Açığa Satış Fiyatının Belirleyicileri: Borsa İstanbul Mali Endeksi (XUMAL) Üzerinde Bir Uygulama

Tasarruflarını sermaye piyasalarında değerlendirmek isteyen yatırımcıların elde edebilecekleri getiriler sermaye kazancı ve kar payıdır. Sadece sermaye kazancı elde etmek isteyen yatırımcı satın aldığı menkul kıymeti ileride bir tarihte daha yüksek fiyattan satarak getiri elde edebilecektir. Yatırımcı, bunun tersi piyasa hareketlerinde de fiyat düşüşlerinden faydalanabilir. Bu durum yatırımcının sahip olmadığı menkul kıymetleri satması ya da satışı için emir vermesi anlamına gelen açığa satış kavramı ile açıklanmaktadır. Buradan hareketle açığa satış fiyatına etki eden faktörlerin belirlenmesinin amaçlandığı çalışmada Borsa İstanbul mali endeksinde işlem gören 93 firmanın 2015-2018 yılları arasındaki günlük açığa satış verileri ile panel regresyon analizi yapılmıştır. Analiz sonucunda, bağımlı değişken olan ağırlıklı ortalama açığa satış fiyatı (AOF) ile bağımsız değişkenler olan açığa satış fiyat volatilitesi (VOL), DFİYAT ve YFİYAT arasında istatistiksel olarak anlamlı ve pozitif ilişkiler tespit edilmiştir. Yıl kukla değişkenleri göz önüne alındığında ise AOF ile HACİM arasında anlamlı ve pozitif bir ilişki bulunurken AOF ile hisse getirisi arasında anlamlı ilişkinin varlığına dair bir bulguya ulaşılamamıştır.

Anahtar Kelimeler:

Açığa Satış, Belirleyiciler, Ödünç Pay Piyasası, Borsa İstanbul, Panel Regresyon

Determinants of Short Selling Price: An Application on the Borsa Istanbul Financial Index (XUMAL)

Investors desiring to evaluate their savings in capital markets can obtain returns in the form of capital gains and dividend payments. The investor who only desires to obtain capital gain will be able to obtain returns by selling the purchased security at a higher price in the future. The investor can also take an advantage of price reductions in totally opposite market movements. This condition is expressed with the concept of short selling, which is defined as the investor’s selling or giving directions to sell the securities that he does not possess. From this point of view, in this study aiming to determine the factors that impact short selling price; a panel regression analysis was performed with the daily short selling price data of 93 firms that were listed in the Borsa Istanbul Financial Index between the years 2015 and 2018. As a result of the analysis, it was determined that there were statistically significant and positive correlations between the weighted mean short selling price (WMP) which is the dependent variable and short selling price volatility (VOL), DPRICE and YPRICE which are the independent variables. Considering the year dummy variables; it was found that there was a positive and significant correlation between WMP and HACIM, whereas there was no significant correlation between WMP and stock return.

Keywords:

Short Selling, Determinants, Loan Share Market, Borsa Istanbul, Panel Regression,

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