Big players’ aggregated trading and market returns in Istanbul Stock Exchange

Numan Ülkü

Applied Financial Economics, 2012, vol. 22, issue 6, 491-508

Abstract: This study uses a special data set, derived from member brokers’ transactions, as a proxy for big players’ trading. Big players as represented by this variable include institutional, big individual and foreign traders, and these groups are not mutually exclusive. The interaction between big players’ trading and market returns is analysed using a structural Vector Autoregressive (VAR) model. Big trader flows are strongly positively associated with contemporaneous returns, exhibit persistence (possibly indicative of herding), positive feedback trading and little forecast ability. The tendency to herd is stronger than to positive feedback trade. Big players’ trading is correlated with information, and the apparent positive feedback trading seems to result from delayed response to information rather than naively following past returns. Asymmetric price impact of buys versus sells is driven by the underlying market conditions.

Date: 2012
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/09603107.2011.619492 (text/html)
Access to full text is restricted to subscribers.

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:taf:apfiec:v:22:y:2012:i:6:p:491-508

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603107.2011.619492

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().