Publication: Share price clustering in Turkish and European Banks
Abstract
Market anomalileri her zaman finansal piyasaların ilgi çekici ve güncel konularından biri olmuştur. Bu anomalilerden biri olan fiyat kümelenmesi fiyatların bazı sayılarda daha çok veya daha az toplanması eğilimidir. Bu bağlamda fiyat kümelenmesi, hakkında yapılan ilk çalışmadan günümüze kadar güncelliğini korumuş ve literatürde hakkında teoriler geliştirilen konulardan biri olmuştur. Bu çalışmada Türk ve Avrupa bankalarının hisse senetlerinin fiyat kümelenmesinin analiz edilmesi hedeflenmiştir. Fiyat kümelenmesinin test edikmesi ve potansiyel belirleyicilerinin analiz edilmesi amaçlanmıştır. Çalışma Avrupadan yedi Türkiyeden beş bankanın 2005 ve 2020 yılları arasındaki hisse senetleri ve hacimlerinin fiyat kümelenmesini ve bunların belirleyicilerini analiz etmiştir. Fiyat kümelenmesinin hacim ve oynaklık ile ilişkli olduğuna dair kanıtlar bulunmuştur. Genel olarak bu çalışma Türk ve Avrupa bankalarının hisse senetlerinin fiyat kümelenmesi eğilimi üzerine yapılmış olup konu hakkında geliştirilen Müzakere Hipotezini destekler niteliktedir.
Market anomalies have always been one of the interesting and current topics of financial markets. Price clustering, one of these anomalies, is the tendency of prices to aggregate more or less in certain numbers. In this context, price clustering has remained up-to-date since the first study on it and has been one of the aread on which theories have been developed in the literature. In this study, it is aimed to analyze the price clustering of the stocks of Turkish and European banks. It is aimed to test the price clustering and analyze its potential determinants. The study has analyzed the price clustering and their determinants of stocks and volumes between 2005 and 2020 of five banks from Turkey and seven from Europe. Evidence has been found that price clustering is associated with volume and volatility. In general, this study was conducted on the price clustering tendency of Turkish and European banks' stocks and supports the Negotiation Hypothesis developed on this subject.
Market anomalies have always been one of the interesting and current topics of financial markets. Price clustering, one of these anomalies, is the tendency of prices to aggregate more or less in certain numbers. In this context, price clustering has remained up-to-date since the first study on it and has been one of the aread on which theories have been developed in the literature. In this study, it is aimed to analyze the price clustering of the stocks of Turkish and European banks. It is aimed to test the price clustering and analyze its potential determinants. The study has analyzed the price clustering and their determinants of stocks and volumes between 2005 and 2020 of five banks from Turkey and seven from Europe. Evidence has been found that price clustering is associated with volume and volatility. In general, this study was conducted on the price clustering tendency of Turkish and European banks' stocks and supports the Negotiation Hypothesis developed on this subject.