Turkiye'nin Finansal Piyasa Likiditesi, Olcumu ve Analizi

Abstract

In this study, a market liquidity index for Turkey is built, which presents information about the course of the liquidity in the financial markets. Moreover, the impact of the 2007-2009 global financial crisis on Turkey's financial system is examined by comparing the index to VIX, a risk appetite and a volatility indicator. According to the conducted stochastic analysis, the results suggest that Turkish financial markets were affected by the said global crisis for a shorter period of time compared to the financial markets in the US.Market liquidity index, Bid-ask spread, illiquidity ratio, SWARCH