluşumunu etkileyen faktörleri incelemektedir. HFT, hızlı algoritmalar kullanılarak gerçekleştirilen işlemleri ifade eder ve günümüzde finans piyasalarının önemli bir dinamiği haline gelmiştir. Çalışma, 11 Mart 2020 ile 31 Aralık 2020 tarihleri arasındaki döneme ait güniçi ve günlük hisse senedi fiyat verilerini kullanmaktadır. Veriler, Borsa İstanbul’dan elde edilmiş olup, HFT faaliyetleri, “gün içi emir” verileri ile tespit edilmiştir. Spekülatif balonların varlığı ise Supremum Augmented Dickey-Fuller (SADF) ve Generalized Sup Augmented Dickey-Fuller (GSADF) modelleri kullanılarak test edilmiştir. Çalışma, HFT işlemlerinin balon oluşumunda önemli bir rol oynadığını tespit etmiştir. HFT işlemleri, yüksek işlem hacimleri ve hızlı işlem yetenekleriyle piyasada aşırı oynaklık ve manipülasyon yaratabilir. Bu durum, balon oluşumunun riskini artırabilir. Çalışma, finansal piyasalardaki HFT etkilerini hafifletmek için düzenleme ve denetimin önemini vurgulamaktadır. Piyasada şeffaflığı artırmayı amaçlayan düzenlemeler, yatırımcıların daha bilinçli kararlar almasına yardımcı olabilir.

Anahtar Kelimeler

• Algoritmik İşlemler
• Yüksek Frekanslı İşlemler
• Oynaklık
• Likidite
• Spekülatif Balonlar

Kaynakça

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