An Analysis of patterns and liquidity on the Istanbul Stock Exchange

Bu çalışmada ayrıntılı emir ve işlem verisi kullanılarak, İstanbul Menkul Kıymetler Borsasında alış-satış fiyat aralığı, derinlik, getiri ve işlem hacminin gün içi davranışı incelenmektedir. Fiyat aralıklarının L şeklinde, getiri, işlem sayısı ve işlem hacminin ise U şeklinde bir davranış sergilediği bulunmuştur. Ayrıca yatırımcılar stratejilerini gerçekleştirirken fiyat aralığını ve derinliği aynı anda kullanmaktadırlar Bu bulgulara ek olarak fiyat aralıklarının daha riskli ve daha aktif hisse senetleri için daha yüksek olduğu bulunmuştur. Normal üstü büyüklüğe sahip işlemler ile ölçülen bilgi akışı ise fiyat aralıklarının artmasına sebep olmaktadır. Son olarak, fiyat aralığı, getiri ve işlem hacminde "haftanın günü etkisi" bulunmuştur.

İstanbul Menkul kıymetler Borsasındaki gün içi davranışların ve likiditenin analizi

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. Information 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

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