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

Year 2019, Volume: 8 Issue: 3, 2081 - 2098, 30.09.2019
https://doi.org/10.15869/itobiad.568523

Abstract

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. 

References

  • Aitken, M. J., Frino, A., Mccorry, M. S. ve Swan, P. L. (1998). “Short Sales Are Almost Instantaneously Bad News: Evidence from the Australian Stock Exchange”, The Journal of Finance, 53 (6), 2205-2223.
  • Aksoy, M., Uysal, Ö. ve Karatepe, S. (2011). “Hisse Senedi Ödünç İşlemleri ve Takasbank Ödünç Pay Senedi Piyasası: Hisse Senedi Ödünç Komisyon Oranları ve Açığa Satış İlişkisi”, İstanbul Üniversitesi İktisat Fakültesi Dergisi, 61 (2), 187-216.
  • Asquith, P., Pathak, P. A. ve Ritter, J. R. (2005). “Short Interest, Institutional Ownership, and Stock Returns”, Journal of Financial Economics, 78, 243-276.
  • Baklaci, H .F., Suer, O. ve Yelkenci, T. (2016). “A Closer Insight into the Causality Between Short Selling Trades and Volatility”, Finance Research Letters, 17, 48-54.
  • Beber, A. ve Pagano, M. (2013). “Short-Selling Bans Around the World: Evidence from the 2007–09 Crisis”, The Journal of Finance, 68 (1), 343-381.
  • Blau, B. M., Fuller, K. P. ve Van Ness, R. A. (2011). “Short Selling Around Dividend Announcements and Ex-Dividend Days”, Journal of Corporate Finance, 17 (3), 628-639.
  • Blau, B. M., Van Ness, B. F. ve Van Ness, R. A. (2009). “Short Selling and the Weekend Effect for NYSE Securities”, Financial Management, 38 (3), 603-630.
  • Boehmer, E. ve Wu, J. J. (2013). “Short Selling and the Price Discovery Process”, The Review of Financial Studies, 26 (2), 287-322.
  • Chen, M. ve Zheng, Z. (2008). “The Impact of Short Selling on the Volatility and Liquidity of Stock Markets: Evidence from Hong Kong Market”, http://efinance.org.cn/cn/aboutme/cmx3.pdf, 10.05.2019.
  • Coşkun, Y. (2010). “Kredili İşlemler ve Küresel Kriz Açısından İMKB’de Açığa Satış İşlemleri”, Finans Politik & Ekonomik Yorumlar, 47 (547), 77-94.
  • Çankaya, S., Eken, M. H. ve Ulusoy, V. (2012). “The Impact of Short Selling on Intraday Volatility: Evidence from the Istanbul Stock Exchange”, International Research Journal of Finance and Economics, 93, 202-212.
  • Dechow, P. M., Hutton, A. P., Meulbroek, L. ve Sloan, R. G. (2001). “Short-Sellers, Fundamental Analysis, and Stock Returns”, Journal of Financial Economics, 61 (1), 77-106.
  • Deev, O. ve Linnertova, D. (2014). “The Determinants of ETFs Short Selling Activity”, Procedia - Social and Behavioral Sciences, 109, 669-673.
  • Diether, K. B., Lee, K. H. ve Werner, I. M. (2005). “Can Short-sellers Predict Returns? Daily Evidence”, http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.146.1&rep=rep1&type=pdf, 07.05.2019.
  • Elitaş, C. ve İlarslan, K. (2009). “Açığa Satış ve Muhasebeleştirilmesi”, Muhasebe ve Finansman Dergisi, 43, 137-153.
  • Henry, O. T. ve Mckenzie, M. (2006). “The Impact of Short Selling on the Price‐Volume Relationship: Evidence from Hong Kong”, The Journal of Business, 79 (2), 671-691.
  • Jones, C. M. ve Lamont, O. A. (2002). “Short-Sale Constraints and Stock Returns”, Journal of Financial Economics, 66, 207-239.
