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SIĞ BİR HİSSE SENEDİ PİYASASI OYNAKLIĞI İLE DÖVİZ KURU OYNAKLIĞININ İLİŞKİSİ: BORSA ISTANBUL ÖRNEĞİ

Year 2017, Volume: 19 Issue: 4, 1034 - 1049, 21.12.2017

Sezer Bozkus Kahyaoglu , Hakan Kahyaoglu

Abstract

Varlık fiyatlamasında piyasa likiditesinin önemli sonuçlara sahip olduğu değerlendirildiğinde, işlem maliyetleri ne kadar yüksek olursa, varlık fiyatları o kadar düşük; buna göre getiri oranları da o kadar yüksek olmaktadır. Bunun nedeni, düşük likiditeye sahip bir varlığa yatırım yapan yatırımcıların katlandığı likidite maliyetlerini telafi etmek amacıyla daha yüksek getirinin olmasından kaynaklanmaktadır. John Maynard Keynes'e göre, bir varlık, "kısa sürede kayıpsız ve emin bir şekilde el değiştirebiliyorsa" likiditeye sahip olarak tanımlanmaktadır. Bu çalışmanın temel amacı, Borsa İstanbul için döviz kuru oynaklığı ile Borsa likiditesinin oynaklığı arasındaki ilişkiyi analiz etmektir. Böylece açık ekonomi için risk göstergesi olarak dış şokların ve döviz kuru oynaklığının etkileri araştırılacaktır. Borsa İstanbul'un likiditesinin oynaklığı ve döviz kuru oynaklığı, ilgili literatürdeki farklı yaklaşımları uygulayarak tahmin edilmektedir. Daha sonra bu iki değişken arasındaki ilişki Moon ve Yu Yaklaşımı kullanılarak analiz edilmiştir. Ampirik bulgulara dayanarak piyasa oyuncuları için politika önerileri yapılmıştır. 

 

Keywords

Likidite Oynaklık Risk Göstergesi Moon ve Yu Yaklaşımı

References

  • Abhijeet Chandra and M. Thenmozhi. 2013. "Liquidity in Currency Options Market in India. XI Capital Markets Conference". 21-22 December 2012. Indian Institute of Capital Markets (UTIICM) http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2255475. (Erişim Tarihi: 15.09.2015)
  • Amihud, Y., Mendelson, H., Lauterbach, B. 1997. "Market microstructure and securities values: evidence from the Tel Aviv exchange". Journal of Financial Economics 45. 365–390.
  • Amihud, Y. 2002. "Illiquidity and stock returns: cross-section and time-series effects". Journal of Financial Markets 5. 31–56.
  • Amihud, Y., Mendelson, H. 1980. "Dealership market: market making with inventory". Journal of Financial Economics 8. 311–353.
  • Berkman, H., Eleswarapu, V.R., 1998. "Short-term traders and liquidity: a test using Bombay stock exchange data". Journal of Financial Economics 47, 339–355.
  • Brennan, M.J., Subrahmanyam, A. 1996. "Market microstructure and asset pricing: on the compensation for illiquidity in stock returns". Journal of Financial Economics 41, 441–464.
  • Bollerslev, Tim. 1990. "Modeling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model". Review of Economics and Statistics, 72, ss. 498-505. http://public.econ.duke.edu/~boller/Published_Papers/restat_90.pdf . (Erişim Tarihi: 15.09.2015)
  • Bollerslev, Tim. 1995. Generalized Autoregressive Conditional Heteroscedasticity. ARCH Selected Readings. (Ed. Robert F. Engle). Oxford University Pres. Bozkus, Sezer. 2005. "Alternative Approaches to Risk Management: Value at Risk and Expected Shortfall -Risk Ölçümünde Alternatif Yaklasımlar: Riske Maruz Değer ve Beklenen Kayıp Uygulamaları". Dokuz Eylul University Faculty of Economics and Administrative Science Journal. No.2, Vol. 20, ss. 27-45. Cheung, Y.-W. and L.K. Ng. 1996. "A causality-in-variance test and its application to financial market prices". Journal of Econometrics 72, 33-48.
  • Christian M. Hafner and H. Herwartz. 2006. "A Lagrange multiplier test for causality in variance". Economics Letters, 93 (1). ss.137–141.
  • Engle, Robert F. 1982. "Autoregressive Conditional Heteroscedasticity with estimates of the variance of UK inflation" . Econometrica, 50.
  • Enders, Walter. 2004. Applied Econometric Time Series. New York, John Wiley and Sons Inc.
  • French Kenneth R. , G. William Schwert and Robert F. Stambaugh. 1987. "Expected Stock Returns And Volatility". Journal of Financial Economics. 19, 3-29. North-Holland http://rady.ucsd.edu/faculty/directory/valkanov/pub/classes/mfe/docs/french_schwert_stambaugh_1987.pdf. (Erişim Tarihi: 15.09.2015)
  • Glosten, L., Harris, L. 1988. "Estimating the components of the bid–ask spread". Journal of Financial Economics 21, 123–142.
  • Gyu-Hyun Moon ve Wei-Choun Yu. 2010. "Volatility Spillovers between the US and China Stock Markets: Structural Break Test with Symmetric and Asymmetric GARCH Approaches". Global Economic Review, Volume 39, Issue 2, June 2010. (Erişim Tarihi: 15.09.2015)
  • Harris, M., Raviv, A. 1993. "Differences of opinion make a horse race". Review of Financial Studies 6, 473–506.
  • Hong, Y. 2001. "A test for volatility spillover with application to exchange rates". Journal of Econometrics 103, 183-224.
  • Hasbrouck, J. 1991. "Measuring the information content of stock trades". Journal of Finance 46, 179–207.
  • Inclan, C., and Tiao, G. C. 1994. "Use of cumulative sums of squares for retrospective detection of changes of variance". Journal of the American Statistical Association, 89, 913-923.
  • Khan, W.A., Baker, H.K. 1993. "Unlisted trading privileges, liquidity and stock returns". Journal of Financial Research 16, 221–236.
  • Kyle, A. 1985. "Continuous auctions and insider trading". Econometrica 53, 1315–1335.
  • Li Jinliang, Robert Mooradian and W. David Zhang. 2006. "Commission Costs, Illiquidity and Stock Returns". Northeastern University. https://www.eurofidai.org/Jinliang_Li.pdf. (Erişim Tarihi: 15.09.2015)
  • Sanso, A., Arago, V., and Carrion, J. L. 2004. "Testing for change in the unconditional variance of financial time series". Revista de Economia Financiera, 4, 32-53.
  • Tsay Rue. 2010 . Analysis of Financial Time Series. Wiley Publications.

