The relationship between free float ratio and market liquidity during the COVID-19 period

Abstract

This study examines the impact of the free float ratio on the liquidity of stocks traded on Borsa İstanbul during the COVID-19 pandemic. The turnover ratio is used as the liquidity indicator, and multivariate regression analyses are conducted using monthly data from January 2020 to September 2024. The model includes a dummy variable representing the COVID-19 crisis period and an interaction term between this dummy variable and the free float ratio. Additional firm-level control variables such as volatility, return, stock price, and market capitalization are also incorporated. The findings reveal that the free float ratio positively affects market liquidity, and this effect becomes stronger during the crisis period. A significant increase in trading volume was observed, likely driven by heightened retail investor interest. The results indicate that the free float ratio contributes not only to liquidity under normal market conditions but also supports market stability during times of heightened risk. Contrary to expectations, a liquidity dry-up was not observed during the COVID-19 period in Borsa İstanbul; instead, market liquidity improved, highlighting the structural role of free float in enhancing market resilience.

Keywords

• Free Float Ratio
• Market Liquidity
• COVID-19.

COVID-19 sürecinde halka açıklık oranı ile piyasa likiditesi arasındaki ilişki

Öz

Bu çalışma, COVID-19 pandemisi sürecinde halka açıklık oranının Borsa İstanbul’da işlem gören hisse senetlerinin likiditesi üzerindeki etkisini incelemektedir. Likidite göstergesi olarak hisse senedi devir hızı oranı kullanılmış ve Ocak 2020 ile Eylül 2024 dönemine ait aylık verilerle çoklu doğrusal regresyon analizleri yapılmıştır. Modelde, halka açıklık oranının yanı sıra kriz etkisini temsil eden COVID-19 kukla değişkeni ile bu değişkenin halka açıklık oranıyla etkileşim terimi dikkate alınmıştır. Ayrıca, volatilite, getiri, hisse fiyatı ve piyasa değeri esas alınarak mikro yapısal kontrol değişkenleri de modele dahil edilmiştir. Bulgular, halka açıklık oranının piyasa likiditesini artırıcı yönde etkili olduğunu ve bu etkinin COVID-19 döneminde daha da güçlendiğini göstermektedir. Kriz sürecinde işlem hacminde önemli bir artış gözlemlenmiş, bireysel yatırımcı ilgisinin bu artışta etkili olduğu anlaşılmıştır. Halka açıklık oranının yalnızca normal piyasa koşullarında değil, likidite riskinin yüksek olduğu kriz dönemlerinde de piyasa istikrarını desteklediği görülmüştür. COVID-19 döneminde Borsa İstanbul’da beklenenin aksine genel bir likidite daralması yaşanmadığını, yatırımcı ilgisindeki artışla birlikte işlem hacmi ve piyasa likiditesinde belirgin bir yükseliş tespit edilmiştir. Sonuçlar, halka açıklık oranının yalnızca likidite düzeyini değil, kriz dönemlerinde piyasa dayanıklılığını güçlendiren yapısal bir faktör olduğunu desteklemektedir.

Anahtar Kelimeler

• Halka Açıklık Oranı
• Piyasa Likiditesi
• COVID-19.

Kaynakça

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