  • Jung, C. S., Kim, W. ve Lee, D. W. (2013). “Short Selling by Individual Investors: Destabilizing or Price Discovering?”, Pacific-Basin Finance Journal, 21, 1232-1248.Karabacak, S. (2002). Açığa Satış İşlemleri Yeterlik Etüdü, Sermaye Piyasası Kurulu Denetleme Dairesi, İstanbul, http://www.spk.gov.tr/SiteApps/Yayin/YayinGoster/429, 08.05.2019.
  • Kot, W. H. (2007). “What Determines the Level of Short-Selling Activity?”, Financial Management, 36 (4), 123-141.
  • Lamont, O. A. ve Stein, J. C. (2004). “Aggregate Short Interest and Market Valuations”, American Economic Review, 94 (2), 29-32.
  • Lecce, S. (2011). The Impact of Short-Selling in Financial Markets, Doctoral Dissertation, Discipline of Finance Faculty of Business and Economics University of Sydney, Australia.
  • Li, Y. ve Zhang, L. (2015). “Short Selling Pressure, Stock Price Behavior, and Management Forecast Precision: Evidence from a Natural Experiment”, Journal of Accounting Research, 53 (1), 79-117.
  • Li, Z., Lin, B., Zhang, T. ve Chen, C. (2017). “Does Short Selling Improve Stock Price Efficiency and Liquidity? Evidence from a Natural Experiment in China”, The European Journal of Finance, 24 (15), 1350-1368.
  • Linnertova, D. (2015). “Cross Sectional Analysis of Short Sale Determinants on U.S. Blue Chips”, Financial Assets and Investing, 6 (2), 21-35.
  • Linnertova, D. (2016). “Testing of Short Sale Hypotheses on NYSE”, Procedia - Social and Behavioral Sciences, 220, 261-270.
  • Lynch, A., Nikolic, B., Yan, X. ve Yu, H. (2014). “Aggregate Shortselling, Commonality, and Stock Market Returns”, Journal of Finance, 17, 199-229.
  • Mckenzie, M. ve Henry, O. T. (2012). “The Determinants of Short Selling: Evidence from the Hong Kong Equity Market”, Accounting and Finance, 52 (1), 183-216.
  • Mertzanis, C. (2015). “Short Selling Regulation, Return Volatility and Market Volatility in the Athens Exchange”, Studies in Economics and Finance, 34 (1), 143-164.
  • Nagel, S. (2005). “Short Sales, Institutional Investors and the Cross-Section of Stock Returns”, Journal of Financial Economics, 78, 277-309.
  • Özçalık, S. G. ve Aytekin, S. (2019). “Türkiye Ödünç Pay Piyasası: BIST Bankacılık Endeksi’nde Açığa Satışın Belirleyicileri”, 10. Uluslararası Girişimcilik Kongresi, Özet Bildiri Kitabı: 147.
  • Platt, H. D. (2004). “A Fuller Theory of Short Selling”, Journal of Asset Management, 5 (1), 49-63.
  • Sharma, N. (2017). “Impact of Short Selling in Financial Markets”, Journal of Social Science Research, 11 (3), 2447-2481.
  • Sobaci, C., Sensoy, A. ve Erturk, M. (2014). “Impact of Short Selling Activity on Market Dynamics: Evidence from an Emerging Market”, Journal of Financial Stability, 15, 53-62.
  • Sochi, M. ve Swidler, S. (2018). “A Test of Market Efficiency When Short Selling Is Prohibited: A Case of the Dhaka Stock Exchange”, Journal of Risk and Financial Management, 11 (59), 1-17.
  • Wang, S. F. ve Lee, K. H. (2015). “Do Foreign Short-Sellers Predict Stock Returns? Evidence from Daily Short-Selling in Korean Stock Market”, Pacific-Basin Finance Journal, 32, 56-75.
  • Zhong, Y. ve Li, S. (2016). “Margin Trading and Short Selling on Stock Liquidity: Evidence from the Expansion of Marginal Securities in Chinese Stock Market”, 9th International Symposium on Computational Intelligence and Design, Proceedings Book: 82-86.

