Abstract
Purpose- According to the theory of efficient markets, market efficiency depends on the speed and accuracy of price adjustment according to new information, and prices change in the light of this new information as new information comes to the market. The speed and full reaction of prices to the information in the market is possible in frictionless capital markets where rational investors with complete information are the market players. Due to market frictions, which are known as factors that prevent the effective and ideal functioning of markets, reduce the effectiveness of markets, interfere and hinder trading and markets, investments cannot be rationally evaluated, and there is an ineffective distribution of resources. In addition, frictional markets can potentially cause a delay in adjusting stock prices according to information due to information imperfections. Therefore, in this study, in order to reveal the causes of price delay in the context of market frictions, the concepts of market friction and price delay were discussed theoretically and conceptually, and studies conducted on the subject in the literature were examined. Methodology- In the study, the concepts of market friction and price delay were discussed, then the literature on the subject was reviewed and examined. Findings- When the studies were examined, it was determined that market frictions negatively affect the spread of information and the transmission of information to stock prices, and it was determined that price delay is mainly related to the factors of transaction volume, firm size, firm recognition and quality of information. Conclusion- Since stock prices are one of the main factors affecting the investment decisions of investors, it is necessary to make the price forecasting correctly in order to make an effective investment decision. This, on the other hand, depends on the fact that the stocks reflect the information instantly and completely to the prices. Therefore, the delay in reflecting new information is a result of market frictions, and it is necessary to know the reasons for market frictions and the price delay that occurs in the context of market frictions. Keywords: Market friction, price delay, price efficiency JEL Codes: G12, G14
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