Coskun, Yener and Cetin, Muge (2018): MENKUL KIYMET BORSALARINDA PİYASA MİKRO YAPISI: TASARIM VE RİSKLER. Published in: Finansın Temel Teorileri Ed. Gündoğdu, A., Beta Yayınevi, Istanbul, Turkey (2018): pp. 279-312.
Preview |
PDF
MPRA_paper_105590.pdf Download (553kB) | Preview |
Abstract
Bu çalışmada menkul kıymet borsalarındaki PMY incelenmektedir. Çalışma yöntem olarak kuramsal/uygulamalı yazın taramasına ve örnek olay analizlerine dayanmaktadır. İnceleme sonucunda, PMY’nin menkul kıymet borsalarındaki fiyat oluşum sürecinin önemli belirleyicilerden biri olduğu ve PMY’nin etkin tasarımının piyasa likiditesini/etkinliğini olumlu yönde etkileyebileceği sonucuna ulaşılmıştır.
Item Type: | MPRA Paper |
---|---|
Original Title: | MENKUL KIYMET BORSALARINDA PİYASA MİKRO YAPISI: TASARIM VE RİSKLER |
English Title: | STOCK EXCHANGE MICROSTRUCTURE: DESIGN and RISKS |
Language: | Turkish |
Keywords: | Piyasa Mikro Yapısı, Borsa, Kör Havuz, Alternatif İşlem Sistemleri |
Subjects: | G - Financial Economics > G1 - General Financial Markets > G10 - General |
Item ID: | 105590 |
Depositing User: | Dr Müge Çetin |
Date Deposited: | 17 Oct 2024 21:01 |
Last Modified: | 17 Oct 2024 21:01 |
References: | Admati, A., and P. Pfleiderer, (1989), “Divide and Conquer: A theory of Intraday and Day-of-the-Week Mean Effects”, Review of Financial Studies 2, 189-224. Aguilar, L., (2015), Shedding Light on Dark Pools, Securities and Exchange Commission Public Statement, Internet: www.sec.gov/news/statement, (Erişim Tarihi: 19.09.2017). Amihud, Y. ve H. Mendelson, (1987), “Trading Mechanisms and Stock Returns: An Emprical Investigation”, Journal of Finance 42, 533-555. Amihud, Y., H. Mendelson ve B. Lauterbach, (1997), “Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange”, Journal of Financial Economics 45, 365-390 Bacidore, J.M., R. Battalio, R. Jennings, ve S. Farkas, (2001), “Changes in Order Characteristics, Displayed Liquidity and Execution Quality on The NYSE Around The Switch to Decimal Pricing”, Working paper, NYSE. Bagehot, W., (1971), “The Only Game in Town”, Financial Analysts Journal 27, 12-14, 22. Bank for International Settlements (BIS) (2001), Committee on the Global Financial System (2001), The Implications of Electronic Trading in Financial Markets, Working Group Report, January 2001, Internet: www.bis.org/publ/cgfs16.pdf, (Erişim tarihi: 15.11.2017). (2011), High-Frequency Trading in The Foreign Exchange Market, Working Paper September 2011, Internet: www.bis.org/publ/mktc05.pdf, (Erişim Tarihi: 15.11.2017). Bank of Japan (BOJ), (2001), Increasing Use of Electronic Trading Systems and Its Implications on Japanese Financial Markets, Market Review July 2001, Internet: www.boj.or.jp/en/research/wps_rev/mkr/data/kmr01e02.pdf, (Erişim tarihi: 15.11.2017). Bessembinder, H., ve H. Kaufman, (1997), “A Cross-exchange Comparison of Execution Costs and Information Flow for NYSE-listed Stocks”, Journal of Financial Economics 46, 293-319. Bessembinder, H., (2003), “Trade Execution Costs and Market Quality After Decimalization”, Journal of Financial and Quantitative Analysis 38, 233-257. Biais, B., S. Pouget, (2000), “Microstructure, Incentives and Equilibrium Discovery in Experimental Financial Markets”, Working Paper, Toulouse University. Biais, B., L. Glosten ve C. Spatt, C., (2005), “Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications”, Journal of Financial Markets, 8 (2), 217-264. Bildik, R., (2001), “Intra-day Seasonalities On Stock Returns: Evidence from the Turkish Stock Market”, Emerging Market Review 2, 387-417. Blume, M., M. Goldstein, (1997), “Quotes, Order Flow and Price Discovery”, Journal of Finance 52, 221-244. Boehmer E., G. Saar ve L. Yu, (2005), “Lifting the Veil: An Analysis of