EconPapers    
Economics at your fingertips  
 

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

Bülent Köksal

Working Papers from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

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. Information 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 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
New Economics Papers: this item is included in nep-fmk, nep-ict and nep-mst
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN ... g+Paperss/2012/12-26 (application/pdf)

Related works:
Journal Article: An Analysis of Intraday Patterns and Liquidity on the Istanbul Stock Exchange (2012) Downloads
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:tcb:wpaper:1226

Access Statistics for this paper

More papers in Working Papers from Research and Monetary Policy Department, Central Bank of the Republic of Turkey Contact information at EDIRC.
Bibliographic data for series maintained by Sermet Pekin () and Ilker Cakar () and ().

 
Page updated 2023-06-15
Handle: RePEc:tcb:wpaper:1226