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

Year 2019, Volume: 8 Issue: 3, 2081 - 2098, 30.09.2019
https://doi.org/10.15869/itobiad.568523

Abstract

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.

References

  • Aitken, M. J., Frino, A., Mccorry, M. S. ve Swan, P. L. (1998). “Short Sales Are Almost Instantaneously Bad News: Evidence from the Australian Stock Exchange”, The Journal of Finance, 53 (6), 2205-2223.
  • Aksoy, M., Uysal, Ö. ve Karatepe, S. (2011). “Hisse Senedi Ödünç İşlemleri ve Takasbank Ödünç Pay Senedi Piyasası: Hisse Senedi Ödünç Komisyon Oranları ve Açığa Satış İlişkisi”, İstanbul Üniversitesi İktisat Fakültesi Dergisi, 61 (2), 187-216.
  • Asquith, P., Pathak, P. A. ve Ritter, J. R. (2005). “Short Interest, Institutional Ownership, and Stock Returns”, Journal of Financial Economics, 78, 243-276.
  • Baklaci, H .F., Suer, O. ve Yelkenci, T. (2016). “A Closer Insight into the Causality Between Short Selling Trades and Volatility”, Finance Research Letters, 17, 48-54.
  • Beber, A. ve Pagano, M. (2013). “Short-Selling Bans Around the World: Evidence from the 2007–09 Crisis”, The Journal of Finance, 68 (1), 343-381.
  • Blau, B. M., Fuller, K. P. ve Van Ness, R. A. (2011). “Short Selling Around Dividend Announcements and Ex-Dividend Days”, Journal of Corporate Finance, 17 (3), 628-639.
  • Blau, B. M., Van Ness, B. F. ve Van Ness, R. A. (2009). “Short Selling and the Weekend Effect for NYSE Securities”, Financial Management, 38 (3), 603-630.
  • Boehmer, E. ve Wu, J. J. (2013). “Short Selling and the Price Discovery Process”, The Review of Financial Studies, 26 (2), 287-322.
  • Chen, M. ve Zheng, Z. (2008). “The Impact of Short Selling on the Volatility and Liquidity of Stock Markets: Evidence from Hong Kong Market”, http://efinance.org.cn/cn/aboutme/cmx3.pdf, 10.05.2019.
  • Coşkun, Y. (2010). “Kredili İşlemler ve Küresel Kriz Açısından İMKB’de Açığa Satış İşlemleri”, Finans Politik & Ekonomik Yorumlar, 47 (547), 77-94.
  • Çankaya, S., Eken, M. H. ve Ulusoy, V. (2012). “The Impact of Short Selling on Intraday Volatility: Evidence from the Istanbul Stock Exchange”, International Research Journal of Finance and Economics, 93, 202-212.
  • Dechow, P. M., Hutton, A. P., Meulbroek, L. ve Sloan, R. G. (2001). “Short-Sellers, Fundamental Analysis, and Stock Returns”, Journal of Financial Economics, 61 (1), 77-106.
  • Deev, O. ve Linnertova, D. (2014). “The Determinants of ETFs Short Selling Activity”, Procedia - Social and Behavioral Sciences, 109, 669-673.
  • Diether, K. B., Lee, K. H. ve Werner, I. M. (2005). “Can Short-sellers Predict Returns? Daily Evidence”, http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.146.1&rep=rep1&type=pdf, 07.05.2019.
  • Elitaş, C. ve İlarslan, K. (2009). “Açığa Satış ve Muhasebeleştirilmesi”, Muhasebe ve Finansman Dergisi, 43, 137-153.
  • Henry, O. T. ve Mckenzie, M. (2006). “The Impact of Short Selling on the Price‐Volume Relationship: Evidence from Hong Kong”, The Journal of Business, 79 (2), 671-691.
  • Jones, C. M. ve Lamont, O. A. (2002). “Short-Sale Constraints and Stock Returns”, Journal of Financial Economics, 66, 207-239.
  • Jung, C. S., Kim, W. ve Lee, D. W. (2013). “Short Selling by Individual Investors: Destabilizing or Price Discovering?”, Pacific-Basin Finance Journal, 21, 1232-1248.Karabacak, S. (2002). Açığa Satış İşlemleri Yeterlik Etüdü, Sermaye Piyasası Kurulu Denetleme Dairesi, İstanbul, http://www.spk.gov.tr/SiteApps/Yayin/YayinGoster/429, 08.05.2019.