Pre-Trade Transparency at the NYSE”, Journal of Finance 60, 783-815. Borsa İstanbul (BİST), (2017), Devre Kesici, Internet: www.borsaistanbul.com/ urunler-ve-piyasalar/piyasalar/pay-piyasasi/devre-kesici, (Erişim Tarihi: 4.12.2017). Brennan, M. J., S. W. Huh, ve A. Subrahmanyam, (2014), “Asymmetric Effects of Informed Trading On The Cost Of Equity Capital”, Internet: https://doi. org/10.1287/mnsc.2015.2250. Business Insider (2011), Black Box Trading: Computers Taking Over Wall Street?. August 15, Internet: www.businessinsider.com/black-box-trading-computers-taking-over- wall-street-2011-8, (Erişim Tarihi: 7.11.2017). (2015), There Are Still a Lot of Unanswered Questions Surrounding Last October’s Bond Market ‘Flash Crash’, March 30, www.businessinsider.com/october- bond-market-flash-crash-2015-3, (Erişim Tarihi: 7.11.2017). Buti, S., (2007), “A Challenger to the Limit Order Book: The NYSE Specialist”, Working paper, University of Toronto. Carlson M., (2007), A Brief History of the 1987 Market Crash with a Discussion of the Federal Reserve Response, Staff Working Papers 2007, Internet: www. federalreserve.gov/PUBS/FEDS/2007/200713/200713pap.pdf, (Erişim Tarihi: 11.11.2017). CFTC ve SEC, (2010), “Findings Regarding the Market Events of May 6, 2010”, Report of the Staffs of The CFTC and SEC to the Joint Advisory Committee on Emerging Regulatory Issues, September 30. Chau, C., (2013), Market Microstructure Studies: Liquidity, Price Discovery and Manipulation, Doctor of Phisophy Thesis, University of Wollongong, Internet: http://ro.uow.edu.au/cgi/viewcontent.cgi?article =4928&context=theses, (Erişim Tarihi: 15.11.2017). Chordia, T., R. Roll ve A. Subrahmanyam, (2011), “Recent Trends in Trading Activity and Market Quality”, Journal of Financial Economics, 101(2), 243-263. Cohen, K., S. Maier, R. Schwartz ve D. Whitcomb, (1981), “Transactions Costs, Order Placement Strategy, and Existence of the Bid-Ask Spread”, Journal of Political Economy 89, 287–305. Coşkun, Y., (2010), “Kredili İşlemler ve Küresel Kriz Açısından İMKB’de Açığa Satış İşlemleri”, Finans Politik & Ekonomik Yorumlar Dergisi, 47 (547), 69-86. Coşkun, Y. ve Ü. Seven, (2016), Etkin Piyasalar Hipotezi ve BİST’in Zayıf Form Etkinlik Analizi (içinde, Finansal Piyasalar ve Kurumlar: Teori ve Türkiye Uygulamasına Güncel Bakış, Bölüm 9, Seçkin Yayınevi, Ed: Aysel Gündoğdu, ISBN: 978-975-02-3765-2): ss. 289-319. Copeland, T., ve D. Galai, (1983), “Information Effects and the Bid-Ask Spread”, Journal of Finance 38, 1457-1469. Corwin S., ve M. Lipson, (2000), “Order Flow and Liquidity Around NYSE Trading Halts”, Journal of Finance 55, 1771-1805. Demsetz, H., (1968), “The Cost of Transacting”, Quarterly Journal of Economics 82, 33-53. Easley, D. and M. O’Hara (1987), “Price, Trade Size and Information in Securities Markets, Journal of Financial Economics 19, 69-90. (1991), Order Form and Information in Securities Markets”, Journal of Finance 46, 905-928. Ersan, O. ve C. Ekinci, (2016), “Algorithmic and High-Frequency Trading in Borsa Istanbul”, Borsa Istanbul Review, 16 (4), 233-48. Fama, E., (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance 25, 383-417. Forster, M., and T. George, (1992), “Anonimity in Securities Markets”, Journal of Financial Intermediation 2, 168-206. Fortune, P.,(1993), “Stock Market Crashes: What Have We Learned From October 1987”, New England Eonomic Review, March/April 1993, 3-24. Fortune, (2013), Why We Could Easily Have Another Flash Crash, August 9, Internet: www.f orbes.com/sites/deborahljacobs/2013/08/09/why-we-could-easily- have-another-flash-crash/#12dc581cdd56, (Erişim Tarihi: 15.11.2017). Garman, M. B., (1976), “Market Microstructure”, Journal of Financial Economics 3 (3), 257–275. Glosten, L.R., (1994), “Is