Hisse Senetleri Piyasalarında Heterojenlik Analizi: Borsa İstanbul Örneği

Yıl 2020, Cilt: 15 , 170 - 179, 31.03.2020

Sezer Bozkus Kahyaoglu , Hakan Kahyaoğlu

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.

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

Öz

Kaynakça

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