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Analysis of trading activity and liquidity in Istanbul Stock Exchange

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dc.contributor Ph.D. Program in Management.
dc.contributor.advisor Okay, Nesrin.
dc.contributor.author Karahan, Mehmet Oğuz.
dc.date.accessioned 2023-03-16T12:16:37Z
dc.date.available 2023-03-16T12:16:37Z
dc.date.issued 2012.
dc.identifier.other AD 2012 K37 PhD
dc.identifier.uri http://digitalarchive.boun.edu.tr/handle/123456789/16905
dc.description.abstract In this dissertation, I examine trading activity and liquidity in Istanbul Stock Exchange (ISE) for a sample of 254 stocks. I observe that trading volume follows an L-shaped pattern in the morning session and a J-shaped pattern in the afternoon session. Duration of high trading activity during open and close of the day diminishes from one-hour period for most active stocks to 5-minute period for least active stocks. For active stocks, I observe concentration in trading immediately after 3:30 pm. Also, I find a significant increase in trading volume during opening periods of both sessions after introduction of order cancellation mechanism. Additionally, intraday behavior of price impact ratios indicate higher illiquidity during the close of morning session. Analysis of different zeros measures suggests that active intraday trading occurs mostly on stocks with high Turkish Lira turnover. Finally, I provide evidence for commonality in trading activity and liquidity in Istanbul Stock Exchange.
dc.format.extent 30 cm.
dc.publisher Thesis (Ph.D.)-Bogazici University. Institute for Graduate Studies in Social Sciences, 2012.
dc.relation Includes appendices.
dc.relation Includes appendices.
dc.title Analysis of trading activity and liquidity in Istanbul Stock Exchange
dc.format.pages vii, 76 leaves ;


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