Liquidity and Market Efficiency in Borsa Istanbul
| dc.contributor.author | Alkan, Serkan | |
| dc.date.accessioned | 2025-03-17T12:19:47Z | |
| dc.date.available | 2025-03-17T12:19:47Z | |
| dc.date.issued | 2024 | |
| dc.department | Tarsus Üniversitesi | |
| dc.description.abstract | The Borsa Istanbul has experienced a significant increase in investor participation in the past few years, and the growing number of companies are opting to raise capital through IPOs (Initial Public Offerings). In the context of this transformation, the goal of this research is to investigate the connection between the market efficiency and liquidity of 397 stocks traded on Borsa Istanbul by using the daily data over the period from 1 January 2022 to 18 August 2023, including the new stocks that have been listed in recent years. The stocks are ranked in accordance with the degree of informational efficiency using a sample entropy (SampEn) approach. The analysis shows that all stocks exhibit different levels of informational complexity and illiquidity, and many stocks display evidence of autocorrelation and non-independence. Further, it is revealed that entropy and liquidity have a significant relationship on a cross-sectional basis, suggesting that liquidity has an important impact on both inefficiency and predictability. | |
| dc.identifier.doi | 10.17065/huniibf.1388807 | |
| dc.identifier.endpage | 384 | |
| dc.identifier.issn | 1301-8752 | |
| dc.identifier.issn | 1309-6338 | |
| dc.identifier.issue | 3 | |
| dc.identifier.startpage | 371 | |
| dc.identifier.trdizinid | 1284549 | |
| dc.identifier.uri | https://doi.org/10.17065/huniibf.1388807 | |
| dc.identifier.uri | https://search.trdizin.gov.tr/tr/yayin/detay/1284549 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.13099/1176 | |
| dc.identifier.volume | 42 | |
| dc.indekslendigikaynak | TR-Dizin | |
| dc.institutionauthor | Alkan, Serkan | |
| dc.language.iso | en | |
| dc.relation.ispartof | Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi | |
| dc.relation.publicationcategory | Makale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı | |
| dc.rights | info:eu-repo/semantics/openAccess | |
| dc.snmz | KA_TR_20250316 | |
| dc.subject | Entropy | |
| dc.subject | Borsa Istanbul | |
| dc.subject | Liquidity | |
| dc.subject | Market efficiency | |
| dc.title | Liquidity and Market Efficiency in Borsa Istanbul | |
| dc.type | Article |