the Electronic Open Limit Order Book Inevitable?”, The Journal of Finance 49, 1127–1161. Glosten, L., and P. Milgrom, (1985), “Bid, Ask, and Trnsactions Prices in a Specialist Market with Heterogeneously Informed Traders”, Journal of Financial Economics 13, 71-100. Goldstein, M., A. Kavajecz, (2000), “Eighths, Sixteenths and Market Depth: Changes in Tick Size and Liquidity Provision on the NYSE”, Journal of Financial Economics 56, 125–149. Grossman, S., (1992), “The Information Role of Upstairs and Downstairs Markets”, Journal of Business 65, 509-529. Harris, L., (2003), Trading and Exchanges: Market Microstructure for Practitioners, Oxford University Press, 2003. Hasbrouck, J., and G. Sofianos, (1993), “The Trades of Market Markers: An Empirical Analysis of NYSE Specialist”, Journal of Finance 48, 1565-1594. Hendershott, T. ve H. Mendelson (2000), “Crossing Networks and Dealer Markets: Competition and Performance”, Journal of Finance 55, 2071–2115. Hillion, P. ve M. Suominen, (2004), “The Manipulation of Closing Prices”, Journal of Financial Markets 7, 351-375. Ho, T., R. Schwartz,, R. Whitcomb, (1985), “The Trading Decision and Market Clearing Under Transaction Price Uncertainty”, Journal of Finance 40, 21-42. IOSCO (2010), “Issues Raised by Dark Liquidity”, Consultation Report, CR05/10, IOSCO Technical Committee. Jain, Pankaj K., (2004), Financial Market Design and Equity Premium: Electronic versus Floor Trading (February 2004), AFA 2004 San Diego Meetings, Internet: https://ssrn.com/abstract=470766 or http://dx.doi.org/10.2139/ssrn.470766, (Erişim Tarihi: 8.11.2017). Kadıoğlu, E., (2014), “Borsa İstanbul’un Mikro Yapısındaki Değişikliklerin Gün İçi Getiri, Volatilite ve Kapanış Fiyatına Etkisi”, Doktora Tezi, Sosyal Bilimler Enstitüsü, Başkent Üniversitesi. Keim, D., ve Madhavan A., (1996), “The Upstairs Market for Large Block Transactions: Analysis and Mesaurement of Price Effects”, Review of Financial Studies 9, 1-36. Kelley, E. K., P. C. Tetlock, (2013), “How Wise Are Crowds? Insights From Retail Orders and Stock Returns”, Journal of Finance 68, 1229-1265. Krishnamurti, C., (2009), Introduction to Market Microstructure. (in, Investment Management: A Modern Guide to Security Analysis and Stock Selection, Springer, ISBN: 978-3-540-88802-4): ss. 13-29. Küçükkocaoğlu, G., (2005), “Borsa İstanbul’da Gün İçi Getiri, Volatilite ve Kapanış Fiyatı Manipülasyonu”, Sermaye Piyasası Kurulu, Yayın No: 180, Ankara. Kyle, A., (1985), “Continuous Auctions and Insider Trading”, Econometrica 53, 1315–1335. Lee, E.J., K.S. Eom, ve K.S. Park, (2013), “Microstructure-based Manipulation: Strategic Behavior and Performance of Spoofing Traders”, Journal of Financial Markets 16 (2), 227-252. Madhavan, A., S. Smidt, (1993), “An Analysis of Changes In Specialist Quotes and Inventories”, Journal of Finance 48, 1595-1628. Madhavan, A., G. Sofianos, (1997), “An Empirical Analysis of NYSE Specialist Trading”, Journal of Financial Economics 48, 189-210. Madhavan, A., (2000), “Market Microstructure: A Survey”, Journal of Financial Markets, 3 (3), 205-258. Malinova, K., A. Park, (2013), “Liquidity, Volume and Price Efficiency: The Impact of Order vs. Quote Driven Trading”, Journal of Financial Markets 16, 104-126. Mendelson, H., (1982), “Market Behavior in a Clearinghouse”, Econometrica 50, 1505-1524. Miller, R.S., G. Shorter, (2016), “High Frequency Trading: Overview of Recent Developments”, Congressional Research Service Report, Internet: https://fas.org/ sgp/crs/misc/R44443.pdf, (Erişim Tarihi: 14.11.2017). Muranaga, J. ve Shimizu, T., (1999), “Market Microstructure and Market Liquidity”, Bank for International Settlements, www.bis.org/publ/cgfs11mura_a.pdf, (Erişim Tarihi: 29.11.2017). Niederhoffer, V., M.F.M. Osborne, (1966), “Market