PAY GETİRİLERİNDE LİKİDİTE AZLIK PRİMİ ETKİSİ: BORSA İSTANBUL UYGULAMASI

Year 2020, Volume: 38 Issue: 3, 465 - 486, 30.09.2020

Elif Kahraman , Semra Bank

https://doi.org/10.17065/huniibf.656444

Abstract

Bu çalışmanın amacı, likidite azlık priminin mevcudiyetinin Borsa İstanbul (BIST) Pay Piyasası’nda araştırılmasıdır. Bu amaç kapsamında, likidite azlık primi, Ocak 2002-Eylül 2018 dönem aralığında, sıfır getirili ölçüt ve likidite azlık ölçütü (ILLIQ) aracılığıyla, Acharya ve Pedersen (2005) Likidite Ayarlı Finansal Varlık Fiyatlandırma Modeli (LFVFM) üzerinden regresyon analizi ile test edilmiştir. Likidite azlık göstergelerine göre oluşturulan 20 adet portföyden elde edilen analiz sonuçları BIST Pay Piyasası’nda ilgili dönem aralığında likidite azlık priminin beklenen getiri oranı üzerinde anlamlı bir etkiye sahip olmadığını ortaya koymuştur. Diğer bir ifadeyle, elde edilen bulgular, yatırımcı kararları ile likidite azlık primi arasında bir ilişki olmadığı yönündedir.

Keywords

Likidite, Likidite Azlık Primi, LFVFM, Pay Getirisi

THE EFFECT OF ILLIQUIDITY PREMIUM ON STOCK RETURNS: EVIDENCE FROM BORSA ISTANBUL

Abstract

The aim of this study is to investigate the existence of illiquidity premium in the Borsa Istanbul (BIST). Within the scope of this objective, the illiquidity premium is investigated using zero return measure developed by Lesmond et al. (1999) and ILLIQ criterion introduced by Amihud (2002) with regression analysis over Liquidity Adjusted Capital Asset Pricing Model (LCAPM) for the period of January 2002-September 2018. The results of the analysis obtained from 20 portfolios based on illiquidity indicators revealed that the illiquidity risk premium did not have a significant effect on the expected rate of return in the BIST in the related time period. In other words, the findings show that there is no relationship between investor decisions and illiquidity premium.

Keywords

Liquidity, liquidity premium, equity return

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