Yıl: 2018 Cilt: 10 Sayı: 18 Sayfa Aralığı: 153 - 165 Metin Dili: İngilizce DOI: 10.14784/marufacd.460679 İndeks Tarihi: 28-01-2021

Evaluation of Market Efficiency and Trading Behavior of Investors: Evidence From Borsa Istanbul

Öz:
After the financial crisis of 2007-08, debates on structures and characteristics of financial markets havebecome the subject of much concern in both industry and academia. One of the most debated issues relatedto financial markets is whether they are efficient or not. With an intent to enter into discussions, this paper evaluates the market efficiency by using individual and institutional trade data from a specific stock exchange, namely Borsa Istanbul. To do so, we first form several measures of market efficiency through dailyinvestor data covering five years. By using these measures, we show that there is a negative relationship between market efficiency and turnover. That is, the more efficient the market, the lower the turnover. This result contributes to the debate of irrationality of investor behavior. The data also suggests that the efficiencyin Borsa Istanbul has been increasing after the crisis, showing that the effect of the crisis has been vanishing as time passes.
Anahtar Kelime:

Piyasa Etkinliğinin Ve Yatirımcilarin Alım-Satım Davranişinin Değerlendirilmesi: Borsa İstanbul Örneği

Öz:
2007-08 finansal krizinin ardından, finansal piyasalarda yapılar ve karakteristikler üzerine gerçekleştirilen tartışmalar hem sanayi hem de akademik çevrelerde oldukça önemli bir konu haline gelmiştir. Finansal piyasalar ile alakalı en çok tartışılan konulardan biri de piyasaların etkin olup olmadıklarıdır. Bu makale, ilgili tartışmalarda yer almak niyetiyle, belirli bir borsadaki – Borsa İstanbul – bireysel ve kurumsal alım-satım verilerini kullanmak suretiyle piyasa etkinliğini değerlendirmektedir. Bunu yapmak için, ilk olarak, beş yıllık bir döneme ilişkin günlük yatırımcı verileri aracılığıyla birkaç piyasa etkinliği ölçüsü oluşturulmuştur. Bu ölçüler kullanarak, piyasa etkinliği ile alım-satım işlem hızı arasında olumsuz bir ilişki olduğu gösterilmiştir. Yani, piyasa ne kadar etkin ise, alım-satım da o kadar düşük olmaktadır. Bu sonuç, yatırımcı davranışının rasyonalitesine dair yapılan tartışılmalara katkıda bulunmaktadır. Veriler ayrıca, Borsa İstanbul’daki etkinliğin kriz sonrasında arttığını ve zaman içerisinde krizin etkisinin giderek azaldığını ortaya koymaktadır.
Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA VARLI Y (2018). Evaluation of Market Efficiency and Trading Behavior of Investors: Evidence From Borsa Istanbul. , 153 - 165. 10.14784/marufacd.460679
Chicago VARLI Yusuf Ziya Evaluation of Market Efficiency and Trading Behavior of Investors: Evidence From Borsa Istanbul. (2018): 153 - 165. 10.14784/marufacd.460679
MLA VARLI Yusuf Ziya Evaluation of Market Efficiency and Trading Behavior of Investors: Evidence From Borsa Istanbul. , 2018, ss.153 - 165. 10.14784/marufacd.460679
AMA VARLI Y Evaluation of Market Efficiency and Trading Behavior of Investors: Evidence From Borsa Istanbul. . 2018; 153 - 165. 10.14784/marufacd.460679
Vancouver VARLI Y Evaluation of Market Efficiency and Trading Behavior of Investors: Evidence From Borsa Istanbul. . 2018; 153 - 165. 10.14784/marufacd.460679
IEEE VARLI Y "Evaluation of Market Efficiency and Trading Behavior of Investors: Evidence From Borsa Istanbul." , ss.153 - 165, 2018. 10.14784/marufacd.460679
ISNAD VARLI, Yusuf Ziya. "Evaluation of Market Efficiency and Trading Behavior of Investors: Evidence From Borsa Istanbul". (2018), 153-165. https://doi.org/10.14784/marufacd.460679
APA VARLI Y (2018). Evaluation of Market Efficiency and Trading Behavior of Investors: Evidence From Borsa Istanbul. Finansal Araştırmalar ve Çalışmalar Dergisi, 10(18), 153 - 165. 10.14784/marufacd.460679
Chicago VARLI Yusuf Ziya Evaluation of Market Efficiency and Trading Behavior of Investors: Evidence From Borsa Istanbul. Finansal Araştırmalar ve Çalışmalar Dergisi 10, no.18 (2018): 153 - 165. 10.14784/marufacd.460679
MLA VARLI Yusuf Ziya Evaluation of Market Efficiency and Trading Behavior of Investors: Evidence From Borsa Istanbul. Finansal Araştırmalar ve Çalışmalar Dergisi, vol.10, no.18, 2018, ss.153 - 165. 10.14784/marufacd.460679
AMA VARLI Y Evaluation of Market Efficiency and Trading Behavior of Investors: Evidence From Borsa Istanbul. Finansal Araştırmalar ve Çalışmalar Dergisi. 2018; 10(18): 153 - 165. 10.14784/marufacd.460679
Vancouver VARLI Y Evaluation of Market Efficiency and Trading Behavior of Investors: Evidence From Borsa Istanbul. Finansal Araştırmalar ve Çalışmalar Dergisi. 2018; 10(18): 153 - 165. 10.14784/marufacd.460679
IEEE VARLI Y "Evaluation of Market Efficiency and Trading Behavior of Investors: Evidence From Borsa Istanbul." Finansal Araştırmalar ve Çalışmalar Dergisi, 10, ss.153 - 165, 2018. 10.14784/marufacd.460679
ISNAD VARLI, Yusuf Ziya. "Evaluation of Market Efficiency and Trading Behavior of Investors: Evidence From Borsa Istanbul". Finansal Araştırmalar ve Çalışmalar Dergisi 10/18 (2018), 153-165. https://doi.org/10.14784/marufacd.460679