EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL
Yıl: 2020 Cilt: 38 Sayı: 3 Sayfa Aralığı: 441 - 464 Metin Dili: İngilizce DOI: 10.17065/huniibf.541427 İndeks Tarihi: 16-11-2020
EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL
Öz: This study investigates theequity exposure to liquidity riskfactors in Borsa Istanbul between1992-2015. Stock level crosssectionalregression and univariate portfolioanalysis are utilized to examine the predictiveability of liquidity risk in Turkish markets. Thewidest range of illiquidity proxies are used to testthis effect. Cross-sectional regression analysesshow that illiquidity betas predict expected equityreturns. This relation remains robust when wellknownpriced factors are controlled for. Theunivariate portfolio analysis documents thatequities that are more sensitive to illiquidityshocks generate 5% higher annualized returns thanthose that are less sensitive to liquidity shocks.Hence, these findings show that liquidity exposureis indeed priced for equity returns in BorsaIstanbul.
Anahtar Kelime: LİKİDİTE HASSASİYETİNİN BORSA İSTANBUL’DAKİ PAY SENETLERİNİN GETİRİLERİ ÜZERİNE ETKİSİ
Öz: Bu makalede, likidite riskinin Borsa İstanbul’da işlem gören pay senetlerinin getirilerine olan hassasiyeti 1992–2015 yılları arası için incelenmiştir. Likidite riskinin Türkiye piyasalarında fiyatlanıp fiyatlanmadığını test edebilmek amacı ile kesitsel regresyon ve portföy analizleri yapılmıştır. Bu etkiyi test edebilmek amacı ile en kapsamlı likidite ölçütleri kullanılmıştır. Hisse bazında kesitsel regresyon sonuçları, likidite azlığı betası ve gelecek 1 aydan 6 aya kadar beklenen hisse senedi getirileri arasında istatistiksel olarak anlamlı pozitif bir ilişki olduğunu göstermektedir. Sonuçlar; piyasa, defterpiyasa değeri oranı ve momentum faktörleri kontrol edilerek desteklenmiştir. Tek değişkenli portföy analizi, likidite azlığına hassasiyeti yüksek hisse senetlerinin, likidite azlığına hassasiyeti düşük hisse senetlerine göre yıllık %5 daha fazla getiriye sahip olduğunu göstermektedir. Bu sonuçlara bakarak, Borsa İstanbul'da likidite riskinin gerçekten de hisse senedi getirileri için fiyatlandığı gösterilmiştir.
Anahtar Kelime: Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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| APA | Gunaydin A (2020). EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL. , 441 - 464. 10.17065/huniibf.541427 |
| Chicago | Gunaydin A. Doruk EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL. (2020): 441 - 464. 10.17065/huniibf.541427 |
| MLA | Gunaydin A. Doruk EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL. , 2020, ss.441 - 464. 10.17065/huniibf.541427 |
| AMA | Gunaydin A EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL. . 2020; 441 - 464. 10.17065/huniibf.541427 |
| Vancouver | Gunaydin A EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL. . 2020; 441 - 464. 10.17065/huniibf.541427 |
| IEEE | Gunaydin A "EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL." , ss.441 - 464, 2020. 10.17065/huniibf.541427 |
| ISNAD | Gunaydin, A. Doruk. "EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL". (2020), 441-464. https://doi.org/10.17065/huniibf.541427 |
| APA | Gunaydin A (2020). EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 38(3), 441 - 464. 10.17065/huniibf.541427 |
| Chicago | Gunaydin A. Doruk EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 38, no.3 (2020): 441 - 464. 10.17065/huniibf.541427 |
| MLA | Gunaydin A. Doruk EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol.38, no.3, 2020, ss.441 - 464. 10.17065/huniibf.541427 |
| AMA | Gunaydin A EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2020; 38(3): 441 - 464. 10.17065/huniibf.541427 |
| Vancouver | Gunaydin A EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2020; 38(3): 441 - 464. 10.17065/huniibf.541427 |
| IEEE | Gunaydin A "EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL." Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 38, ss.441 - 464, 2020. 10.17065/huniibf.541427 |
| ISNAD | Gunaydin, A. Doruk. "EXPOSURE TO LIQUIDITY RISK AND EQUITY RETURNS IN BORSA ISTANBUL". Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 38/3 (2020), 441-464. https://doi.org/10.17065/huniibf.541427 |
