Analysing the dynamic influence of US macroeconomic news releases on Turkish stock markets

Cumhur Ekinci, Erdinc Akyildirim and Shaen Corbet

Finance Research Letters, 2019, vol. 31, issue C, 155-164

Abstract: We investigate the effects of macroeconomic announcements made in the United States on trading activity of stocks listed in Borsa Istanbul. The influence of these releases on the selected variables are an important source of information for market participants. Results show a clear negative impact on weighted bid, ask and mid-prices in the five-minute period post-release. Available liquidity measured by pending orders in limit order book decreases with the news arrival. These results present implications for market dynamics and signal that liquidity consumption (through market orders) largely dominates liquidity provision (through limit orders) in the five-minute period following the release.

Keywords: US macroeconomic announcements; Stocks; Liquidity; High-frequency data; Trading; Borsa Istanbul (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S154461231930128X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:p:155-164

DOI: 10.1016/j.frl.2019.04.021

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().