  • Kot, W. H. (2007). “What Determines the Level of Short-Selling Activity?”, Financial Management, 36 (4), 123-141.
  • Lamont, O. A. ve Stein, J. C. (2004). “Aggregate Short Interest and Market Valuations”, American Economic Review, 94 (2), 29-32.
  • Lecce, S. (2011). The Impact of Short-Selling in Financial Markets, Doctoral Dissertation, Discipline of Finance Faculty of Business and Economics University of Sydney, Australia.
  • Li, Y. ve Zhang, L. (2015). “Short Selling Pressure, Stock Price Behavior, and Management Forecast Precision: Evidence from a Natural Experiment”, Journal of Accounting Research, 53 (1), 79-117.
  • Li, Z., Lin, B., Zhang, T. ve Chen, C. (2017). “Does Short Selling Improve Stock Price Efficiency and Liquidity? Evidence from a Natural Experiment in China”, The European Journal of Finance, 24 (15), 1350-1368.
  • Linnertova, D. (2015). “Cross Sectional Analysis of Short Sale Determinants on U.S. Blue Chips”, Financial Assets and Investing, 6 (2), 21-35.
  • Linnertova, D. (2016). “Testing of Short Sale Hypotheses on NYSE”, Procedia - Social and Behavioral Sciences, 220, 261-270.
  • Lynch, A., Nikolic, B., Yan, X. ve Yu, H. (2014). “Aggregate Shortselling, Commonality, and Stock Market Returns”, Journal of Finance, 17, 199-229.
  • Mckenzie, M. ve Henry, O. T. (2012). “The Determinants of Short Selling: Evidence from the Hong Kong Equity Market”, Accounting and Finance, 52 (1), 183-216.
  • Mertzanis, C. (2015). “Short Selling Regulation, Return Volatility and Market Volatility in the Athens Exchange”, Studies in Economics and Finance, 34 (1), 143-164.
  • Nagel, S. (2005). “Short Sales, Institutional Investors and the Cross-Section of Stock Returns”, Journal of Financial Economics, 78, 277-309.
  • Özçalık, S. G. ve Aytekin, S. (2019). “Türkiye Ödünç Pay Piyasası: BIST Bankacılık Endeksi’nde Açığa Satışın Belirleyicileri”, 10. Uluslararası Girişimcilik Kongresi, Özet Bildiri Kitabı: 147.
  • Platt, H. D. (2004). “A Fuller Theory of Short Selling”, Journal of Asset Management, 5 (1), 49-63.
  • Sharma, N. (2017). “Impact of Short Selling in Financial Markets”, Journal of Social Science Research, 11 (3), 2447-2481.
  • Sobaci, C., Sensoy, A. ve Erturk, M. (2014). “Impact of Short Selling Activity on Market Dynamics: Evidence from an Emerging Market”, Journal of Financial Stability, 15, 53-62.
  • Sochi, M. ve Swidler, S. (2018). “A Test of Market Efficiency When Short Selling Is Prohibited: A Case of the Dhaka Stock Exchange”, Journal of Risk and Financial Management, 11 (59), 1-17.
  • Wang, S. F. ve Lee, K. H. (2015). “Do Foreign Short-Sellers Predict Stock Returns? Evidence from Daily Short-Selling in Korean Stock Market”, Pacific-Basin Finance Journal, 32, 56-75.
  • Zhong, Y. ve Li, S. (2016). “Margin Trading and Short Selling on Stock Liquidity: Evidence from the Expansion of Marginal Securities in Chinese Stock Market”, 9th International Symposium on Computational Intelligence and Design, Proceedings Book: 82-86.
There are 36 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Articles
Authors

Nida Abdioğlu 0000-0002-8498-9893

Sinan Aytekin 0000-0003-1502-2643

Publication Date September 30, 2019
Published in Issue Year 2019 Volume: 8 Issue: 3

Cite

APA Abdioğlu, N., & Aytekin, S. (2019). Açığa Satış Fiyatının Belirleyicileri: Borsa İstanbul Mali Endeksi (XUMAL) Üzerinde Bir Uygulama. İnsan Ve Toplum Bilimleri Araştırmaları Dergisi, 8(3), 2081-2098. https://doi.org/10.15869/itobiad.568523

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