The accuracy of five algorithms for classifying trades as buyer- or seller-initiated is assessed for BIST-30 index constituents over a period including the Lehman collapse. The highest classification accuracy rate (over 95%) is for the one-second lagged Lee & Ready (LR) algorithm. The LR's...

Trade price effects and their determinants for BIST-30 index constituents are examined for a period that includes the Global Financial Crisis and the Lehman collapse. Consistent with theoretical predications, we find that informed trades in the BIST tend to be large. Our findings that price...