IDEAS home Printed from https://ideas.repec.org/a/bdd/journl/v6y2012i2p51-84.html
   My bibliography  Save this article

An Analysis of Intraday Patterns and Liquidity on the Istanbul Stock Exchange

Author

Listed:
  • Bulent KOKSAL

Abstract

We examine the intraday behavior of spreads, depths, returns and volume on the Istanbul Stock Exchange by using detailed order and transaction data for all stocks. We find that spreads follow an L-shaped pattern whereas returns, number of trades and volume follow a U-shaped pattern. Another result is that traders use spreads and depths simultaneously to implement their strategies. In addition, spreads are higher on average for more risky stocks and for more active stocks. Informaiton flow as measured by trades of unusual size causes the spreads to increase. Finally there are day-of-week effects on spreads, returns and share volume.

Suggested Citation

  • Bulent KOKSAL, 2012. "An Analysis of Intraday Patterns and Liquidity on the Istanbul Stock Exchange," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 6(2), pages 51-84.
    • Handle: RePEc:bdd:journl:v:6:y:2012:i:2:p:51-84
    as

    Download full text from publisher

    File URL: http://www.bddk.org.tr/Content/docs/bddkDergiTr/dergi_0012_04.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Erten, Irem & Okay, Nesrin, 2012. "Deciphering Liquidity Risk on the Istanbul Stock Exchange," MPRA Paper 56148, University Library of Munich, Germany, revised 2012.
    2. Valenzuela, Marcela & Zer, Ilknur & Fryzlewicz, Piotr & Rheinlander, Thorsten, 2015. "Relative liquidity and future volatility," LSE Research Online Documents on Economics 62181, London School of Economics and Political Science, LSE Library.
    3. Valenzuela, Marcela & Zer, Ilknur & Fryzlewicz, Piotr & Rheinländer, Thorsten, 2015. "Relative liquidity and future volatility," Journal of Financial Markets, Elsevier, vol. 24(C), pages 25-48.
    4. Piotr Fryzlewicz & Thorsten Rheinlander & Marcela Valenzuela & Ilknur Zer, 2014. "Relative Liquidity and Future Volatility," Finance and Economics Discussion Series 2014-45, Board of Governors of the Federal Reserve System (U.S.).

    More about this item

    Keywords

    Intraday Patterns; Spreads; Returns; Depths; Transaction Volume; Market Liquidty; Limit Order Market; Istanbul Stock Exchange;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bdd:journl:v:6:y:2012:i:2:p:51-84. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sumeyye Azize CENGIZ (email available below). General contact details of provider: https://edirc.repec.org/data/bddgvtr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.