Özet:

This paper describes the relationship between market microstructure and the prices of financial assets. The finance literature shows that the prices of financial assets are affected by the structures of financial markets. This relationship is explained by liquidity, which has traditionally been measured by the bid-ask spread. Market microstructure research considers liquidity a potential determinant of expected returns. This study also describes that link between liquidity and asset pricing, which has some implications for investment decisions of the firms and investors. The empirical evidence on this issue indicates that liquidity improvements lead to more efficient prices. Recent innovations on the Istanbul Stock Exchange are also expected to enhance the liquidity and price formation of financial assets

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