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A Statistical Analysis of Intraday Liquidity, Returns and Volatility of an Individual Stock from the Istanbul Stock Exchange

Listed author(s):
  • Cumhur Ekinci

    (CNAM Paris and Aix-Marseille III University)

This paper seeks whether the intraday patterns observed in most stock markets hold for an individual stock from the Istanbul Stock Exchange where the trading ceases for two hours during lunchtime. It investigates the most treated topics in market finance like liquidity, returns and volatility through their various indicators by periodically regrouping transaction data and making use of parametric and nonparametric tests. It excludes the analysis of spread due to its uninformativeness in the presence of very discrete prices. The results show that liquidity- related variables' path can be described by an asymmetric 'W'curve, namely an 'inverse J' curve in the morning session and a 'U' curve in the afternoon session. While returns do not exhibit a precise path, overnight returns are apparent. Price and return volatilities are very high in level and stable during the day. Sensitivity analysis suggests that choice of 5-minute versus 15-minute intervals slightly matters.

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Paper provided by EconWPA in its series Finance with number 0305006.

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Length: 37 pages
Date of creation: 28 May 2003
Date of revision: 22 Nov 2004
Handle: RePEc:wpa:wuwpfi:0305006
Note: Type of Document - PDF; prepared on IBM PC; to print on Brother HL-1030; pages: 37. Comments welcome. Please, do not quote without permission.
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  1. A. Abhyankar & D. Ghosh & E. Levin & R.J. Limmack, 1997. "Bid-ask Spreads, Trading Volume and Volatility: Intra-day Evidence from the London Stock Exchange," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(3), pages 343-362.
  2. Biais, Bruno & Hillion, Pierre & Spatt, Chester, 1995. " An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse," Journal of Finance, American Finance Association, vol. 50(5), pages 1655-1689, December.
  3. Ahn, Hee-Joon & Cheung, Yan-Leung, 1999. "The intraday patterns of the spread and depth in a market without market makers: The Stock Exchange of Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 7(5), pages 539-556, December.
  4. Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
  5. Gunther Capelle-Blancard & Séverine Vandelanoite, 2002. "Relations intrajournalières entre l'indice CAC 40 et les options sur indice : Quel est le marché préféré des investisseurs informés ?," Annals of Economics and Statistics, GENES, issue 66, pages 143-177.
  6. Bildik, Recep, 2001. "Intra-day seasonalities on stock returns: evidence from the Turkish Stock Market," Emerging Markets Review, Elsevier, vol. 2(4), pages 387-417, December.
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