Banka Opaklığının Hisse Senedi Fiyat Gecikmesine Etkisi: BİST te İşlem Gören Bankalar Üzerine Bir Araştırma (The Effect of Bank Opacity on Stock Price Delay: A Research on Banks Traded on BIST)

Abstract

Purpose – The purpose of this study is to determine the effects of opacity on the stock price delay in banks traded on BIST in the 2007-2019 period. Design/methodology/approach – This research uses the data of stock price, bid-ask spread, share turnover, market capitalization, book-to-market ratio, beta, idiosyncratic volatility, and also for opacity analysis it uses the data of investment securities, deposits, total assets, loans, long-term debt, shareholder equity, debt-to-equity ratio. The parameters of the panel regression model were estimated using the generalized least squares (GLS) estimator. Findings – According to the results, it was observed that the banks which have lower stock price, liquidity, beta; higher idiosyncratic volatility, firm value, non-mortgage loans, other opaque assets (derivative financial assets, fixed assets, intangible assets etc.), deposits, long-term debts, equity and total debt to equity ratio are more opaque, and opacity disrupts the price efficiency of stocks and increases the price delay. Discussion – While the price delay is expected to decrease as the stock turnover rate increases, it is seen in the analysis results that the price delay has increased. It is thought that in inefficient and shallow markets speculative transactions may occur, high volume values may not reflect real buyers-sellers, and the limited number of data in the study causes results contrary to expectations.