Browsing by Author "Bodur, Mehmet"

Now showing 1 - 3 of 3

Citation Count: 0
High-Frequency Trading and its Impact on Market Liquidity: A Review of Literature
(2021) Ersan, Oğuz; Ersan, Oğuz; Ekinci, Cumhur; Dalgıç, Nihan
High-frequency trading (HFT) has been dominating the activity in developedfinancial markets in the last two decades. Despite its recent formation, theliterature on the impacts of HFT on financial markets and participants isbroad. However, there are ongoing debates and unanswered questionswithin many subtopics. We survey through the research towards HFT effectson liquidity in an attempt to explain the coexistence of evidence regardingboth the positive and the negative impacts of HFT. We name two mainfactors leading to mixed results. Former concerns the negative marketconditions such as intraday shocks, through which HFT trading patternsmay sharply change. Latter regards the certain characteristics of HFTliquidity provision with the potential to present externalities for the market.
Informed trading around extreme events in Borsa Istanbul
(Kadir Has Üniversitesi, 2022) Bodur, Mehmet; Ersan, Oğuz; Oğuz Ersan
On February 22, 2017, two Turkish blue-chip stocks Ko¸c Holding (KCHOL) and Turkcell (TCELL) experienced a simultaneous flash event resulting in a sudden price crash during the continuous auction in Borsa Istanbul Equity Market, right before the market closing time. Both stocks experienced a nearby 10% fall before subsequent price recovery. KCHOL (TCELL) falls as much as %9.86 (%10.77) between 17:45:00 – 17:45:01 time period for an approximately 1-second interval. Before the respective event, order flow toxicity for informed trading proxy VPIN – Volume-Synchronized Probability of Informed Trading shows consecutive increasing behavior even before the sudden crash for TCELL whereas no concrete in advance reaction for KCHOL. VPIN levels for KCHOL (TCELL) increase (decrease) in the course of the post-event interval. Such a difference may be interpreted as increasing (decreasing) order flow toxicity for KCHOL (TCELL) trade balance. Univariate and multivariate regressions’ implied empirical findings result in the statistically signifi cant predictive power of VPIN for TCELL on impending VWAP - Volume Weighted Average Price pattern. However, for KCHOL, no reliable explanatory role of VPIN after considering control variables. Such indefinite results may imply different algorithmic trading strategy execution for KCHOL and TCELL with respect to the event and post-event periods
Citation Count: 4
Who to trust? Reactions to analyst recommendations of domestic versus foreign brokerage houses in a developing stock market
(Elsevier Ltd, 2021) Tiniç, Murat; Bodur, Mehmet; Tiniç, Murat
Announcement day abnormal returns around analyst recommendations of upgrades average 35 and downgrades average -45 basis points in Borsa Istanbul. The nationality of the investment bank issuing the recommendation affects the magnitude of the stock market reaction. The absolute magnitude of abnormal returns upon upgrade and downgrade recommendations of foreign investment banks is larger than that of local investment banks. The differential reaction indicates that in a developing market country, Turkey, investors pay closer attention when the source of information is foreign rather than local.