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Big players’ aggregated trading and market returns in Istanbul Stock Exchange


  • Numan Ülkü


This study uses a special data set, derived from member brokers’ transactions, as a proxy for big players’ trading. Big players as represented by this variable include institutional, big individual and foreign traders, and these groups are not mutually exclusive. The interaction between big players’ trading and market returns is analysed using a structural Vector Autoregressive (VAR) model. Big trader flows are strongly positively associated with contemporaneous returns, exhibit persistence (possibly indicative of herding), positive feedback trading and little forecast ability. The tendency to herd is stronger than to positive feedback trade. Big players’ trading is correlated with information, and the apparent positive feedback trading seems to result from delayed response to information rather than naively following past returns. Asymmetric price impact of buys versus sells is driven by the underlying market conditions.

Suggested Citation

  • Numan Ülkü, 2012. "Big players’ aggregated trading and market returns in Istanbul Stock Exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 22(6), pages 491-508, March.
  • Handle: RePEc:taf:apfiec:v:22:y:2012:i:6:p:491-508
    DOI: 10.1080/09603107.2011.619492

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