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Journals / Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2022 / Cilt: 40 Sayı: 4

Noise Trading in Borsa Istanbul: Measuring the Noise Effect on Returns by Egarch-M Model

BORSA İSTANBUL’DA GÜRÜLTÜYE DAYALI İŞLEM: EGARCH-M MODELİ İLE GETİRİ ORANLARI ÜZERİNDEKİ GÜRÜLTÜ ETKİSİNİN ÖLÇÜMESİ

Serdar Bahar(Denizbank Yatırım Hizmetleri Grubu, Bilgi Teknolojileri Koordinasyon Bölümü.)0000-0002-2076-1523
Erdinç Altay(İSTANBUL ÜNİVERSİTESİ)0000-0002-4461-3891
Pages
721–741
Publication Date
2022-12-27
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The results show that noise has increasing effect on BIST-100 index returns while information has decreasing effect, but we can conclude that the effects of noise and information are unpredictable because both effects are statistically insignificant.

📌 3 Key Takeaways

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Objective & Hypothesis:In the literature it is a common view that the noise trading, which can be defined as non-informative transactions which are not based on new information has distorting effects on the prices of financial assets and creates noise trading risk in the market.
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Key Findings & Data:In this study, the noise and information effects on the BIST-100 index returns are estimated in the period of 20.04.2000-17.09.2021 by employing an EGARCH-M model, which is an approach suitable for the heteroscedasticity, leptocurtic distribution and asymmetric reaction to information.
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Conclusion & Impact:The results show that noise has increasing effect on BIST-100 index returns while information has decreasing effect, but we can conclude that the effects of noise and information are unpredictable because both effects are statistically insignificant.
🔬Design:Modeling & Simulation
📍Scope:2000 Verileri
⚙️Variables:Gürültü · Gürültüye dayalı işlem · irrasyonel yatırımcılar

Abstract

In the literature it is a common view that the noise trading, which can be defined as non-informative transactions which are not based on new information has distorting effects on the prices of financial assets and creates noise trading risk in the market. The presence of noise and its effect on asset prices are tried to be measured by using quite different methods. In this study, the noise and information effects on the BIST-100 index returns are estimated in the period of 20.04.2000-17.09.2021 by employing an EGARCH-M model, which is an approach suitable for the heteroscedasticity, leptocurtic distribution and asymmetric reaction to information. EGARCH-M method enables the measurement of noise in Borsa Istanbul and the change of noise risk over time by avoiding the disadvantages of alternative noise measurement approaches. The findings show that the effect of the information on BIST-100 index volatility presents asymmetric characteristics. According to the evidence, the effect of negative information is higher than the effect of positive information. The results show that noise has increasing effect on BIST-100 index returns while information has decreasing effect, but we can conclude that the effects of noise and information are unpredictable because both effects are statistically insignificant.

Özet

Varlıkların temel değeri üzerinde etkisi olması gereken bilgi dışında yer alan ve rasyonel temelli alım satım işlemi dışında yeni bir habere dayalı olmayan işlemler olarak tanımlanabilen gürültüye dayalı işlemin finansal varlıkların fiyatları üzerinde bozucu bir etkiye sahip olduğu ve gürültüye dayalı işlem riskini oluşturduğu yaygın bir görüş olarak literatürde yer almaktadır. Gürültü olgusunun varlığı ve varlık fiyatları üzerindeki etkisinin ölçülmesi ise birbirinden oldukça farklı yöntemlerle yapılmaya çalışılmaktadır. Bu çalışmada 20.04.2000-17.09.2021 döneminde BİST-100 endeksi finansal zaman serilerinin gösterdiği değişen varyans, kalın kuyruklu dağılım ve bilgiye karşı asimetrik reaksiyona uygun bir yaklaşım olan EGARCH-M yöntemi ile modellenerek getiri oranı üzerindeki gürültü ve bilgi etkilerinin tahmin edilmesi amaçlanmıştır. Böylelikle alternatif gürültü ölçüm yaklaşımlarının literatürde belirtilen dezavantajlara sahip olmayan bir yöntemle gürültünün Borsa İstanbul’daki varlığının ölçümü ve gürültü riskinin zaman içindeki değişimi ortaya konulmuştur. Elde edilen bulgular piyasaya giren bilginin BİST-100 endeksi volatilitesi üzerindeki etkisinin asimetrik olduğu, olumsuz bilgilerin etkisinin olumlu bilgilerden daha fazla olduğu, gürültünün BİST-100 endeksi getiri oranları üzerindeki etki ortalamasının artırıcı, bilginin ise düşürücü olduğu ancak her iki etki ortalamasının da istatistiksel olarak anlamlı olmaması nedeniyle tahmin edilebilirliklerinin güç olduğu şeklindedir.

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Cite This Article

Bahar, S., Altay, E. (2022). Noise Trading in Borsa Istanbul: Measuring the Noise Effect on Returns by Egarch-M Model. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt: 40 Sayı: 4, 721–741. https://doi.org/10.17065/huniibf.1004363

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