RELATIONSHIP BETWEEN VOLATILITY OF STOCK MARKET ILLIQUIDITY AND EXCHANGE RATE VOLATILITY: THE CASE OF BORSA ISTANBUL

Year 2017, Volume: 19 Issue: 4, 1034 - 1049, 21.12.2017

Sezer Bozkus Kahyaoglu , Hakan Kahyaoglu

Abstract

Low liquidity (illiquidity) of a market is considered to have important asset pricing implications such that the higher the transaction costs the lower will be the asset prices and higher the rates of return. This is due to an illiquid asset offering higher rate of return to compensate the investors for having liquidity cost. According to John Maynard Keynes, an asset is defined to be liquid when "it is more certainly realizable at short notice without loss". The major aim of this paper is to analyze the relationship between exchange
rate volatility and volatility of stock market illiquidity for Borsa Istanbul. In this way the effects of external shocks and the exchange rate volatility as the risk indicator for an open economy will be investigated. Volatility of stock market illiquidity and exchange rate volatility are estimated by applying different approaches available in the relevant literature. Afterwards the relationship between these two variables is analyzed by using Moon and Yu approach. Based on empirical findings some policy
recommendations are made for market players.  

Keywords

Liquidity Volatility Risk Indicator Moon and Yu Approach

References

  • Abhijeet Chandra and M. Thenmozhi. 2013. "Liquidity in Currency Options Market in India. XI Capital Markets Conference". 21-22 December 2012. Indian Institute of Capital Markets (UTIICM) http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2255475. (Erişim Tarihi: 15.09.2015)
  • Amihud, Y., Mendelson, H., Lauterbach, B. 1997. "Market microstructure and securities values: evidence from the Tel Aviv exchange". Journal of Financial Economics 45. 365–390.
  • Amihud, Y. 2002. "Illiquidity and stock returns: cross-section and time-series effects". Journal of Financial Markets 5. 31–56.
  • Amihud, Y., Mendelson, H. 1980. "Dealership market: market making with inventory". Journal of Financial Economics 8. 311–353.
  • Berkman, H., Eleswarapu, V.R., 1998. "Short-term traders and liquidity: a test using Bombay stock exchange data". Journal of Financial Economics 47, 339–355.
  • Brennan, M.J., Subrahmanyam, A. 1996. "Market microstructure and asset pricing: on the compensation for illiquidity in stock returns". Journal of Financial Economics 41, 441–464.
  • Bollerslev, Tim. 1990. "Modeling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model". Review of Economics and Statistics, 72, ss. 498-505. http://public.econ.duke.edu/~boller/Published_Papers/restat_90.pdf . (Erişim Tarihi: 15.09.2015)
  • Bollerslev, Tim. 1995. Generalized Autoregressive Conditional Heteroscedasticity. ARCH Selected Readings. (Ed. Robert F. Engle). Oxford University Pres. Bozkus, Sezer. 2005. "Alternative Approaches to Risk Management: Value at Risk and Expected Shortfall -Risk Ölçümünde Alternatif Yaklasımlar: Riske Maruz Değer ve Beklenen Kayıp Uygulamaları". Dokuz Eylul University Faculty of Economics and Administrative Science Journal. No.2, Vol. 20, ss. 27-45. Cheung, Y.-W. and L.K. Ng. 1996. "A causality-in-variance test and its application to financial market prices". Journal of Econometrics 72, 33-48.
