Pay Likiditesi ve Finansal Performans Arasındaki Nedensellik İlişkisi: Borsa İstanbul Uygulaması

Öz

Çalışmanın amacı, pay likiditesi ile finansal performans arasındaki nedensellik ilişkisini ortaya koymaktır. Bu ilişki, BİST 100 endeksinde faaliyet gösteren sanayi firmalarında 2005Q1-2012Q1 periyodu için incelenmiştir. Pay likiditesi hesaplamasında bilgili işlemler dikkate alınarak yatırımcı grubu kurumsal yatırımcılar seçilmiştir. Pay likiditesi ölçütleri, oranı(illiquidity ratio) ve işlem devir hızı oranı(turnover ratio); performans ölçütü ise Piyasa Değeri/Defter Değeri(PD/DD) oranıdır. Çalışmada Dumitrescu ve Hurlin nedensellik testi kullanılmıştır. Elde edilen bulgulara göre, Borsa İstanbul’ da pay likiditesi ile finansal performans arasında çift yönlü bir nedensellik ilişkisine rastlanmıştır

Anahtar Kelimeler

• likidite, performans, nedensellik

Causality Relationship Between Stock Liquidity and Financial Performance: An Example of Borsa İstanbul

Öz

The aim of this study is to present the relationship between financial performance and stock liquidity. The relationship has been examined for industry firms which operate in BIST 100 index for the period of 2005Q1-2012Q1. The stock liquidity proxies are Amihud illiquidity ratio and turnover ratio; financial performance proxy is Market Value/Book Value(MV/BV). Dumitrescu and Hurlin causality test is used for determining the relationship. Empirical results show that there is a two-way causality between financial performance and stock liquidity in Borsa Istanbul

Anahtar Kelimeler

• liquidity, performance, causality

Kaynakça

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