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- Title
TÜRKİYE HİSSE SENEDİ PİYASASINDA LİKİDİTE VE GETİRİ İLİŞKİSİ.
- Authors
GÜMRAH, Ümit; ÇOBANOĞLU, Cihan
- Abstract
In this study, we examine the effect of liquidity on return in the stock market of Turkey using data of 265 companies for the period 2/01/2002 through 2/02/2017. We use Corwin-Schultz bid-ask spread estimator, high - low ratio and Amihud illiquidity measure as liquidity variables. We run panel data least squares on a simple CAPM model which has a liquidity variable and where the risk-free interest rate is zero. We find that illiquidity has negative effect on both daily and monthly returns. We also examine this effect in four size groups. We find that negative effect persists in subsamples exceptfor Amihud illiquidity measure which has non-significant and positive coefficients for larger companies. According to our findings, negative effect is stronger for smaller companies. Our results are in contrast with many studies which support liquidity premium in developed markets. This suggests further analysis on emerging markets like Turkey.
- Publication
Omer Halisdemir Universitesi Iktisadi ve Idari Bilimler Fakültesi Dergisi, 2018, Vol 11, Issue 2, p203
- ISSN
2564-6931
- Publication type
Article
- DOI
10.25287/ohuiibf.317710