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

Bülent Köksal

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Intraday Patterns; Spreads; Returns; Depths; Transaction Volume; Market Liquidity; Limit Order Market; Istanbul Stock Exchange (search for similar items in EconPapers)
JEL-codes: G15 G20 (search for similar items in EconPapers)
Date: 2012-01
New Economics Papers: this item is included in nep-fmk and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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