Heterogeneity Analysis of the Stock Markets: The Case of Borsa Istanbul

Öz

Hisse Senetleri Piyasalarında Heterojenlik Analizi: Borsa İstanbul Örneği

Öz

Bu çalışmada amaç, Heterojen Piyasa Hipotezi (HPH) çerçevesinde oynaklık ve bu oynaklığın farklı zaman dilimlerinde farklı olmasına bağlı olarak, Borsa İstanbul Hisse Senetleri Piyasası'nın heterojenlik yapısının analizini yapmaktadır. Hisse senetleri piyasasında işlem yapan karar birimlerinin çeşitliliği, farklı zaman aralıklarında fiyat hareketlerinin farklılaşmasına neden olmaktadır. Bu farklılaşmanın temelinde ise, söz konusu karar birimlerinin piyasa, risk ve buna yönelik algılama biçimleri konusunda çeşitlilik göstermesidir. Davranışsal finans açısından heterojenlik olarak tanımlanan bu çeşitlilik, finans literatüründe genel olarak Heterojen Piyasa Hipotezi (HPH) çerçevesinde ele alınmaktadır. Bu hipotezin kaynağında özellikle hisse senetleri piyasasındaki kendi adına işlem yapanlar ile belirli bir kurumla ilişkili olarak işlem yapanların davranışları arasında farklılaşma olmasıdır.  Bundan dolayı  söz konusu süreç standart oynaklık modelleri aracılığıyla açıklanamadığından, literatürde heterojen piyasa hipotezini esas alan yeni teknikler geliştirilmiştir. Bu çalışmada kullanılan teknik, hipotezin geçerliliğini ortaya koyan bir bulgu sunmaktadır. Bununla birlikte, piyasadaki fiyat hareketlerinden hesaplanan oynaklığa dayalı bir yaklaşım sunan teknik yoluyla, piyasanın heterojenliği ile karar birimlerinin heterojenliği arasındaki ilişki de ortaya konmaktadır. Böylece Borsa Istanbul Hisse Senetleri Piyasası'nın heterojen bir piyasa özelliğine sahip olup olmadığını analiz etmenin yanında; bu çalışmada piyasa katılımcılarının söz konusu oluşum üzerindeki etkisi de incelenmektedir. Buna göre elde edilen ampirik bulgular çerçevesinde politika önerileri sunularak literatüre katkı sunulması hedeflenmektedir.  

Anahtar Kelimeler

• Heterogeneous Market Hypothesis,HAR Model

Destekleyen Kurum

Norm Civata A.Ş.

Kaynakça

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