Determinants of Short Selling Price: An Application on the Borsa Istanbul Financial Index (XUMAL)

Year 2019, Volume: 8 Issue: 3, 2081 - 2098, 30.09.2019

Nida Abdioğlu , Sinan Aytekin

https://doi.org/10.15869/itobiad.568523

Cited By: 1

Abstract

Investors desiring to evaluate their savings in capital markets can
obtain returns in the form of capital gains and dividend payments. The investor
who only desires to obtain capital gain will be able to obtain returns by
selling the purchased security at a higher price in the future. The investor
can also take an advantage of price reductions in totally opposite market
movements. This condition is expressed with the concept of short selling, which
is defined as the investor’s selling or giving directions to sell the
securities that he does not possess. From this point of view, in this study aiming
to determine the factors that impact short selling price; a panel regression
analysis was performed with the daily short selling price data of 93 firms that
were listed in the Borsa Istanbul Financial Index between the years 2015 and
2018. As a result of the analysis, it was determined that there were
statistically significant and positive correlations between the weighted mean
short selling price (WMP) which is the dependent variable and short selling
price volatility (VOL), DPRICE and YPRICE which are the independent variables. Considering
the year dummy variables; it was found that there was a positive and
significant correlation between WMP and HACIM, whereas there was no significant
correlation between WMP and stock return. 

Keywords

Short Selling, Determinants, Loan Share Market, Borsa Istanbul, Panel Regression

Açığa Satış Fiyatının Belirleyicileri: Borsa İstanbul Mali Endeksi (XUMAL) Üzerinde Bir Uygulama

Abstract

Tasarruflarını sermaye
piyasalarında değerlendirmek isteyen yatırımcıların elde edebilecekleri
getiriler sermaye kazancı ve kar payıdır. Sadece sermaye kazancı elde etmek
isteyen yatırımcı satın aldığı menkul kıymeti ileride bir tarihte daha yüksek fiyattan
satarak getiri elde edebilecektir. Yatırımcı, bunun tersi piyasa hareketlerinde
de fiyat düşüşlerinden faydalanabilir. Bu durum yatırımcının
sahip olmadığı menkul kıymetleri satması ya da satışı için emir vermesi
anlamına gelen açığa satış kavramı ile açıklanmaktadır. Buradan hareketle açığa
satış fiyatına etki eden faktörlerin belirlenmesinin amaçlandığı çalışmada Borsa
İstanbul mali endeksinde işlem gören 93 firmanın 2015-2018 yılları arasındaki günlük
açığa satış verileri ile panel regresyon analizi yapılmıştır. Analiz sonucunda,
bağımlı değişken olan ağırlıklı ortalama
açığa satış fiyatı (AOF) ile bağımsız değişkenler olan açığa satış fiyat
volatilitesi (VOL), DFİYAT ve YFİYAT arasında istatistiksel olarak anlamlı ve pozitif
ilişkiler tespit edilmiştir. Yıl kukla değişkenleri göz önüne alındığında ise
AOF ile HACİM arasında anlamlı ve pozitif bir ilişki bulunurken AOF ile hisse
getirisi arasında anlamlı ilişkinin varlığına dair bir bulguya ulaşılamamıştır.

Keywords

Açığa Satış, Belirleyiciler, Ödünç Pay Piyasası, Borsa İstanbul, Panel Regresyon

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