Devlet Ic Borclanma Senetleri Ikincil Piyasa Likiditesini Etkileyen Faktorler

Erkan Kilimci, Hakan Er and Irfan Cercil

CBT Research Notes in Economics from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: [TR] Bu notla, Turkiye Devlet Ic Borclanma Senetleri (DIBS) ikincil piyasa likiditesini etkileyen faktorlerin belirlenmesi amaclanmaktadir. Bu dogrultuda, sabit getirili menkul kiymetlere yatirim yapan piyasa oyuncularinin karsi karsiya oldugu cesitli risk gruplari belirlenerek, soz konusu risklerin DIBS ikincil piyasa likiditesine etkileri incelenmistir. Bu kapsamda, faiz riski, faiz oynakligi, ara kazanc ticareti (carry) imkani artislari, kur riski ve kur oynakliginin DIBS ikincil piyasa islem hacimleri ve alim-satim fiyat araligi uzerindeki etkileri panel veri analizi yardimiyla arastirilmistir. Analiz sonuclarina gore, soz konusu risk faktorlerinin DIBS piyasasi likiditesi uzerinde etkili olduklari, en buyuk etkilerin ise kur riski, faiz riski ve faiz oynakligi degiskenlerinden kaynaklandigi belirlenmistir. Son olarak, analiz sonuclari temel alinarak DIBS piyasasi icin bir likidite endeksi olusturulmustur. [EN] In this note, we try to identify the factors that affect the secondary market liquidity of the Government Domestic Debt Securities (GDDS) of Turkey. For this purpose, by underlining the financial fluctuations which account for most of the risks associated with exposures to fixed income securities, we investigate if these fluctuations affect the secondary market liquidity of the GDDS. By utilizing a panel data model, we analyze the effects of interest rate risk, interest rate volatility, currency risk, currency volatility and carry opportunity variables on the trading volume and the bid-ask spreads of the benchmark bonds. We find that mentioned explanatory risk factors are indeed affecting the secondary market liquidity, with most of the risks coming from currency risk, interest rate risk and interest rate volatility. Finally, by using our model’s results, we have built a liquidity index for the secondary market of the GDDS.

Date: 2014
New Economics Papers: this item is included in nep-ara and nep-cwa
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Persistent link: https://EconPapers.repec.org/RePEc:tcb:econot:1419

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