  • Christian M. Hafner and H. Herwartz. 2006. "A Lagrange multiplier test for causality in variance". Economics Letters, 93 (1). ss.137–141.
  • Engle, Robert F. 1982. "Autoregressive Conditional Heteroscedasticity with estimates of the variance of UK inflation" . Econometrica, 50.
  • Enders, Walter. 2004. Applied Econometric Time Series. New York, John Wiley and Sons Inc.
  • French Kenneth R. , G. William Schwert and Robert F. Stambaugh. 1987. "Expected Stock Returns And Volatility". Journal of Financial Economics. 19, 3-29. North-Holland http://rady.ucsd.edu/faculty/directory/valkanov/pub/classes/mfe/docs/french_schwert_stambaugh_1987.pdf. (Erişim Tarihi: 15.09.2015)
  • Glosten, L., Harris, L. 1988. "Estimating the components of the bid–ask spread". Journal of Financial Economics 21, 123–142.
  • Gyu-Hyun Moon ve Wei-Choun Yu. 2010. "Volatility Spillovers between the US and China Stock Markets: Structural Break Test with Symmetric and Asymmetric GARCH Approaches". Global Economic Review, Volume 39, Issue 2, June 2010. (Erişim Tarihi: 15.09.2015)
  • Harris, M., Raviv, A. 1993. "Differences of opinion make a horse race". Review of Financial Studies 6, 473–506.
  • Hong, Y. 2001. "A test for volatility spillover with application to exchange rates". Journal of Econometrics 103, 183-224.
  • Hasbrouck, J. 1991. "Measuring the information content of stock trades". Journal of Finance 46, 179–207.
  • Inclan, C., and Tiao, G. C. 1994. "Use of cumulative sums of squares for retrospective detection of changes of variance". Journal of the American Statistical Association, 89, 913-923.
  • Khan, W.A., Baker, H.K. 1993. "Unlisted trading privileges, liquidity and stock returns". Journal of Financial Research 16, 221–236.
  • Kyle, A. 1985. "Continuous auctions and insider trading". Econometrica 53, 1315–1335.
  • Li Jinliang, Robert Mooradian and W. David Zhang. 2006. "Commission Costs, Illiquidity and Stock Returns". Northeastern University. https://www.eurofidai.org/Jinliang_Li.pdf. (Erişim Tarihi: 15.09.2015)
  • Sanso, A., Arago, V., and Carrion, J. L. 2004. "Testing for change in the unconditional variance of financial time series". Revista de Economia Financiera, 4, 32-53.
  • Tsay Rue. 2010 . Analysis of Financial Time Series. Wiley Publications.
There are 23 citations in total.

Details

Subjects Business Administration
Journal Section MAIN SECTION
Authors

Sezer Bozkus Kahyaoglu 0000-0003-2865-3399

Hakan Kahyaoglu 0000-0002-6031-7494

Publication Date December 21, 2017
Submission Date September 26, 2017
Published in Issue Year 2017 Volume: 19 Issue: 4

Cite

APA Kahyaoglu, S. B., & Kahyaoglu, H. (2017). SIĞ BİR HİSSE SENEDİ PİYASASI OYNAKLIĞI İLE DÖVİZ KURU OYNAKLIĞININ İLİŞKİSİ: BORSA ISTANBUL ÖRNEĞİ. Muhasebe Bilim Dünyası Dergisi, 19(4), 1034-1049.
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