Algoritmik ve yüksek frekanslı işlemlerin likidite ve volatilite üzerine etkisi: BİST-30 örneği
Küçük Resim Yok
Tarih
2023
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Niğde Ömer Halisdemir Üniversitesi
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
"Algoritmik" ve "yüksek frekanslı" işlemler sermaye piyasalarının gelişmiş olduğu Amerika Birleşik Devletleri gibi gelişmiş ülke borsalarında 2000'li yılların başından itibaren kullanılıyorken, Türkiye'nin de içinde bulunduğu gelişmekte olan piyasalarda yakın dönemlerde kullanılmaya başlanmıştır. Türkiye'de doğrudan Yüksek Frekanslı İşlemler (High Frequency Trading-HFT) yapan firmalar bulunmasa da aracı kurumlar vasıtası ile HFT işlemleri yapılabilmektedir. Çalışmada, gelişmekte olan piyasalardan Borsa İstanbul'da 2015 Kasım ayından itibaren kullanılmaya başlanan Yüksek Frekanslı İşlemlerin BİST-30'da yer alan firmaların paylarının likiditesi ve volatilitesi üzerindeki etkisi araştırılmaktadır. Çalışmanın analiz dönemini 2 Ocak 2016–31 Aralık 2020 tarihleri arası oluşturmaktadır. Bu döneminin seçilmesindeki en önemli etken 30 Kasım 2015 yılında Borsa İstanbul'un NASDAQ ile yaptığı anlaşma sonucunda "BİSTTECH" teknolojik alt yapısını kullanmaya başlaması olmuştur. Çalışma işlem hacmi göreceli olarak yüksek 30 hisseden oluşan BİST-30 ile sınırlandırılmıştır. Çalışmada BİST-30'a odaklanılmasının amacı literatürdeki çalışmaların incelenmesi sonucunda HFT aktivitelerinin işlem hacmi yüksek hisselerde yoğunlaşmış olduğunun belirlenmesidir. Sonuçların geçerliliğini farklı dönem aralıklarında test etmek amacıyla pandemi öncesi dönem ve pandemi dönemi ve piyasanın yükseliş-düşüş dönemleri olarak her iki dönem için ayrıca analiz yapılmıştır. Piyasanın düşüş ve yükseliş dönemlerinde HFT'nin likidite ve volatilite üzerine etkisinin ne yönde değiştiğini tespit etmek için yapılmaktadır. Söz konusu analiz için "piyasa getirisi (BİST-30) < 0" olduğu dönem düşüş "piyasa getirisi (BİST-30) > 0" olduğu dönemler yükseliş olarak baz alınmıştır. Model olarak Driscoll ve Kraay sabit etki panel regresyon modeli kullanılmıştır. Sonuç olarak, yüksek frekanslı işlemlerde meydana gelen artışın BİST-30'a dahil olan firmaların paylarının likiditesini ve volatilitesini artırdığı tespit edilmiştir. Ayrıca pandemi dönemi ve yükselen piyasa dönemi öncesi sonuçlar benzerken, yüksek frekanslı ticaretin likidite üzerindeki etkisi pandemi döneminde ortadan kalkmaktadır.
While "algorithmic" and "high-frequency" tradings have been used in the stock markets of developed countries such as the United States, where capital markets are developed, since the early 2000s, they have recently begun to be used in emerging markets, including Turkey. Although there are no firms that directly engage in High Frequency Trading (HFT) in Turkey, HFT trandings can be made through intermediary institutions. In this study, the effect of High Frequency Tradings, which started to be used in Borsa Istanbul, which is one of the emerging markets, since November 2015, on the liquidity and volatility of the stocks in BIST-30 is investigated. The analysis period of the study is between January 2, 2016 and December 31, 2020. The most important factor in the selection of this period was Borsa İstanbul's started to use the "BISTTECH" technological infrastructure as a result of the agreement made with NASDAQ on November 30, 2015. The sample is limited to BIST-30, which consists of 30 relatively high trading volume stocks. The reason of focusing on BIST-30 in the study is to determine that HFT activities are concentrated in stocks with high trading volume as a result of examining the studies in the literature. In order to test the validity of the results in different period intervals, a separate analysis was made for both periods as the pre-pandemic period, the pandemic period and the rise-fall periods of the market. It is carried out to determine how the effect of HFT on liquidity and volatility changes during the falling and rising periods of the market. For the aforementioned analysis, the period when "market return (BIST-30) < 0" was taken as a fall period, and the period when "market return (BIST-30) > 0" was taken as the rise period. The Driscoll and Kraay fixed effect panel regression model was used as an econometric technique. As a result of the analyses, it has been determined that the increase in high-frequency trading has increased the liquidity and volatility of the stocks included in BIST-30. In addition, while the results before the pandemic period and the rise period are similar, the effect of high-frequency trading on liquidity disappears during the pandemic period.
While "algorithmic" and "high-frequency" tradings have been used in the stock markets of developed countries such as the United States, where capital markets are developed, since the early 2000s, they have recently begun to be used in emerging markets, including Turkey. Although there are no firms that directly engage in High Frequency Trading (HFT) in Turkey, HFT trandings can be made through intermediary institutions. In this study, the effect of High Frequency Tradings, which started to be used in Borsa Istanbul, which is one of the emerging markets, since November 2015, on the liquidity and volatility of the stocks in BIST-30 is investigated. The analysis period of the study is between January 2, 2016 and December 31, 2020. The most important factor in the selection of this period was Borsa İstanbul's started to use the "BISTTECH" technological infrastructure as a result of the agreement made with NASDAQ on November 30, 2015. The sample is limited to BIST-30, which consists of 30 relatively high trading volume stocks. The reason of focusing on BIST-30 in the study is to determine that HFT activities are concentrated in stocks with high trading volume as a result of examining the studies in the literature. In order to test the validity of the results in different period intervals, a separate analysis was made for both periods as the pre-pandemic period, the pandemic period and the rise-fall periods of the market. It is carried out to determine how the effect of HFT on liquidity and volatility changes during the falling and rising periods of the market. For the aforementioned analysis, the period when "market return (BIST-30) < 0" was taken as a fall period, and the period when "market return (BIST-30) > 0" was taken as the rise period. The Driscoll and Kraay fixed effect panel regression model was used as an econometric technique. As a result of the analyses, it has been determined that the increase in high-frequency trading has increased the liquidity and volatility of the stocks included in BIST-30. In addition, while the results before the pandemic period and the rise period are similar, the effect of high-frequency trading on liquidity disappears during the pandemic period.
Açıklama
Sosyal Bilimler Enstitüsü, İşletme Ana Bilim Dalı, Muhasebe Finansman Bilim Dalı
Anahtar Kelimeler
İşletme, Business Administration
