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

Bülent Köksal

Journal of BRSA Banking and Financial Markets, 2012, vol. 6, issue 2, 51-84

Abstract: 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. Informaiton 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.

Keywords: Intraday Patterns; Spreads; Returns; Depths; Transaction Volume; Market Liquidty; Limit Order Market; Istanbul Stock Exchange (search for similar items in EconPapers)
JEL-codes: G15 G20 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:bdd:journl:v:6:y:2012:i:2:p:51-84

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