Market impacts of trades for stocks listed on the Borsa Istanbul

Osman Ulas Aktas and Lawrence Kryzanowski

Emerging Markets Review, 2014, vol. 20, issue C, 152-175

Abstract: Trade price effects and their determinants for BIST-30 index constituents are examined for a period that includes the Global Financial Crisis and the Lehman collapse. Consistent with theoretical predications, we find that informed trades in the BIST tend to be large. Our findings that price discovery appears to be fairly rapid on the BIST and that the average multi-sample stock trade price effect of less than 30 basis points is competitive with other markets have important implications for the purchase and execution decisions of investors. Our finding of positive mean price effects for short trades that are larger for seller-initiated trades and larger than for long trades has implications for the ongoing debate about the regulation of short sales since it suggest that the average short sale does not depress prices. Furthermore, the higher price effects of (especially buyer-initiated) trades in the last minutes of a trading session and the variation in price effects with whether the client-broker relationship is agency, principal or mixed have important implications for market regulators in terms of refining their surveillance systems to better control any inappropriate stealth trading or end-of-session price manipulation.

Keywords: Price effects; Market microstructure; Emerging stock market; Short sales; Client–broker relations; Price manipulation (search for similar items in EconPapers)
JEL-codes: C52 G10 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:20:y:2014:i:c:p:152-175

DOI: 10.1016/j.ememar.2014.06.002

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