Publication: İMKB’de rolatilite, likidite, işlem hacmi ve getiri ilişkisinin ekonometrik analizi
Abstract
Son yıllarda küreselleşmenin etkisiyle birlikte finansal piyasalarda yaşanan volatilite kavramına olan ilgi artmıştır. Bunun nedeni finansal piyasalarda yaşanan dalgalanmaların küreselleşme nedeniyle birçok ülke ekonomisine yansıması ve onları etkisi altına alabilmesidir. Volatilite kavramı finansal açıdan açıklanmaya çalışılırsa, bir menkul kıymetin fıyatının veya piyasanın genelinin kısa bir zaman aralığı içerisinde gösterdiği dalgalanma özelliğidir. Bu çalışmada İMKB’de yaşanan hisse senedi getiri volatilitesi incelenmiştir. 1997-2006 yılları arasını kapsayan bu çalışma hisse senedi getiri volatilitesinin yapısını tespit etmeye çalışmakla birlikte, volatilitenin diğer finansal değişkenlerle olan ilişkisini araştırmıştır. Volatilite ile hisse senedi getirileri, işlem hacmi ve likidite arasındaki ilişkiler VAR(Vektör Otoregresif Modeller) modelleri ile incelenmiştir. Ekonometrik analizler sonucunda volatilitenin hisse senedi getirisi ve likidite ile negatif ilişkili olduğu bulunmuştur. İşlem hacmi ve volatilite arasındaki ilişki pozitiftir. Bu ilişkinin pozitif çıkması, İMKB’nin yeni gelişmeye başlayan ve tam olarak etkin bir piyasa olmadığını gösteren bir sonuçtur.
The interest to the concept of volatility experienced in the financial market has risen with the effect of globalization. The reason for this is that the fluctuations in the financial markets could have reflection upon other countries economies and could affect them seriously. If the concept of volatility is to be explained in financial terms, it is the fluctuation seen in the price of a portable asset or in the market generally. This study aims to research the volatility experienced in the stock returns at IMKB. Covering the period between 1997 and 2006, this study tries to identify the structure of the volatility of the stock returns and investigates the relationship between volatility and other financial variables as well. The relationships between volatility-stock return, and trade volume -liquidity are inquired by the VAR (Vector Autoregressive Models.) As a result of econometric analysis negative relationship between volatility- stock returns and liquidity is revealed. The relationship between trade volume and volatility is positive. This positive relation points out that the IMKB is still a developing, not a completely effective market.
The interest to the concept of volatility experienced in the financial market has risen with the effect of globalization. The reason for this is that the fluctuations in the financial markets could have reflection upon other countries economies and could affect them seriously. If the concept of volatility is to be explained in financial terms, it is the fluctuation seen in the price of a portable asset or in the market generally. This study aims to research the volatility experienced in the stock returns at IMKB. Covering the period between 1997 and 2006, this study tries to identify the structure of the volatility of the stock returns and investigates the relationship between volatility and other financial variables as well. The relationships between volatility-stock return, and trade volume -liquidity are inquired by the VAR (Vector Autoregressive Models.) As a result of econometric analysis negative relationship between volatility- stock returns and liquidity is revealed. The relationship between trade volume and volatility is positive. This positive relation points out that the IMKB is still a developing, not a completely effective market.