Illiquidity effect on stock returns: Empirical evidence from Turkey
Başlık çevirisi mevcut değil.
- Tez No: 797202
- Danışmanlar: PROF. DR. DOROTA DOBİJA
- Tez Türü: Yüksek Lisans
- Konular: Maliye, İşletme, Finance, Business Administration
- Anahtar Kelimeler: illiquidity effect, stock returns, liquidity, Borsa Istanbul, holiday effect, Ramadan, panel data analysis
- Yıl: 2020
- Dil: İngilizce
- Üniversite: Kozminski University
- Enstitü: Yurtdışı Enstitü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 77
Özet
Özet yok.
Özet (Çeviri)
This study examines the effect of illiquidity on stock returns in the stock market of Turkey, Borsa Istanbul during the period between 2014 and 2019 by using daily data. In consequence of the in-depth literature review on subject of the illiquidity effects, it is realized that the literature is extensive in developed markets however the same situation does not apply to emerging and frontier markets. In addition, it is observed that studies applied in the emerging markets deliver conflicting results. Thus, this study aims to extend the literature in the example of Turkey, an emerging country. As a result of the panel regression analysis, strong evidence is found supporting the hypothesis that excess stock returns increase with the increasing illiquidity factor. The relationship analyzed by adding an illiquidity factor variable to Fama and French (1993) three factor model. In line with the Amihud (2002) study, ILLIQ ratio is used as an illiquidity proxy in the mimicking illiquidity factor portfolio creation. Additionally, this study investigates holiday effects on the liquidity stock returns relationship, by comparing the estimation results of 3 days before and after Ramadan Holiday with the results of main test. As hypothesized, it is found that existing relationship changes during this period as significance of illiquidity factor vanishes. This result points out that there are other factors affecting the stock returns in this special time of the year.
Benzer Tezler
- Kurumsal yatırımcılar açısından likidite, performans ve getiri ilişkisi: Borsa İstanbul uygulaması
Liquidity, performance and return relationship in terms of institutional investors: An example of Borsa İstanbul
ŞÜKRİYE GÜL REİS
- Responses of static and dynamic asset pricing models to financial market anomalies in Istanbul Stock Exchange
Statik ve dinamik varlık fiyatlama modellerinin İstanbul Menkul Kıymetler Borsası'nda gözlemlenen anomalilere cevapları
VİJDAN UĞURLUAY
- Likidite azlık priminin likidite ayarlı finansal varlık fiyatlandırma modeli üzerinden araştırılması
Investigating of illiquidity premium through liquidity adjusted capital asset pricing model
ELİF KAHRAMAN
Yüksek Lisans
Türkçe
2019
İşletmeKaradeniz Teknik Üniversitesiİşletme Ana Bilim Dalı
DR. ÖĞR. ÜYESİ SEMRA BANK
- Merkez bankacılığının ekonomi içindeki yeri ve önemi
Place and importance of central banking in an economy
F. HAKAN ARI
