Devlet iç borçlanma senetlerinin ikincil piyasa likidite analizi ve likiditesini artırıcı önlemler

Bu çalışma, DİBS'lerin oynaklık ve işlem hacimlerinin ikincil piyasadaki likiditelerine etkilerini test etmeyi amaçlamaktadır. DİBS'lerin ikincil piyasadaki likiditeleri, İM KB Tahvil ve Bono Piyasasında kota edilen gun sonu talep ve teklif fiyatları arasındaki açıklık (TTFA) ile ölçülmüştür. Çalışmada test edilmek üzere piyasada en çok işlem gören ve 2 yıl vadeli gösterge senet ile 5 yıl ve 10 yıl vadeli sabit kuponlu senetler kullanılmıştır. 2008 yılının ikinci yarısında yaşanan global finansal krizin de etkisini analize dahil etmek amacıyla 2007 Aralık- 2010 Aralık dönemi verileri kullanılarak otoregresif hareketli ortalamalar modeli (ARMA) ekonometrik yöntemiyle analiz edilmiştir Ampirik sonuçlar, Türkiye'de DİBS ikincil piyasa likıditesıyle işlem hacimleri arasında pozitif, oynaklık ile ise negatif ve anlamlı bir ilişki olduğunu ortaya koymuştur. Sonuç olarak, DİBS'lerin ikincil piyasadaki oynaklıkları ve işlem hacimleri likiditeleri için belirleyici bir rol oynamaktadır.

Liquidity analysis of government securities in the secondary market and recommendations for its improvement

This study aims to analyze the effects of volatility and trading volume on secondary market liquidity of government securities. Liquidity of government securities was measured by using the end-day bid and ask prices in the ISE. Zero coupon benchmark government security was chosen for this analysis since it has the most trading volume in the government bond market. Moreover, 5 and 10 year fixed coupon benchmarks were also analyzed. In order to include the effects of global financial crises to the analysis, which was occured in the second half of 2008, analysis period was chosen as December 2007 to December 2010 In this study, ARMA econometric method was used with daily data Empirical findings reveal that there exist a positive and smgnificant relationship between liquidity of benchmark government securiy in secondary market and trading volume of this security Results also confirmed that the higher the volatility of the benchmark security the lesser the liquidity of the government securities in the secondary market. As a result, volatiliy and trading volume of government benchmark securities play a critical role on government benchmark security's liquidity in the secondary market.

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