Using a market model and principal component analysis, we investigate the existence of common effects in order imbalance in the Borsa Istanbul's option market. Accordingly, we find the presence of commonality in order imbalance for call options and an even more dominant presence in put options....

This paper explores the quadratic variation (QV) as an alternative measure to the bid-ask spread in limit order markets when observed at high resolution. Although the spread cannot be precisely estimated because of microstructure noise, the QV of the price series, consisting of the transaction...

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...