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An agent-based model of financial market efficiency dynamics

El Oubani, Ahmed; Lekhal, Mostafa - In: Borsa Istanbul Review 22 (2022) 4, pp. 699-710

of equilibrium prices and market efficiency dynamics. Our model combines heterogeneous interacting agents, switching …

Persistent link: https://www.econbiz.de/10013334820

An empirical analysis of trading volume and return volatility relationship on Istanbul stock exchange national -100 Index

Oral, Ece - In: Journal of applied finance & banking 2 (2012) 5, pp. 149-158

It is a well-known fact that most of the asset returns tend to be skewed and heavytailed. Heavy tailed distributions such as the Student’s t distribution and Stable distribution are commonly used in finance to model asset returns that areheavy tailed. Additionally, Stable distribution allows...

Persistent link: https://www.econbiz.de/10009673701

Tick size, liquid stocks and market quality : evidence from a natural experiment in a unique setting

Gülay, Güzhan; Ersan, Yaşar - In: Borsa Istanbul Review 23 (2023) 5, pp. 1037-1057

We study the causal impacts of a tick size reduction policy in highly liquid stocks, exploiting a unique experiment in Borsa Istanbul leading to substantial exogenous variation in the tick size. Adapting a differences-in-differences strategy with a novel limit order and trade book data with...

Persistent link: https://www.econbiz.de/10014383529

A comparison of bid-ask spread proxies and determinants of bond bid-ask spread

Su, Emre; Tokmakcioglu, Kaya - In: Borsa Istanbul Review 21 (2021) 3, pp. 227-238

measures are able to proxy spread dynamics, and one of the measures, Closing Percent Quoted Spread, dominates others …

Persistent link: https://www.econbiz.de/10012816797

Stock liquidity, stock price crash risk, and foreign ownership

Alp, Ozge Sezgin; Canbaloglu, Bilge; Gurgun, Gozde - In: Borsa Istanbul Review 22 (2022) 3, pp. 477-486

This study examines the impact of stock market liquidity on a stock price crash, using firm data from Borsa Istanbul for the period 2009-2019. The results show that higher stock liquidity increases the likelihood of stock price crashes, but this positive link is not driven by blockholder...

Persistent link: https://www.econbiz.de/10013334773

Tan, Selin Duz - In: Borsa Istanbul Review 22 (2022) 4, pp. 812-827

This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market …

Persistent link: https://www.econbiz.de/10013334839

Idiosyncratic risk puzzle and its pricing : do firm characteristics matter? Evidence of BRICS countries

Kausar, Saba; Rashid, Abdul; Shah, Zulfiqar Ali - In: Borsa Istanbul Review 23 (2023) 1, pp. 149-168

This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries by applying parametric and nonparametric approaches. It also explores the idiosyncratic risk puzzle by dividing firms into groups based on...

Persistent link: https://www.econbiz.de/10014307488

Information shocks and the cross section of expected returns

Savaser, Tanseli; Tiniç, Murat - In: Borsa Istanbul Review 23 (2023) 2, pp. 378-401

This paper examines the risk premium associated with information shocks in equity markets. For all stocks traded on … Borsa Istanbul between March 2005 and December 2020, we calculate information shocks as unanticipated information asymmetry … a significant return premium for an information shock strategy. Specifically, the return premium associated with the …

Persistent link: https://www.econbiz.de/10014307769

Does a search attention index explain portfolio returns in India?

Dharani, Munusamy; Hassan, M. Kabir; Abedin, Mohammad Zoynul - In: Borsa Istanbul Review 22 (2022) 2, pp. 226-239

Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI) explains the variation in the weekly excess return of stocks. The study finds that the estimated abnormal return of a portfolio based on search intensity is significantly high...

Persistent link: https://www.econbiz.de/10013183936

Testing mispricing-augmented factor models in an emerging market : a quest for parsimony

Ali, Fahad - In: Borsa Istanbul Review 22 (2022) 2, pp. 272-284

information that cannot be described by other factors under study. Finally, this study proposes a parsimonious four-factor model …

Persistent link: https://www.econbiz.de/10013184079