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Order imbalance and commonality : evidence from the options market

Omole, John; Sensoy, Ahmet; Gulay, Guzhan - In: Borsa Istanbul Review 22 (2022) 1, pp. 1-11

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....

Persistent link: https://www.econbiz.de/10012817765

Commonality in FX liquidity : high-frequency evidence

Sensoy, Ahmet; Uzun, Sevcan; Lucey, Brian M. - In: Finance research letters 39 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10012805184

Big data analytics, order imbalance and the predictability of stock returns

Akyildirim, Erdinc; Sensoy, Ahmet; Gulay, Guzhan; … - In: Journal of multinational financial management 62 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10013271582

Commonality in ask-side vs. bid-side liquidity

Sensoy, Ahmet - In: Finance research letters 28 (2019), pp. 198-207

Persistent link: https://www.econbiz.de/10012388306

Commonality in liquidity : effects of monetary policy and macroeconomic announcements

Sensoy, Ahmet - In: Finance research letters 16 (2016), pp. 125-131

Persistent link: https://www.econbiz.de/10011655140

Implied volatility indices : a review and extension in the Turkish case

Sensoy, Ahmet; Omole, John - In: International review of financial analysis 60 (2018), pp. 151-161

Persistent link: https://www.econbiz.de/10012007557

Intraday volume-volatility nexus in the FX markets : evidence from an emerging market

Sensoy, Ahmet; Serdengeçti, Süleyman - In: International review of financial analysis 64 (2019), pp. 1-12

Persistent link: https://www.econbiz.de/10012208202

Information content of order imbalance in the index options market

Sensoy, Ahmet; Omole, John - In: International review of economics & finance : IREF 78 (2022), pp. 418-432

Persistent link: https://www.econbiz.de/10013334583