Banka Opaklığının Hisse Senedi Fiyat Gecikmesine Etkisi: BİST’te İşlem Gören Bankalar Üzerine Bir Araştırma

Amaç – Bu çalışmanın amacı, 2007-2019 döneminde BİST’te işlem gören bankaların hisse senetlerinde yaşanan fiyat gecikmesinde opaklığın etkisini belirlemektir. Yöntem – Fiyat gecikmesinin belirleyicilerini ortaya koymak için hisse senetlerinin günlük kapanış fiyatı, beta katsayısı, hisse senetlerinin alış ve satış fiyat farkı, piyasa değeri, defter değeri ve firma riski verileriyle birlikte bankaların opak varlıkları ile ilgili olarak; yatırım amaçlı menkul kıymetler, krediler, toplam varlıklar, mevduatlar, uzun vadeli borçlar ve özsermaye gibi bilanço kalemleri verileri kullanılarak panel veri regresyon modellerinden yararlanılmıştır. Genelleştirilmiş en küçük kareler (GLS) tahmincisi yardımıyla panel regresyon modelinin parametreleri tahmin edilmiştir. Bulgular – Banka hisse senetlerinde yaşanan fiyat gecikmesinde opaklığın etkileri incelendiğinde; hisse senetlerinin fiyatı, likiditesi, piyasa hareketlerine duyarlılığı daha düşük; firmaya özgü riski, piyasa değeri, konut kredisi haricindeki kredileri, diğer opak varlıkları (türev finansal varlıklar, sabit varlıklar, maddi olmayan varlıklar, vb.), mevduatları, uzun vadeli borçları, özsermayesi ile toplam borcunun özsermayeye oranı daha yüksek olan bankaların daha opak olduğu ve opaklığın hisse senetlerinin fiyat etkinliğini bozarak fiyat gecikmesini arttırdığı görülmüştür. Tartışma – Hisse senedi devir hızı arttıkça fiyat gecikmesinin azalması beklenirken analiz sonuçlarında fiyat gecikmesinin arttığı görülmüştür. Yüksek hacim değerlerinin gerçek alıcıları ve satıcıları yansıtmayabileceği, sığ piyasalarda spekülatif işlemlerin olabileceği, çift taraflı kotasyonlar ile çalışmadaki veri sayısının sınırlı olmasının, beklentinin tersine sonuç bulunmasına sebep olduğu düşünülmektedir.

The Effect of Bank Opacity on Stock Price Delay: A Research on Banks Traded on BIST

Purpose – The purpose of this study is to determine the effects of opacity on the stock price delay in banks traded on BIST in the 2007-2019 period. Design/methodology/approach – This research uses the data of stock price, bid-ask spread, share turnover, market capitalization, book-to-market ratio, beta, idiosyncratic volatility, and also for opacity analysis it uses the data of investment securities, deposits, total assets, loans, long-term debt, shareholder equity, debt-to-equity ratio. The parameters of the panel regression model were estimated using the generalized least squares (GLS) estimator. Findings – According to the results, it was observed that the banks which have lower stock price, liquidity, beta; higher idiosyncratic volatility, firm value, non-mortgage loans, other opaque assets (derivative financial assets, fixed assets, intangible assets etc.), deposits, long-term debts, equity and total debt to equity ratio are more opaque, and opacity disrupts the price efficiency of stocks and increases the price delay. Discussion – While the price delay is expected to decrease as the stock turnover rate increases, it is seen in the analysis results that the price delay has increased. It is thought that in inefficient and shallow markets speculative transactions may occur, high volume values may not reflect real buyerssellers, and the limited number of data in the study causes results contrary to expectations.

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İşletme Araştırmaları Dergisi-Cover
  • ISSN: 1309-0712
  • Yayın Aralığı: Yılda 4 Sayı
  • Başlangıç: 2009
  • Yayıncı: Melih Topaloğlu