Analysis of trading activity and liquidity in Istanbul Stock Exchange

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.