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

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  • Köksal, Bülent

Abstract

We analyze different dimensions of liquidity on the Istanbul Stock Exchange (ISE) by using detailed order and transaction data for all ISE stocks. We estimate the limit order book on the ISE at each point in time and examine the intraday behavior of spreads, depths, returns and volume. We find that the spreads follow an L-shaped pattern whereas returns, number of trades and volume follow a U-shaped pattern. Means of these liquidity variables are significantly different for different time intervals in a given day. Another result is that traders use spreads and depths simultaneously to implement their strategies, i.e., wide spreads are accompanied by low depths and vice versa. We also find that spreads are higher on average for more risky stocks and for more active stocks. Measure of information flow as signaled 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

  • Köksal, Bülent, 2012. "An Analysis of Intraday Patterns and Liquidity on the Istanbul Stock Exchange," MPRA Paper 35968, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:35968
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    File URL: https://mpra.ub.uni-muenchen.de/36495/1/MPRA_paper_36495.pdf
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    References listed on IDEAS

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    4. Aggarwal, Raj & Gruca, Edward, 1993. "Intraday Trading Patterns in the Equity Options Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 16(4), pages 285-297, Winter.
    5. Lee, Charles M C & Mucklow, Belinda & Ready, Mark J, 1993. "Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 345-374.
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    Cited by:

    1. 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.

    More about this item

    Keywords

    Intraday Patterns; Spreads; Returns; Depths; Transaction Volume; Market Liquidity; Limit Order Market; Istanbul Stock Exchange;

    JEL classification:

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

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