Making and Reversal On the Stock Exchange”, Journal of the American Statistical Association 61, 897-916. Nimalendran, M., S. Ray (2014), “Informational Linkages Between Dark and Lit TradingVenues”, Journal of Financial Markets 17, 230-261. Nytimes, (2010), Lone $4.1 Billion Sale Led to ‘Flash Crash’ in May, October 1, Internet: www.nytimes.com/2010/10/02/business/02flash.html, (Erişim Tarihi: 6.9.2017). O’Hara, M., G., Oldfield, (1986), “The Microeconomics of Market Making”, Journal of Financial and Quantitative Analysis 21, 361-376. O’Hara, M., (1995), Market Microstructure Theory, Basil Blackwell, Cambridge, MA. O’Hara, M., (2014), “High-Frequency Trading and Its Impact on Markets”, Financial Analysts Journal 70, 3-27. Oliver Wyman ve World Federation of Exchanges, (2016), Enhancing Liquidity in Emerging Market Exchanges, Internet: http://www.oliverwyman.com/content/ dam/oliver-wyman/global/en/2016/oct/Liquidity-in-Emerging-Markets-Exchanges-. pdf, (Erişim Tarihi:14.11.2017). Petrescu M., M. Wedow, (2017), “Dark Pools in European Equity Markets: Emergence, Competition and Implications”, European Central Bank Occasional Paper Series No:193. Ready, M.J., (2012), “Determinants of Volume in Dark Pools”, Working Paper, University of Wisconsin. Rock, K., (1991), “The Specialist’s Order Book and Price Anomalies”, Working paper, Harvard University. Saar, G., (2010), Specialist Markets, in Encyclopedia of Quantitative Finance, ed. Rama Cont, John Wiley & Sons, Chichester. Securities and Exchange Commission (SEC) (1988), The October 1987 Market Break, A Report by Division of Market Regulation Department, Internet: http://3197d6d14b5f19f2f440-5e13d29c4c016cf96cbbfd197c579b45. r81.cf1.rackcdn.com/collection/papers/1980/1988_0201_MarketBreak_ 01.pdf, (Erişim Tarihi: 16.11.2017). (2010), SEC Approves New Rules Prohibiting Market Maker Stub Quotes, Internet: www.sec.gov/news/press/2010/2010-216.htm, (Erişim Tarihi: 18.10.2017). Smidt, S., (1971), The Road to An Efficient Market, Financial Analysts Journal 27, 18-20, 64-69. Solomon, L. ve H., Dicker, (1988), “The Crash of 1987: A Legal and Public Policy Analysis”, Fordham Law Review 57, 191-252. Spulber, D.F., (1996), Market Microstructure and Intermediation, Journal of Economic Perspectives, 10 (3), 135-152. Temizel, F.,(2005), “Borsa İstanbul’da Hisse Senedi Fiyatlarının Gün İçi Yapıları”, Doktora Tezi (Yayınlanmamış Çalışma), Anadolu Üniversitesi, Eskişehir. The New York Times, (2017)., A Stock Market Crash Like 1987 Could Happen Again, October 19. Internet: www.nytimes.com/2017/10/19/business/stock-market- crash-1987.html, (Erişim Tarihi: 14.11.2017). Tezölmez, H., (2000), “Intraday Patterns in Istanbul Stock Exchange Index and Effect of Public Information On Return Volatility”, Doktora Tezi (Yayınlanmamış Çalışma), Boğaziçi Üniversitesi, İstanbul. Vayanos, D., (1999), “Strategic Trading and Welfare in A Dynamic Market”, Review of Economic Studies 66, 219-254. Wall Street Journal, (2010), Investors, Regulators Laid Path to ‘Flash Crash’, September 29, Internet: www.wsj.com/articles/SB10001424052748704791004575520363764665240, (Erişim Tarihi: 18.10.2017). (2015), 5 Charts From the Week in the Markets, May 8, Internet: https://blogs.wsj. com/briefly/2015/05/08/5-charts-from-the-week-in-markets-9,(Erişim Tarihi: 18.10.2017). Wigmore, B., (1998), “Revisiting the October 1897 Crash”, Financial Analysts Journal, January/February 1998, 36-48. Ye, M., (2011), “A Glimpse into The Dark: Price Formation, Transaction Cost And Market Share Of The Crossing Network”, Working paper, University of Illinois. Zhu, H., (2011), “Do Dark Pools Harm Price Discovery?”, MIT Working Paper. |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/105590 |