Borsa İstanbul'da Güniçi Getiri ve Volatilite Yapısı ile Tek Fiyatlı Açılış ve Kapanış Seanslarının Etkisi

Year 2015, Volume: 9 Issue: 1, 103 - 126, 01.06.2015

Eyüp Kadıoğlu , Güray Küçükkocaoğlu

Abstract

Bu çalışmada, 01.11.2006-31.05.2012 döneminde farklı endekslerde yer alan 102 adet hisse senedinin 624 güne ait 15 dakikalık getirileri analiz edilerek Borsa İstanbul'da gün içi getiri ve volatilite yapısı araştırılmıştır. Ayrıca seans açılış ve kapanışlarında görülen olağanüstü fiyat hareketlerinin azaltılması ve daha etkin fiyat oluşumunun sağlanması amacıyla 02.02.2007 ve 02.03.2012 tarihlerinde sırasıyla yürürlüğe giren tek fiyatlı açılış ve kapanış seanslarının bu yapılara etkileri analiz edilmiştir. Bu amaçla uygulama öncesi ve sonrası 15 dakikalık getirilere ait ortalama ve standart sapmanın farklı olup olmadıkları test edilmiştir. Borsa İstanbul'un gün içi getiri yapısının genel literatüre paralel olarak çift seans uygulaması nedeniyle çift “U” formunda ve gün içi volatilite yapısının ise “L” formunda olduğu tespit edilmiştir. Tek fiyatlı açılış ve kapanış seansları gün içi getiri yapısını birinci seans açılışında ve ikinci seans kapanışında istatistiksel olarak anlamlı bir şekilde etkilemiştir. Tek fiyatlı açılış seansıyla birlikte birinci seans açılışındaki ortalama getiride anlamlı bir düşüş ve volatilitede anlamlı bir artış olmuştur. Tek fiyatlı kapanış seansı uygulaması ise ikinci seans kapanışındaki ortalama getiride ve birinci seans açılışındaki volatilitede anlamlı bir düşüşe neden olmuştur

Keywords

Güniçi getiri, güniçi volatilite, kapanış fiyatı, tek fiyat yöntemi

Intraday Return and Volatility Structures in Borsa Istanbul and the Impact of Opening and Closing Call Auction Sessions

Abstract

In this study, intraday return and volatility structures are researched in Borsa Istanbul using 102 shares in different indexes while focusing on the period between November 1, 2006 – May 31, 2012 by using 15-minute returns. Additionally, the effect of opening and closing call sessions, implemented on February 2nd, 2007 and March 3rd, 2012 respectively to reduce extraordinary price movement and ensure more effective price formation, on these structures are analyzed. For this purpose, the difference in the average and standard deviation of the 15-minute returns in the period before and after the implementation of call sessions are tested. Due to two separate trading sessions, the intraday return structure fits the double “U” form, the volatility structure fits the “L” form and both are consistent with the literature. Implementation of opening and closing call sessions significantly affected the structure of return and volatility at the opening time of the first session and closing time of the second session. Implementation of opening call session significantly decreased average return meanwhile increased volatility during the opening time of the first session. Implementation of closing call session significantly decreased the average return in the closing time of the second session and the volatility in the opening time of the first session.

Keywords

Intraday return, intraday volatility, closing price, call auction

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